Predictive Models
Know which way. Know how far.
Two gradient-boosted machine learning models trained on six years of US equity securities lending data. WaveCast-D predicts direction. WaveCast-R predicts magnitude. Scored daily before 8:00 AM EST across ~4,000 active specials.
The Prediction Problem
Every morning, ~4,000 US equity special stocks need a rate forecast before the open.
A “special” stock is any US equity with an intrinsic borrow rate above 20 basis points — the spread between the overnight benchmark rate and the rebate paid to borrowers. These stocks command premium borrow costs because demand for short positions exceeds available inventory. For securities lending desks, getting ahead of where that spread moves tomorrow is the operational problem WaveCast solves.
WaveCast-D answers: which way? WaveCast-R answers: how far? Both models are trained on the same six-year dataset, scored on the same universe each morning, and validated using walk-forward cross-validation — the same methodology Tidal applies to all research, with no look-ahead and no data leakage.
Model 01
WaveCast-D 1.0.0
Direction classifier. Up or Down, with calibrated conviction.
A gradient-boosted classifier trained on six years of securities lending data, producing a binary Up/Down direction call and a calibrated confidence score (0–100) for every active special stock, every trading day.
| Confidence Quintile | Mean Score | Realized Accuracy |
|---|---|---|
| Q1 (lowest) | 5.5 | 59.6% |
| Q2 | 15.2 | 64.9% |
| Q3 | 25.0 | 69.5% |
| Q4 | 35.9 | 74.7% |
| Q5 (highest) | 53.4 | 84.5% |
| Depth Tier | Typical Range | MAE |
|---|---|---|
| Barely Warm | 20–50 bps | 0.42 bps |
| Warm | 50–250 bps | 0.73 bps |
| Very Warm | 250–500 bps | 1.40 bps |
| Hot | 500–2,000 bps | 3.07 bps |
| Very Hot | 2,000–5,000 bps | 5.68 bps |
| Extreme | 5,000–10,000 bps | 11.51 bps |
| Very Extreme | 10,000+ bps | 44.90 bps |
Model 02
WaveCast-R 1.0.0
Rate magnitude model. Seven specialist models, one per depth tier.
A tiered architecture of seven gradient-boosted regression models — one per rate depth tier — each trained with L1 loss on features specific to that tier’s dynamics. A stock borrowing at 30 bps and one at 5,000 bps are different problems. WaveCast-R treats them as such.
Complementary Signals
D tells you which way. R tells you how far.
A conviction-scored binary signal: Up or Down. Use confidence quintiles to size positions, filter universe, or gate downstream decisions.
An exact predicted rate in basis points, routed through the specialist model for each security’s current depth tier. Use for inventory pricing and rate-setting decisions.
Validation Standard
Walk-forward validation across four rate regimes. No look-ahead. No data leakage.
Request beta access.
WaveCast is an invite-only beta. We show you WaveCast predictions against your inventory first. No generic demos or hard sales pitches. Share your name, firm, and role and we’ll be in touch.
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