FlexEdge

FlexEdge is a predictive analytics module that provides traders with advanced forecasting capabilities for trading U.S. equities. Using a proprietary, model-driven approach, FlexEdge provides short-term return forecasts across overnight and intraday time horizons, as well as intraday volume forecasts for use in sell-side and buy-side settings.

Features

  • Supplies intraday bin volume, enhanced volume profile, and end-of-day volume forecasts.
  • Delivers intraday and overnight return forecasts.
  • Generates forecasts and signal strength for 3000 U.S. equities and ETFs every minute.
  • Use forecasts algorithmically, visualize graphically, or display them in the blotter.

Benefits

  • Cuts volume forecast error 20-25% compared to the historical average across the top 3000 names.
  • Provides volume profile forecasts to reduce VWAP tracking error as compared to using historical curves (7-10% in simulations).
  • Delivers execution alpha of up to 16 bps intraday with signal coverage of 12%.
  • Provides access to continuous improvements in methodology driven by ongoing research.

FlexEdge Intraday Demo

Below, you can view FlexEdge volume forecasts for each of the Dow 30 plus Apple and Google. In the table beneath the chart, we include in the first two columns, forecasts for the volume for the next bin and that remaining through the end of day. The corresponding full day volume and the 30-day Average Daily Volume (ADV) are included to help you gauge the difference between the historical average and FlexEdge methods. To view a chart of forecasted, actual, and historical average values for any of the 32 symbols, click on the associated row in the table beneath the chart area. Charts are updated every 15 minutes and show the actual (orange), forecasted (blue), and a 30-day bin average (gray) as a benchmark.


Now Compare FlexEdge to Traditional Volume Forecasts ►