By Irene Aldridge Selling volatility has been a popular trading strategy among hedge funds over the past couple of years. At the core of the strategy’s popularity is the observation that volatility becomes considerably more severe when the markets are moving down rather than when
For more information on the AbleMarkets Aggressive HFT Index, please click here.
For more details on the AbleMarkets Institutional Activity Index, please click here.
The institutional “oversold” price threshold appears to be $275.45.
The average Aggressive HFT activity in the U.S. markets changed little from April 2018 to May 2018 across a range of financial instruments, including U.S. equities, commodity futures, foreign exchange and ETFs. Source: AbleMarkets Aggressive HFT Index.
Last week’s AbleMarkets Institutional Activity Index for SPY shows that institutions broadly sold SPY on most days, except Friday, when the great employment news were announced.
Irene Aldridge’s paper, “Big Data in Portfolio Allocation”, has garnered a record 150 downloads in the first day after publication on SSRN. The paper shows how applying Big Data techniques to classic Markowitz mean-variance optimization helps generate 400% excess return over 20 years in the
AbleMarkets’ Irene Aldridge has published her latest research proving that a novel application of Big Data to mean-variance optimization helps significantly outperform existing methodologies. Full abstract and free paper download can be found here: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3142880
According to AbleMarkets, most social media conversations focused on Financials (Office REITs and Residential REITs in particular), Healthcare (Generic Pharma and Medical Instruments), Services (Music and Video stores, Security and Protection Services), and Technology (Semiconductors) on Friday, February 9, 2018, at 8 PM.
Retail investors dominated U.S. equities trading in January 2018, pushing institutional investors and high-frequency traders to smaller proportions of volume traded, according to AbleMarkets Big Data analytics research.
