Equities with the highest Aggressive HFT participation (average of buy and sell daily AHFT flows) in the U.S. markets as of May 20, 2022:
Equities with the highest Institutional Activity (average of buy and sell daily institutional flows) in the U.S. markets as of May 20, 2022:
March 17, 2022Institutional flows highly predictive on the day-ahead basis
March 1, 2022Institutional activity quarterly reversal Leads to high quarter-long profitability
February 15, 2022NEW 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, 2022Optimizing 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:
October 11, 2021AHFT 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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