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Also: Institutional investors seek safety in recession (counter-cyclical) stocks, including real estate, oil, gas, and low-budget furniture and appliance rental companies.   By Irene Aldridge May 6, 2022 According to Garthwaite et al. (2005), a good model accurately captures the distribution of the investors’ knowledge and beliefs, regardless of how good that knowledge actually is. Thus, if selected institutional investors believe that the markets are about to go up and reflect that belief in their trades, but the markets end up going down, the knowledge and belief elicitation model still works perfectly as it accurately captures the investors’ beliefs.  Of course, institutional investors, by the sheerRead More →

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Irene Aldridge, a co-author of the forthcoming book “Big Data Science in Finance” has launched her very own YouTube channel where she discusses her latest research in the areas of Big Data, Artificial Intelligence and Finance. Please subscribe here to receive updates: https://studio.youtube.com/channel/UCMYuhgyMhzkw5tBIyEa2p3g Aldridge has a seasoned portfolio of TV appearances, including CNBC, CNN, and even Comedy Central. Aldridge is looking to make her research more accessible through video clips and offerings. Please share with your colleagues and friends!Read More →

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By Irene Aldridge Many ETF and active portfolio managers need accurate end-of-day price direction forecasts to optimally execute their daily portfolio reallocation requirements. Predicting the end-of-day direction of the price is crucial to solidify performance, as the last half-hour is known to be marked by extreme volatility. The end-of-day volatility, if met on the wrong side of the price movement, may reduce the performance gains of even the most seasoned and talented portfolio managers to rubble. The main challenge with predicting market direction at the close of the day is to estimate the objectives and motivation of market participants. To simplify, most market participants inRead More →

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By Irene Aldridge The last two weeks witnessed a somewhat forgotten phenomenon — a market headed south at a rapid pace for several consecutive days. Unlike flash crashes, brief spikes of downward volatility that can be predictable (see Aldridge, I., “High-Frequency Runs and Flash Crash Predictability”, Journal of Portfolio Management, 2014, and AbleMarkets Streaming Flash Crash Index), the sell-off of the past two weeks was methodical, slow and painful. AbleMarkets, a Big Data platform for finance, tracks institutional activity by pinpointing electronic algorithms used to break up large orders throughout the day. AbleMarkets uses the most granular tick-level data from exchanges to identify market microstructure footprints of institutionsRead More →

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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 they are rising up (see, for example, “The Cross-Section of Volatility and Expected Returns” by Ang, Hodrick, Xing and Zhang, Journal of Finance, 2005). In other words, selling volatility is a complicated way of betting on the rise of the market. During the current administration’s tenure, the U.S. markets have consistently risen, while dampening volatility in the process and generating excitement amongRead More →

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This article first appeared in the European Financial Review, http://www.europeanfinancialreview.com/?p=17446 By Irene Aldridge With all the changes happening to the markets the past several years, author Irene Aldridge discusses how technology has significantly shaped the execution quality for portfolio managers. The article emphasises the realities of a data-driven industry wherein better information means better success.   Investment managers are increasingly concerned about the quality of their execution. Indeed, how you execute the orders in today’s markets may make or break investment profitability. Changes to the markets over the past several years place execution quality at the top the priority list for investment managers. Most ofRead More →

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Real-Time Risk: Why we all need to study Big Data By PlanetCompliance, July 28, 2017 Everything changes. Financial Services. Markets. Risk. Technology and innovation transform an entire industry and if you want to survive, you need to change, too. In order to change though, a profound understanding of the new technologies is necessary. PlanetCompliance spoke to Irene Aldridge, the author of the bestseller “Real-Time Risk” about what investors and finance professionals need to know about Fintech and the way Big Data is transforming the world we live in. There are without doubt not enough women in finance. Not in traditional banking, nor in Fintech. However,Read More →