Small single misalignment autocorrelation
factor.formula
Rank Correlation of lagged small order net flow
in:
- :
The net inflow sequence of small orders (usually orders less than 40,000 yuan) in the 20 trading days before time t.
- :
The net inflow sequence of small orders in the past 20 trading days from time t+1. Compared with $S_t$, the time window lags behind by one trading day, forming a dislocated time series.
- :
Sort the sequence within the brackets and obtain its rank in the sequence.
- :
Calculates the Spearman's rank correlation coefficient between the two ordered lists in parentheses.
factor.explanation
This factor measures the herding effect of retail investors by calculating the lagged one-period rank correlation of the small order net inflow sequence. Specifically, we first calculate the small order net inflow sequence of the stock in the past 20 trading days ($S_t$), and then calculate its small order net inflow sequence lagged by one trading day ($S_{t+1}$). Then, sort the two sequences separately to obtain the corresponding order columns. Finally, we calculate the Spearman rank correlation coefficient of the two order columns. If the correlation coefficient is positive and high, it indicates that the direction of the current small order fund flow has a strong positive correlation with the direction of the small order fund flow of the previous day, reflecting that retail investors have a tendency to chase ups and downs, and this behavior pattern may lead to a short-term momentum effect. This factor performs well among the fund flow misalignment correlation factors.