Title: Automated portfolio trading systems forensic forecast audit

Authors: Avi Rushinek; Sara Rushinek

Addresses: University of Miami, Coral Gables, Fl 33124, USA ' Computer Information Systems Department, School of Business Administration, University of Miami, 5250 University Drive, Coral Gables, Fl 33124, USA

Abstract: Algorithmic trading systems strategies frequently deal with forecasting the profitability of the trade using regression analysis. Yet many of the elementary accounting textbook authors confuse very basic issues related to regression analysis. Forensic accounting tests such confusions in the courts and tries to clarify this as expert witnesses try to estimate the damages using a 'but-if' regression analysis. This paper takes some of these lessons and tries to evaluate them to see whether they apply to automated international portfolio trading systems strategies.

Keywords: automated portfolio trading; forensic accounting; algorithmic trading systems; forecasting; portfolio trading strategies.

DOI: 10.1504/IJAUDIT.2014.064318

International Journal of Auditing Technology, 2014 Vol.2 No.1, pp.55 - 68

Received: 05 Sep 2013
Accepted: 20 Mar 2014
Published online: 28 Aug 2014 *

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