Short Interest / Crowding#458tier 3experimental liveNew
short interest surprise
cadence: Dailydata: lowlong onlyshort onlylong short
paper
2023
Source
Hanauer, M.X., Lesnevski, P., Smajlbegovic, E. (2023). Surprise in short interest. Journal of Financial Markets, 65, 100841.
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What it checks
Hanauer-Lesnevski-Smajlbegovic (2023): investors anchor on the prior short-interest print and underreact to the UNEXPECTED component.
Mechanism
Hanauer-Lesnevski-Smajlbegovic (2023): investors anchor on the prior short-interest print and underreact to the UNEXPECTED component. Proxy bi-weekly SI with 21d-mean FINRA short_pct, fit a within-ticker expectation (EWMA/AR(1), optionally detrended vs sector mean), z-score the residual over 252d.
No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.
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Signal rule
Hanauer-Lesnevski-Smajlbegovic (2023): investors anchor on the prior short-interest print and underreact to the UNEXPECTED component. Proxy bi-weekly SI with 21d-mean FINRA short_pct, fit a within-ticker expectation (EWM
Data dependencies
finra_short_volumeWorker data table, see services/worker schema.
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper window
- Modern daily equity data
behavioral premium; decay risk 2/5.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
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See which tickers this family is currently firing on, with live signals and rankings.