Solutions
Signal. Prediction. Edge.
Two product families built on six years of proprietary US securities lending data. Market Data signals validated across 8.8 million observations. Predictive Models scoring ~4,000 active specials every trading day before the open.
Three signal families — Volatility, Velocity, and Short Interest — derived from daily securities lending transactions across 100+ reporting entities. Risk and alpha signals for institutional portfolios.
WaveCast-D and WaveCast-R — machine learning models predicting next-day direction and rate magnitude for US equity special stocks. Scored daily across ~4,000 ISINs before 8:00 AM EST.
Product Family 01
Market Data
Three signal families derived from 1.2 million daily lending transactions across 100+ reporting entities. Each signal measures a structurally distinct dimension of borrowing pressure. Validated across 8.8 million observations, 7,103 US equities, and six years of history.
Volatility
Measures rate dispersion at the security level. High VOL identifies unstable borrow conditions — a precursor to elevated drawdown risk and forward return underperformance.
Velocity
Measures the rate-of-change in lending activity. Velocity captures acceleration into stress that Volatility alone cannot — a force-multiplier when combined with VOL.
Short Interest
Direct measure of institutional shorting pressure from lending activity. The strongest single-signal drawdown predictor in Tidal’s research — works across every institutional cap tier.
Product Family 02
Predictive Models
Two machine learning models trained on six years of US equity special stock lending data. WaveCast-D predicts direction. WaveCast-R predicts magnitude. Invite-only beta — no direct comparable in the market.
WaveCast-D 1.0.0
Predicts whether each active special’s intrinsic borrow rate will move Up or Down tomorrow. Calibrated confidence score — Q5 confidence achieves 84.5% realized accuracy.
WaveCast-R 1.0.0
Predicts the exact next-day intrinsic borrow rate in basis points. Seven specialist models — one per depth tier — from Barely Warm (0.42 bps MAE) to Very Extreme (44.90 bps MAE).
The Common Thread
Both families come from the same source.
Market Data signals and WaveCast predictions are both derived from the same proprietary Tidal Markets securities lending datasets. The difference is the output: signals are raw, generalized measures; predictions are model-derived forecasts for a specific decision.
Talk to us about your use case.
Whether you need Market Data signals for portfolio risk management or WaveCast predictions for a securities lending desk – get in touch.
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