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From the co-author of Big Data Science in Finance (Wiley, 2021)

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What we offer

Aggressive HFT Index

AHFT buyers dominated AHFT sellers in SAIA at 1550 on 20220114

Stop worrying about HFT and get the facts. We identify and track the latest HFT algos. Intraday. Predictive.

Available history: from 2016


Institutional Investor Activity

Institutional buyers dominated sellers in PRU at 1600 on 20220114

We reverse-engineer institutional execution algos so you can track and benchmark performance intraday. Predictive.

Available history: from 2017


Latest Research

Equities with the highest Aggressive HFT participation (average of buy and sell daily AHFT flows) in the U.S. markets as of January 14, 2022:

YELP: 49.27%
LPI: 37.27%
GOOGL: 37.09%

Equities with the highest Institutional Activity (average of buy and sell daily institutional flows) in the U.S. markets as of January 14, 2022:

KBH: 95.66%
PFE: 94.42%
NTLA: 92.89%

October 11, 2021

Evolution of Aggressive HFT (Click here to download a PDF white paper.)

AHFT participation varies over time. AHFTs prefer higher-priced stocks.

July 2021

Concentrated Portfolio Implementation with AbleMarkets Institutional Investor Activity (IIA) Index

Abstract: AbleMarkets Institutional Investor Activity (IIA) index provides quant researchers the ability to construct flexible portfolios depending on the mandate:

  • Portfolios based on a large difference in buy vs. sell flows result in concentrated portfolios, minimizing transaction costs.
  • Portfolios based on a small difference in buy vs. sell flows produce diversified portfolios with higher turnover.
  • The IIA index can be used in many ways depending on the target portfolio construction goals. Portfolio performance can be further optimized with intraday execution.
  • Perfect for: portable alpha, currency hedging in a portfolio, hedging of EUR-based positions, risk management of EUR/USD trading or investing, option trading, much more.

May 2021

AbleMarkets Institutional Activity Predicts 5-, 10-, 20 and 60-Day Beta

Abstract: Beta is commonly used in portfolio management, hedging and other risk management, options trading and more. In this paper, we show that market-microstructure derived identification of institutional flows are highly predictive of future beta realizations computed out-of-sample over 5-, 10, 20- and even 60-days ahead. We present the results of the predictability analysis along with a sample use case: a successful market-neutral strategy utilizing the analysis. We find that AbleMarkets institutional activity, both buy and sell, the difference in AbleMarkets Aggressive HFT activity and the security in-sample return are highly predictive of future beta realizations. Prior betas are not predictive of future betas in most cases. The sample risk-neutral portfolio built with AbleMarkets Institutional Activity index and AbleMarkets Aggressive HFT index generates over 50% per annum in all market conditions, including the COVID crash.

May 2021

Case Study: How Daily Flows Impact EUR/USD Prices

Abstract Institutional and Aggressive HFT flows are highly predictive of impending price changes across a range of financial instruments. This study shows the flow predictability of EUR/USD foreign exchange currency pair prices over the last five years. As the study shows:

  • Simple conditional strategies based on daily AHFT and IIA activity for EUR/USD deliver 35%+ annual return and Sharpe of 5+.
  • Simple conditional strategies based on daily institutional participation alone in EUR/USD deliver 22-26% annual return and Sharpe of 4.2-4.6 over the past five years.
  • Simple conditional strategies based on daily AHFT flows alone in EUR/USD deliver 26%+ annual return and Sharpe of 4.7+ over the past five years.
  • All strategies have minimal maximum drawdown of 2%-4% over the five years testing period.
  • Read More

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