Intraday turnover rate volatility coefficient
factor.formula
Daily minute turnover rate standard deviation:
Calculating the standard deviation of all minute turnover rate data on each trading day reflects the volatility of the turnover rate on that day.
Minute turnover rate:
Calculate the turnover rate for each minute, which is the trading volume of that minute divided by the outstanding shares of that day. $Volume_{minute}$ represents the trading volume of that minute, and $SharesOutstanding_{daily}$ represents the outstanding shares of that day.
Intraday turnover rate fluctuation coefficient (UTD):
Calculate the coefficient of fluctuation of the daily minute turnover rate standard deviation for all trading days, that is, the standard deviation divided by the mean. This value reflects the stability of the daily intraday turnover rate fluctuation range between different trading days. The smaller the value, the more stable the daily intraday turnover rate fluctuation range.
in:
- :
Standard deviation of minute turnover rate within each trading day
- :
Minute turnover rate
- :
The trading volume of the minute
- :
Circulating shares on that day
factor.explanation
The intraday turnover rate fluctuation coefficient (UTD) measures the degree of dispersion of the turnover rate distribution of stocks in different trading periods during the day, and further examines the stability of this dispersion between different trading days. Specifically, this factor first calculates the standard deviation of the minute turnover rate within each trading day, reflecting the volatility of the intraday turnover rate; then calculates the volatility coefficient of these intraday turnover rate standard deviations, thereby measuring the stability of the intraday turnover rate volatility between different trading days. The smaller the factor value, the more uniform the distribution of the stock's intraday turnover rate and the smaller the daily fluctuation, the more stable the liquidity characteristics, the lower the transaction cost, and the relatively low impact cost of investors' transactions in different periods. This factor can be used to identify targets with good liquidity and low transaction execution costs.