Exegy’s Liquidity Lamp adds intraday data to outperform S&P 500 by 31.8%

Rick Steves

Exegy has incorporated intraday signals into its AI-powered iceberg order detection tool, Liquidity Lamp. By adding intraday data to a baseline mean reversion strategy, Exegy’s model outperformed the baseline by 10.5% and the S&P 500 (SPY) by 31.8%, respectively in the out-of-sample testing.

SP500

Exegy has incorporated intraday signals into its AI-powered iceberg order detection tool, Liquidity Lamp. With this update, the premier provider of market data and trading technology is enabling quantitative traders to track the volume of iceberg orders with updates every ten minutes.

Liquidity Lamp, known for its unique insights into US equities trading, filters out the distractions of retail and high-frequency trading activities. The updates are provided in CSV format and can be accessed via a cross-connect at the NY4 data center or through an AWS S3 bucket.

The tool is particularly useful for institutional investors who engage in large-volume trades through exchange-native iceberg orders. Being able to monitor these orders as they happen can unveil hidden alpha opportunities.

Previously, Liquidity Lamp offered real-time and end-of-day signals. The new intraday updates allow traders to make informed decisions during trading hours, enhancing their ability to respond to market movements swiftly.

Iceberg order detection for statistical arbitrage strategies

Exegy’s differentiated Liquidity Lamp Summary – Intraday (LLSi) dataset uncovers these order types and alerts the client to new alpha-generating opportunities. LLSi can help manage market volatility, reduce risk, and optimize your execution strategies – so clients can better capture alpha.

A whitepaper published by Exegy’s quant team demonstrates how the Liquidity Lamp Intraday can enhance statistical arbitrage strategies, outperforming the S&P 500 index.

The document discusses an experimental model named Nitro, developed using data from 2018. This model employs a mean reversion strategy and, with the aid of Liquidity Lamp Intraday data, outperformed its baseline alpha and the SPY ETF by considerable margins, all while maintaining low volatility.

As to results, by adding the LLSi dataset to a baseline mean reversion strategy, Exegy’s model outperformed the baseline by 10.5% and the S&P 500 (SPY) by 31.8%, respectively in the out-of-sample testing. The model also proved resilient to volatility with overall lower maximum drawdowns compared to both the baseline model and the SPY.

Andy Lee, Director of Quantitative Research at Exegy, explained: “Institutional iceberg orders can significantly influence prices, creating lucrative opportunities for adept traders. My team of quants published a whitepaper demonstrating Liquidity Lamp Intraday’s impact by highlighting how a well-known statistical arbitrage strategy can use iceberg order detection to significantly improve on itself and consistently beat the S&P 500 index (SPY).”

David Taylor, CEO of Exegy, said: “Liquidity Lamp Intraday is a novel dataset for systematic trading. Using this data, quantitative traders will be able to seize trading opportunities that conventional models might have missed or considered too risky.”

Read this next

Executive Moves

INFINOX hires Mayne Ayliffe as Global Head of HR

“I look forward to working with our teams around the world to develop a strategic HR agenda that supports high performance and is centred on human motivation.”

Fintech

Sterling to provide risk and margin support for fixed income

“Firms must have the tools to effectively manage their risk across all asset classes. As yields rise, we see more exposure from clients in the fixed income space. We understand their need to measure and mitigate risk in a highly regulated environment.”

Retail FX

FXOpen launches HK share CFDs: Tencent, Alibaba, Xiaomi, Baidu

Hong Kong share CFDs will be commission-free for a limited period of time.

Retail FX

IronFX Celebrates an Award-Winning Start to 2024 with a Series of Industry Recognitions

IronFX, a global leader in online trading, has embarked on 2024 with a spectacular display of accolades that highlight its commitment to excellence and innovation in the competitive financial services sector.

Industry News

FIA urges CFTC to regulate use cases rather than AI itself

“We urge the CFTC to refrain from crafting new regulations that generally regulate AI because this approach presents certain well-known pitfalls. By approaching the issue from the perspective of AI as a technology, rather than the use case for the technology, corresponding regulations would likely necessitate a definition of AI. We anticipate that any attempt to properly define AI would be very challenging and require considerable resources.”

Education, Inside View

The Power of Public Relations in Finance: Shaping Perceptions & Building Reputation

It’s safe to say that the finance industry has faced its share of reputation crises over the years, from the 2008 financial collapse to the many scandals around irresponsible lending, political corruption, and even Ponzi schemes. 

Digital Assets

Crossover’s crypto ECN executed over $3 billion in Q1 2024

“Our growth is also driving continued increases in the percentages of trades that are ‘Order Crossing Order’ (OXO). Currently, roughly 10% of all trades executed on CROSSx are OXO, another differentiator in our platform’s capacity. This capacity and our unique execution model provide value to both the market maker and taker, as evidenced by our commercial model.”

blockdag

BlockDAG’s Explosive Presale Hits $20.3M In April Swaying Investors From XRP’s Price Trends Upward, & Polygon’s NFT Market

Learn about BlockDAG’s impressive $20.3M presale results, XRP’s price increase prospects, and the booming NFT market on Polygon among the top 10 cryptocurrencies.

Retail FX

Financial Commission warns of Eplanet Brokers

The Financial Commission, a self-regulatory compliance specialist for the financial services industry, is ramping up its scrutiny of unregulated brokerage firms. Today, the independent association warned against a company called Eplanet Brokers.

<