Predicting high-frequency returns using order book data
In this paper, the authors use machine learning and order book data to show how ultra-low latency strategies produce returns.
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How macro uncertainty in China affects commodity prices
We look at a paper demonstrating that Chinese macroeconomic uncertainty is the best measure for predicting returns and volatility in the commodity market. -
Zero-day-to-expiry options: A losing bet for retail traders
Retail traders have been losing $350k a day on 0DTE options since the Cboe introduced daily expiry in 2022. We look at the study behind this finding and explore datasets that can identify retail trading activity. -
Improving Japan GDP nowcasting with CO2 concentrations
Investors are increasingly interested in Japan’s macro environment, according to vendors at the Japan Alternative Data Expo 2024. This report reviews the first study using data from a Japanese greenhouse gas monitoring satellite to forecast GDP. -
Is social media a catalyst for bank runs?
Social media was widely criticised for its role in the collapse of Silicon Valley bank in 2023. In this review, we summarise a paper that quantifies the role social media played in the turbulence faced by US regional banks. -
Banks vs fintechs: Tracking market share with technographic data
Alternative data that analyses tech stacks can be a useful way to benchmark companies, especially in sectors at risk of disruption. Below, we summarise a paper that uses banks’ technographic profiles as an indicator for loan concentration and market share during Covid-19. -
How climate news affects investment returns
We summarise a study that investigates the relationship between unexpected climate news and equity performance, aiming to quantify climate beta. -
Hunting unicorns: Using alternative data to predict startup success
Deep learning has created new ways for VC firms to source investment opportunities. In this literature review, we summarise a study that distils existing industry knowledge on the subject. -
How US-China decoupling is affecting the semiconductor industry
The semiconductor industry has found itself at the centre of a geopolitical battleground, with the US and China both funding the development of advanced chip manufacturing capabilities at home. This report reviews studies that use news, academic and investment deals data to understand the outlook. -
Improving GDP nowcasts with alternative aviation data
Are we in a recession? The answer is often discovered too late, with official figures published at a substantial lag. In this literature review, we discuss a paper that analyses the integration of alternative aviation data to improve GDP nowcasting.