We study directed lead-lag relationships in US equities and their economic value at the daily horizon. We propose a directional score based on ordered level-2 signatures (L & eacute;vy area) and estimate a rolling directed network from close-to-close returns. Trading followers using inferred leaders lagged returns yields a signal-normalized long-short portfolio hedged with SPY. Using CRSP data from 1963-2022 on large-cap stocks, the signature strategy achieves about 20% annualized returns with Sharpe above 3. Our method outperforms standard benchmarks and benchmarks from the literature. The signals we discover are only weakly explainable by previously discovered lead-lag relationships and Fama-French factors.
This paper develops a framework to predict toxic trades that a broker receives from her clients. Toxic trades are predicted with a novel online Bayesian method which we call the projection-based unification of last-layer and subspace estimation (PULSE). PULSE is a fast and statistically-efficient online procedure to train a Bayesian neural network sequentially. We employ a proprietary dataset of foreign exchange transactions to test our methodology. PULSE outperforms standard machine learning and statistical methods when predicting if a trade will be toxic; the benchmark methods are logistic regression, random forests, and a recursively-updated maximum-likelihood estimator. We devise a strategy for the broker who uses toxicity predictions to internalise or to externalise each trade received from her clients. Our methodology can be implemented in real-time because it takes less than one millisecond to update parameters and make a prediction. Compared with the benchmarks, PULSE attains the highest PnL and the largest avoided loss for the horizons we consider.
Rapid, aqueous macrocyclization strategies that proceed in high conversion are valuable for ultralarge macrocyclic peptide (MP) library synthesis via display and DNA-encoded library (DEL) technology. Here we report an on-DNA macrocyclization based on sulfur(VI) fluoride exchange (SuFEx) that unites above features. This approach embeds a phenol and an aryl sulfonyl fluoride within a DNA-tagged peptide to accelerate SuFEx and trigger intramolecular cyclization immediately upon dissolution in basic aqueous buffer. MPs ranging from 15 to 52 membered rings bearing diverse amino acids were synthesized efficiently. The on-DNA conditions readily translate off DNA to furnish sulfonate and sulfonamide linked MPs. NMR analyses showed SuFEx-derived biaryl linkers act as conformational tuner: sequential changes in aryl substitution and linker length shift backbone conformations from extended strands to rigid turns. Leveraging this chemistry, we designed and synthesized ultralarge MP libraries via DEL technology. DEL screening followed by off-DNA hit validation identified a potent, de novo MP inhibitor of receptor-interacting serine/threonine kinase 1 (RIPK1). Collectively, these findings establish SuFEx cyclization as a robust, DEL-compatible strategy for programmable macrocycle design and drug discovery.
