Trading Volume Volatility
factor.formula
Average daily trading volume volatility over the past K months:
in:
- :
Represents the standard deviation function, which is used to calculate the standard deviation of the daily average transaction amount series within a given time window.
- :
Represents the daily transaction volume sequence in the time window from t-K to t
factor.explanation
This factor measures the volatility of trading volume by calculating the standard deviation of the average daily trading volume over the past K months. A higher volatility indicates that the trading activity of the stock is unstable, there may be a higher liquidity risk, and investors may face greater impact costs when trading the stock. A lower volatility indicates that the trading volume is relatively stable and the liquidity risk is low.