The proportion of call auction trading volume
factor.formula
Opening Call Auction Volume Percentage (OCVP):
Closing Call Auction Volume Percentage (CCVP):
Aggregated Call Auction Volume Percentage (ACVP):
in:
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The weight of the opening call auction volume on the t-i day within the time window can be set to equal weight or time-decay weight. For example, using exponential decay weight, give a higher weight to the most recent trading day to reflect short-term changes in market sentiment.
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The size of the historical time window used to calculate the factor, in trading days. For example, d=5 means using data from the past 5 trading days.
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The trading volume during the opening call auction phase of day t-i. Specifically, it refers to the trading volume during the period before the opening (for example, 9:15-9:25).
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The trading volume during the closing call auction phase of day t-i. Specifically, it refers to the trading volume during the period before the closing (for example, 14:55-15:00).
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The total trading volume of the stock for the whole day on day t-i.
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The weight of the opening call auction volume share factor (OCVP) in the composite factor ranges from 0 to 1, reflecting the difference in the importance investors place on the opening call auction and the closing call auction. The larger the $\alpha$ is, the more emphasis is placed on the importance of the opening call auction volume share; conversely, the more emphasis is placed on the importance of the closing call auction volume share. The optimal $\alpha$ value can be determined through backtesting.
factor.explanation
The call auction stage is an important time point for market transactions, which can reflect the sentiment and trading willingness of investors during the opening and closing periods. The opening call auction volume share (OCVP) can be seen as the market's initial reaction to the previous day's news, while the closing call auction volume share (CCVP) can be seen as a summary of the market sentiment for the day. The logic of this factor is that when the call auction volume share is too low, it may mean that market sentiment is low and there is a rebound opportunity in the future. On the contrary, when the call auction volume share is too high, it may mean that market sentiment is overheated and there is a risk of a correction in the future. Therefore, by combining the volume share of the opening and closing call auctions, we can have a more comprehensive understanding of market sentiment and power games. It should be noted that this factor is usually used in combination with other factors to improve prediction accuracy.