I've been working on a similar strategy after having read Nejat's book: http://www.amazon.com/Investment-Intelligence-Insider-Trading-Seyhun/dp/0262692341 http:

I've been working on a similar strategy after having read Nejat's book: http://www.amazon.com/Investment-Intelligence-Insider-Trading-Seyhun/dp/0262692341 http://www.amazon.com/Investment-Intelligence-Insider-Tradin... The plan is to derive trading signals from insider purchase data while taking into account the insider's relative risk-aversion (estimated from age, salary, sex). At this point I'm just trying to recreate Nejat's results. Data-quality seems to be an issue (stock splits aren't recorded in the yahoo data). If you would like to collaborate or trade ideas message kal00ma on reddit.