Predictive Models · Rate
WaveCast-R 1.0.0
Next-day rate magnitude prediction for US equity special stocks. Seven specialist gradient-boosted models — one per rate tier — delivering an exact bps forecast and confidence score for every active special before 8:00 AM EST.
The Architecture
A 30 bps stock and a 5,000 bps stock are different problems. WaveCast-R treats them as such.
A pooled model trained across all depth tiers makes a forced compromise — it averages across fundamentally different rate dynamics. WaveCast-R uses a tiered architecture instead: seven separate gradient-boosted regression models, each trained exclusively on securities within one depth tier, using features selected for that tier’s specific behaviour.
Shallow specials (Barely Warm, Warm) move within a tight rate band driven primarily by supply-demand balance and streak maturity. Deep specials (Extreme, Very Extreme) are dominated by short-squeeze mechanics, concentrated demand, and momentum effects. Each tier’s model uses L1 loss — mean absolute error — which keeps it focused on predicting the typical next-day move rather than being distorted by occasional rate spikes.
Each morning, WaveCast-R routes each active special to its tier’s specialist model based on the previous day’s rate, producing a predicted next-day IntrinsicRateAvg in both percent and basis points, alongside a RateConfidence score (0–100) reflecting how typical the prediction is relative to historical model output.
| Field | Description |
|---|---|
| Date | Scoring date |
| ISIN | Security identifier |
| PredictedRate_pct | Predicted next-day rate (%) |
| PredictedRate_bps | Predicted next-day rate (bps) |
| RateConfidence | Calibrated conviction score (0–100) |
| IntrinsicRateAvg_T1 | Current day’s actual rate (context) |
Performance by Tier
Seven models. Seven problems. Measured correctly for each.
MAE is the right metric for each tier in isolation. A 44.90 bps MAE on a Very Extreme name trading at 10,000+ bps is a materially tighter result than 5 bps on a Barely Warm name trading at 30 bps. Context is everything.
| Tier | 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 |
Live inference matches research exactly.
Live production inference was validated against walk-forward research predictions on 3 out-of-sample dates, 10,182 rows, all 7 tiers. Gap between live and research: 1.35 bps MAE — essentially exact reconstruction fidelity. Research numbers are production numbers.
Methodology
Trained on 4 distinct rate regimes with no look-ahead at any step.
WaveCast-R is a rate magnitude model only. Its implied direction (sign of predicted rate minus today’s rate) was tested across 3,643,852 rows and produced 50.47% accuracy — a literal coin flip. Do not use WaveCast-R for directional decisions. For direction, use WaveCast-D.
How Clients Use It
Three institutional applications.
WaveCast-R is designed for desks that need a specific rate estimate — not just a directional view — to price inventory, manage term loans, and set counterparty expectations.
Pricing
Rate-Setting Decisions
Enter each trading day knowing where the model expects rates to land. Use the predicted bps as a reference for setting your own lending rates — particularly useful for Warm through Hot names where day-over-day moves are large enough to matter but predictable enough to act on.
Portfolio
Revenue Forecasting
Stack predicted rates against your current inventory positions to build a forward-looking revenue estimate for tomorrow. Deep specials dominate the P&L — Extreme and Very Extreme names with 5,000–10,000+ bps rates make WaveCast-R’s accuracy on those tiers commercially significant even with a wider MAE.
Together with D
Magnitude-Weighted Conviction
Pair WaveCast-D’s directional confidence with WaveCast-R’s magnitude estimate. A high-confidence Up call from D combined with a large predicted rate increase from R is a compounding signal — both models agree the move will happen and it will be significant.
Request beta access to WaveCast-R.
Invite-only beta. Methodology documentation, per-tier validation tables, and sample scored output available during evaluation.
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