The strength of correlation between main trading volume
factor.formula
Transaction intensity (TS) is obtained by calculating the rank correlation coefficient between the single transaction amount series and the minute transaction amount series.
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It is a sequence of minute-level single transaction amounts of a certain stock on a specific trading day. Each element in the sequence represents the sum of the transaction amounts of all single transactions that occurred in that minute.
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It is a sequence of minute-level total transaction amounts of a certain stock on a specific trading day. Each element in the sequence represents the sum of all transaction amounts in that minute, regardless of whether it is a single transaction or multiple transactions.
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Represents a function for calculating the rank correlation coefficient. The rank correlation coefficient is a nonparametric statistical method that measures the monotonic relationship between two variables. Compared with the Pearson correlation coefficient, the rank correlation coefficient is insensitive to outliers and is more suitable for non-normally distributed data. Here, we calculate the rank correlation coefficient between the single transaction amount series and the minute transaction amount series to evaluate the degree of synchronization between the two.
In order to smooth noise and improve factor stability, the calculated daily trading intensity (TS) is usually rolled averaged. For example, the main transaction correlation intensity factor (MTS) can be obtained by calculating the TS mean of the past 20 trading days. Specifically: MTS_t = mean(TS_{t-19}, TS_{t-18}, ..., TS_t) where t is the current trading day.
factor.explanation
The main transaction correlation strength factor measures the correlation between the amount of a single transaction and the total amount of transactions per minute, reflecting the degree of influence of relatively large transactions in the market (usually considered to be the main behavior) on the overall transaction volume. The core logic of this factor is that if the main funds dominate the market, the changes in the amount of large transactions will show a stronger correlation with the changes in the total transaction amount, which means that the trading behavior of the main funds has a stronger ability to guide the market transaction rhythm. Higher correlation values suggest that the main funds are active and have a greater influence on market prices. Conversely, lower correlations may mean that the market is more fragmented and transactions are more driven by retail investors. This factor can help us identify the activity intensity of the main funds in the market and assist in judging the short-term trend of the market.