From the co-author of Big Data Science in Finance (Wiley, 2021)
Equities with the highest Aggressive HFT participation (average of buy and sell daily AHFT flows) in the U.S. markets as of January 19, 2022:
Equities with the highest Institutional Activity (average of buy and sell daily institutional flows) in the U.S. markets as of January 19, 2022:
October 11, 2021
AHFT participation varies over time. AHFTs prefer higher-priced stocks.
July 2021Concentrated 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:
May 2021AbleMarkets 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 2021Case 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:
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