The document discusses an imbalance meter and sentiment bar tool that analyzes stock market data. The imbalance meter captures supply and demand imbalance information for NYSE stocks between 14:50-15:45 EST each day. It aggregates this unstructured data into a single stream and displays it as a meter. A sentiment bar complements the tool by analyzing social media to gauge market sentiment. Together, these tools help users understand closing imbalances and how they relate to social media sentiment going into the market close.

1. Product
Imbalance % is the bias represented by the percentage of buys versus sells as a function of notional value of the curated universe of stocks.
Symbol % shows the bias represented by the percentage of buy versus sell symbols for the curated universe. The notional value of the total
imbalance, buy imbalance, and sell imbalance are shown numerically on the right.
Another dimension that we believe affects closing imbalances is market sentiment polled from social media
related to the stocks in the SP 500. We created a Sentiment Bar to help users gauge the efficacy of closing
imbalance indications vis-a-vis social media sentiment. The Sentiment Bar uses data independent of Early
Look. The Sentiment Bar parses millions of SP 500 related tweets to distill market sentiment.
For example, in a high volatility
environment an average entry time
of 15:35 EST and an average exit
time of 15:55 EST yields 16.47bps,
as a statistical average.
In a low volatility environment an
average entry of 15:35 EST and an
average exit of 15:55 EST yields
2.95bps, as a statistical average.
Early Look Description
Do Early NYSE Closing Imbalances Help to Predict the Direction of the Market into the Closing Auction? To answer this question we collected
extensive unstructured data. We found that for different permutations and combinations of average entry and exit times pre and post 15:45 EST
a naive strategy that trades the SP 500 Index in the direction of the imbalance bias can be predictive of market direction into the closing auction.
Early Look Imbalance Meter
(Pre-15:45) Closing Imbalance Meter for NYSE Listed Stocks
Research
The Early Look (14:50 EST-15:45 EST) Imbalance Meter for NYSE Listed Stocks gives investors insight into supply and demand
dynamics leading up to the closing auction. The Early Look Imbalance Meter captures unstructured imbalance information starting at
14:50 EST through 15:45 EST each afternoon. Brokers situated at various nodes on the floor of the New York Stock Exchange
broadcast imbalance information using a patent pending process that aggregates the data into a single stream, pushes the stream of
data to the cloud where it is processed and output as a meter. The data is captured through a manual voice inputting process so it is
delayed. However, the data is as efficiently and accurately collected and distributed as possible given the various rules and
regulations related to the dissemination of these data. The Imbalance Meter is complemented by a Sentiment Bar, powered by Alpha
Modus in partnership with IBM Bluemix Watson, that polls social media to gauge market sentiment.
Alpha Modus Corp.
5950 Fairview Road
Suite 630
Charlotte, NC 28210
+1(980)237-3771
Contact@AlphaModus.com
www.AlphaModus.com