Factors Directory

Quantitative Trading Factors

Relative click volume of individual stocks

Emotional Factors

factor.formula

Relative click volume of individual stocks:

in:

  • :

    Represents the number of clicks on stock i on day t.

  • :

    Represents the sum of clicks on all N stocks in the market on day t.

factor.explanation

The relative click volume factor of individual stocks is an effective proxy indicator of market sentiment and attention. This factor assumes that stocks with high click volumes tend to receive more attention from investors, but this high attention does not necessarily translate into positive returns in the future. In fact, too high click volume may mean that the market's expectations for the stock are already too high, or that the stock has become a hot trading target, resulting in lower subsequent returns. This factor can be regarded as a reverse indicator, that is, in a quantitative strategy, one can consider buying stocks with low relative click volumes and selling stocks with high relative click volumes to obtain excess returns. In addition, this factor can also be used in combination with other factors to improve the robustness of the strategy.

Related Factors