borrow ftd squeeze
Mechanism
Beschwitz, Honkanen & Schmidt (2024) *Journal of Financial Economics*: "Costly Arbitrage and the Short-Squeeze Premium." Novel finding: when all three short-side stress signals fire simultaneously — top-decile borrow-rate Δ, Reg-SHO threshold inclusion, and elevated FINRA short-volume ratio — the next 5 trading days mean-revert sharply higher. The 3-table confluence is what…
Data dependencies
borrow_ratesDaily borrow-fee curve from prime-broker feeds.
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
sec_reg_sho_thresholdWorker data table — see services/worker schema.
short_volumeWorker data table — see services/worker schema.
Expected edge
Reported: 18% annualised, Sharpe 1.6 post-cost, 5-day hold.
Illustrative pattern only
NOT a backtestIllustrative pattern only — see /app for live backtests and the actual current equity curve.
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