The proportion of closing volume
factor.formula
The calculation formula of closing volume ratio is:
in:
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It represents the trading volume of the i-th stock from 14:30 to 15:00 (i.e. the closing period) on the nth trading day, in shares or lots. This trading volume reflects the market trading activity during the closing period.
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It represents the total trading volume of the ith stock on the nth trading day, in shares or lots. This trading volume reflects the overall market trading activity of the stock on that trading day.
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Indicates the serial number of the backdated trading day, where t represents the current trading day, t-1 represents the previous trading day, and so on.
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Indicates the length of the time window for the lookback (in trading days). In a monthly stock selection strategy, T is usually set to 20 trading days; in a weekly stock selection strategy, T is usually set to 5 trading days. This parameter represents the time range of the data used in the factor calculation.
factor.explanation
The tail trading volume ratio factor is negatively correlated with the stock's future returns, that is, the higher the tail trading volume ratio, the lower the stock's future returns tend to be. This phenomenon may be due to the following two points: 1. Tail trading is usually highly speculative and susceptible to price manipulation, which causes prices to deviate from their intrinsic value; 2. Due to differences in risk preferences and information acquisition, uninformed traders (such as retail investors) tend to trade in the tail trading, while informed traders (such as institutions) tend to trade in the morning. Therefore, the tail trading volume ratio can be used as an effective indicator to measure market sentiment and investor behavior, and reflects the behavioral differences between different types of traders in the market. This factor can be used to construct a quantitative stock selection model to capture irrational behavior in the market and improve the returns of the portfolio.