The correlation between the synchronization of large and small order capital flows
factor.formula
Fund flow synchronization rank correlation formula:
in:
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Time series of net inflow of funds from super-large orders in the past 20 trading days. A super-large order is defined as a single transaction with a transaction amount greater than 1 million yuan. This series records the net inflow amount of super-large orders per day (buy amount minus sell amount).
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Time series of small order net inflows over the past 20 trading days. Small orders are defined as transactions with a single transaction amount of less than 40,000 yuan. This series records the daily net inflow of small orders (buy amount minus sell amount).
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Calculate the Spearman rank correlation coefficient of time series X and Y. The rank correlation coefficient measures the consistency of the ranking of two variables, and its value range is between -1 and 1. A positive value indicates that the ranking trends of the two variables are the same, a negative value indicates that the ranking trends are opposite, and 0 indicates no linear correlation.
factor.explanation
This factor measures the degree of synchronization between the net inflow series of very large orders and small orders over a period of time by calculating the Spearman rank correlation of the two. A positive rank correlation coefficient may indicate that market participants (especially retail investors and institutions) are tending to be consistent in sentiment. For example, when the market is generally optimistic, both may show net inflows; a negative rank correlation coefficient may indicate that there is a divergence in behavior between the two. For example, when institutions sell, retail investors may choose to buy at the bottom. However, it should be noted that the construction of this factor is based on the identity constraint that the sum of the net inflows of all orders is zero, so its performance may be partially affected by the level of capital flow of the two, and cannot fully reflect its deep alpha source. The real alpha source may still be the intensity of capital flow, and synchronization is only its appearance. This factor can be used as an indicator to measure market sentiment and liquidity microstructure, but it needs to be combined with other factors for comprehensive analysis.