Real-Time Streaming AI Finance Research

for all your research needs


Register to receive FREE weekly research
Generate Your Own Real-Time Research


What we offer

NEW! AI for Regulatory Filings

AbleMarkets: A Sample of Filing AI Index for 20220922

We read and process ALL the regulatory announcements for you, so you can just receive an alert! (Email, text or app)

Available history: from January 2015

More

NEW! News AI

AbleMarkets NewsAI Top Words Driving the Markets on 20220926

We process all news and rank their application to all stocks, so you can spend more time on other things.

Available history: from February 2020

More

Aggressive HFT Index

AbleMarkets: Top Buy AHFT % on 20220923

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

Available history: from 2016

More

Institutional Investor Activity

AbleMarkets: Top Institutional Buy Flows % on 20220923

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

Available history: from 2017

More


Generate Your Own Real-Time Research

Latest Research


Click here to access more latest research posts Click here to access more latest research posts

Equities with the highest Aggressive HFT participation (average of buy and sell daily AHFT flows) in the U.S. markets as of September 23, 2022:

DFIN: 39.85%
ENOR: 39.67%
RH: 37.36%

Equities with the highest Institutional Activity (average of buy and sell daily institutional flows) in the U.S. markets as of September 23, 2022:

CRL: 96.37%
ODFL: 95.06%
VCYT: 94.93%

September 13, 2022

Momentum and Mean-Reversion with AbleMarkets Aggressive HFT Index
  • In the short term (1-5 trading days), HFTs drive momentum in prices of financial instruments. In the longer term (10-20 trading days), HFT behavior triggers a reversal in prices.
  • Momentum and reversals are two of the most important aspects of trading. It's crucial to be able to identify when a trend is starting so you can hop on board, and equally important to know when a trend has ended so you can get out before things go too far.
  • The AbleMarkets Aggressive HFT Index tracks flows generated by high frequency traders as a proportion of overall market flows. This index will help you determine when HFTs are driving the market and identify potential momentum or reversal opportunities.
Download report
Contact us today!


August 5, 2022

AbleMarkets Institutional Activity Index outperforms the S&P 500 by nearly 30% this year
  • AbleMarkets Institutional Activity Index: +15% YTD equally-weighted across the entire Russell 3000
  • S&P 500 index continues to perform poorly as a whole.
  • The return of risk appetite and volatility has been a boon for quant portfolio managers.
  • Quant Portfolio Managers are experiencing exceptional returns with a simple rebalancing strategy, 40%+ above the S&P 500!
Download report
Contact us today!


March 17, 2022

Institutional flows highly predictive on the day-ahead basis
  • AbleMarkets Institutional flows data continues helping investors beat the market.
  • With a cumulative return of 283.12% and a Sharpe ratio of 2.20 since 2018, a Russell 3000 strategy based on AbleMarkets Institutional Activity Index posted +6.77% gains for January and February 2022 (as opposed to -8% for the S&P 500).
  • AbleMarkets Institutional Activity Index identifies, aggregates and distributes net buy and sell institutional flows observed in the public markets.
  • Sign up today to see what your competition is doing.
Contact us today!


March 1, 2022

Institutional activity quarterly reversal Leads to high quarter-long profitability
  • AbleMarkets Institutional Investor Activity (IIA) index tracks institutional flows on the intraday and daily basis.
  • A 60-day moving average (MA) in the institutional flows is highly predictive of the following 60-day returns, out of sample.
  • A 60-day IIA-MA based Russell 3,000 long-short strategy delivered 22% per annum on average from January 2021 through Feb 28, 2022, all based on the 60-day holding period.
  • A 60-day IIA-MA based S&P 500 long-short strategy delivered 21% per annum on average from January 2021 through Feb 28, 2022, all based on the 60-day holding period.
Contact us today!


February 15, 2022

NEW PRODUCT ALERT: AbleMarkets RegAI Index summarizes regulatory filings on a convenient "likely to drive price up" 0-100 scale. Cumulative performance across Russell 3000 shown below. Contact us today!


February 1, 2022

Optimizing Execution and Market-Making with Daily SmartVWAP by AbleMarkets.

Abstract: Following AbleMarkets flows in U.S. equities helped execution managers outperform VWAP by $0.5-$0.90 per share over the past year. The exact performance varies from stock to stock. Below is the 2021 SmartVWAP performance for some of the widely held issues:

  • SPY: ~$0.50 per share or 0.11% ($1,100 per every $1,000,000 traded)
  • AAPL: ~$0.06 per share or ~0.05% ($500 per every $1,000,000 traded)
  • PFE: ~$0.02 per share or ~0.05% ($500 per every $1,000,000 traded)

October 11, 2021

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



What our clients are saying about us

"Awesome product, awesome service" -- major quant Portfolio Manager, user of AbleMarkets AHFT Index.

"AbleMarkets performs thorough research. With timely delivery, [AbleMarkets] feeds make positive impact on my daily job." -- Execution Manager, major quant fund.

"We rely on AbleMarkets for innovative and meaningful content." -- Quant Researcher, major hedge fund.


Contact

We love to hear from you.

There are bold new tools available for your transition to a process-driven approach with our data and other alternative data sources. AbleMarkets has developed processes and roadmaps which can guide your journey and cut time to value from years to hours.
We look forward to the discussion.

New York, US

Phone: +1 646.233.3513