Applications of Academic Theory and Quant Techniques in Securities Lending

Stocks that are heavily shorted and go “special” in the securities lending market can exhibit interesting behavior that is different from stocks in more “normal” regimes. However, it can be difficult to identify and model events when stocks might be subject to these short-market pressures in the securities lending space. In this presentation, we discuss a research project that draws from academic literature, market insights, and quantitative techniques to arrive at differentiated insights on these “special” events. We discuss our approach to event classification predictive models and the implications of the predicted cross-sectional behavior in our universe.