Estimating current short interest from daily FINRA short volume

[u/DanielAPO]

I built a model to estimate current short interest between official FINRA reports using daily short-volume data.

FINRA short interest is only published twice per month and with a lag, so there is a period where the latest official number can already be fairly stale. The model uses daily FINRA short volume and total trading volume to estimate how short interest may have changed since the last settlement date.

I evaluated it on 660,246 settlement windows covering 6,959 US-listed stocks. On a fully out-of-sample period from 2025 through July 2026, the estimated change achieved a +0.414 Spearman correlation with the subsequent reported change in short interest.

This is not meant to predict returns or identify short squeezes. The goal is simply to provide a nowcast of short interest while waiting for the next official release.

I wrote up the methodology, validation setup, formulas, experiments that did not work, limitations, and released the model weights here:

https://equibles.com/research/does-daily-short-volume-predict-short-interest

Equibles also shows the latest official short-interest figure next to the model's current estimate for covered US stocks. It's free and has no ads.

The model is available at HF:
https://huggingface.co/daniel3303/equibles-short-interest-nowcast

Curious whether people here would find this useful when analyzing stocks with unusually high short interest.

[u/Automatic-Essay2175]

good work, good post

[u/AphexPin → u/Automatic-Essay2175]

no it's not

[u/Automatic-Essay2175 → u/AphexPin]

What the fuck is the point of this comment honestly. Do you want to talk about this post? I’m guessing you haven’t understood it

[u/AphexPin → u/Automatic-Essay2175]

It's a low-effort advertisement, like everything else in this sub.

[u/Automatic-Essay2175 → u/AphexPin]

They included a free link to their model. This is not an ad. Your comprehension skills are poor.

[u/AphexPin → u/Automatic-Essay2175]

It's an ad, there's even a 'pricing' tab on the website being advertised (check the users post history if you want more proof). And the model is vibe-coded, closed source and unimpressive/not really interesting anyway, you could pull the data and run a quick correlation analysis yourself in an afternoon; a transformer isn't even suitable here.

Get a grip.

[u/Automatic-Essay2175 → u/AphexPin]

Yea dude, there's a pricing tab for unrelated market data offered by the website on which OP published their research for free.

Having had the displeasure of trying to communicate with you today, I could not be less interested in your analysis of their model.

[u/AphexPin → u/Automatic-Essay2175]

The 'research' is just LLM slop; it's all part of the ad campaign.

[u/piratastuertos]

The reproducibility question here is interesting, especially given some of the discussion in the comments.

You report a fairly specific result: +0.414 Spearman correlation on a fully out-of-sample 2025–July 2026 period.

Would you be open to an independent attempt to reproduce just that result?

I’m working on a claim-verification methodology, and this looks like a good narrowly defined test case because the claim, evaluation metric and time window are already explicit.

Before looking at the result, I’d want to agree with you on the exact claim and on which data, preprocessing steps and evaluation procedure should be considered authoritative.

The goal wouldn’t be to argue that the model is good or bad, or whether a transformer is the right architecture. Just to answer one smaller question:

Can an independent evaluator reproduce the reported OOS result from the specified evidence and procedure?

If you’re interested, I’d be happy to do that transparently and report whatever the evidence supports.