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Quote Vector Whitepaper

Quote Vector, part of Exegy’s portfolio of Signum Signals-as-a-Service, predicts the direction of the next price change to the NBBO of US-listed securities with 88% accuracy. We’ve created a Quote Vector whitepaper showing how the signal can be used to improve the price of trades in US equities. (A sister signal, Quote Fuse, predicts whether NBBO price changes will occur within the next 50 milliseconds).

Our whitepaper also details how Quote Vector can be customized according to your firm’s needs.

Tracking Improving and ‘Crumbling’ Quotes

Quote Vector attaches a pair of probabilities to each NBBO quote for every US listed equity — the probability that the next change to the bid price will be up, and the probability that the next change to the offer price will be up (the probabilities that the next changes to those prices will be down are seen as complements of the “up” numbers). Quote Vector generates over 500 million signals a day.

The machine-learning model underlying this signal of improving or “crumbling” quotes has been found to generalize well across market conditions, stock sector, and market capitalization. Our Quote Vector whitepaper breaks down its performance and explains why the signal is consistently better at predicting improving prices.

Trial by Uber

It’s possible to customize the Quote Vector signal to “fire” – make a directional prediction – when the probability exceeds a preset threshold. One trading application may have a threshold that delivers more frequent signals, while another might have one that results in fewer signals with higher accuracy.

And we show how Quote Vector performs in a real-life scenario, monitoring its real-time accuracy as it predicted the next price directions for Uber on the day of the company’s initial public offering. How did we do? Read the white paper.

Ready to learn more about Signum’s Quote Vector? Simply fill out this form and an Exegy team member will send you a download of our Quote Vector whitepaper. Once you’ve seen it, we predict you’ll want to know more; check out our follow-up whitepaper detailing how Quote Vector offers the ability to achieve up to $2.3 billion in improved trading results. How much of that could your firm reap?

To keep reading, complete the form below for access to Exegy's Signum Whitepaper: Quote Vector.