Understanding VP Fast Money | Research

Not all price action is equal. VP Fast Money is a real-time, daily proxy of speculative investor activity.
Market participants behave differently when executing trades: “impatient” (speculative) investors with shorter time horizons are consumers of trading liquidity, while “patient” (conservative) investors with longer time horizons are providers of trading liquidity.
When speculative investors dominate daily trading volumes we observe higher realized volatility in the direction of the move. This is because investors with shorter time horizons tend to place many more trades crossing the bid-ask spread compared to investors with longer time horizons.
Extremely high (low) VP Fast Money leads to negative (positive) forward returns on a 1 and 3 month basis. We use VP Fast Money across asset classes and single names.
Link to VP Fast Money dashboard.