Supplementary Material for "A Machine Learning Attack on Illegal Trading"

9 Pages Posted: 21 Jan 2021 Last revised: 6 Dec 2022

See all articles by Robert James

Robert James

The University of Sydney

Henry Leung

University of Sydney Business School; Financial Research Network (FIRN)

Artem Prokhorov

University of Sydney Business School; Saint Petersburg State University - Center for Econometrics and Business Analytics (CEBA); University of Montreal - Centre interuniversitaire de recherche en ├ęconomie quantitative (CIREQ)

Date Written: March 12, 2022

Abstract

This supplementary document contains information regarding the run times of the NN DTW and ARMA(1,1) illegal insider trading detection models. Details regarding the implementation of the ARMA(1,1), Gaussian Mixture Model (GMM), One-Class Support Vector Machine (OCSVM) and Isolation Forrest (iForest) models which are used as anomaly detection benchmarks in the paper ``A Machine Learning Attack on Illegal Trading" are also provided.

JEL Classification: C1,G1,G2

Suggested Citation

James, Robert and Leung, Henry and Prokhorov, Artem, Supplementary Material for "A Machine Learning Attack on Illegal Trading" (March 12, 2022). Available at SSRN: https://ssrn.com/abstract=3727753 or http://dx.doi.org/10.2139/ssrn.3727753

Robert James (Contact Author)

The University of Sydney ( email )

University of Sydney
Sydney, NSW 2006
Australia

Henry Leung

University of Sydney Business School ( email )

402, H69
The University of Sydney
Sydney, NSW 2006
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Artem Prokhorov

University of Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

Saint Petersburg State University - Center for Econometrics and Business Analytics (CEBA) ( email )

7-9, Universitetskaya nab.
Saint Petersburg, 199034
Russia

University of Montreal - Centre interuniversitaire de recherche en ├ęconomie quantitative (CIREQ) ( email )

3150, rue Jean-Brillant
Montreal, QC H3T 1N8
Canada

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