Large order volume and momentum
factor.formula
Large order volume can momentum:
Average single transaction amount:
in:
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The return of stock i in the jth minute of the nth trading day is calculated as (the closing price of the current minute - the closing price of the previous minute) / the closing price of the previous minute.
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The transaction amount of stock i at the j-th minute on the n-th trading day, in RMB.
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The number of transactions for stock i in the jth minute of the nth trading day indicates the number of transactions that occurred in that minute.
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The set $IdxSet$ represents the serial numbers of the top 30% minute K lines with the largest average single transaction amount on the nth trading day. This indicator selects the time periods with large single transaction volume, indicating that large funds are active.
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The time window size indicates the number of historical trading days used in factor calculation. When selecting stocks monthly, T = 20 trading days is usually set, representing a one-month trading cycle; when selecting stocks weekly, T = 5 trading days is usually set, representing a one-week trading cycle. The choice of T should be adjusted according to the actual frequency of rebalancing.
factor.explanation
This factor assumes that the trading behavior of market participants (especially large funds) will more significantly affect stock prices during the minute-by-minute period when the single transaction amount is large. The accumulated returns during these periods can reflect the short-term momentum effect of large funds. Empirical research shows that this factor is negatively correlated with the future short-term returns of stocks, which means that stocks with strong momentum in large transaction volume in the past period may experience a short-term reversal in the future, which may be due to short-term overreaction of the market or profit-taking of large funds. This factor can be used as an effective tool to measure short-term market sentiment and capital flow.