Turnover rate volatility
factor.formula
The turnover rate volatility is defined as the standard deviation of the daily turnover rate series in the last K months, and the calculation formula is as follows:
in:
Daily turnover rate (Turnover) =
In the formula, \(\sigma(\text{Turnover}_t)_{t=1}^{K \times \text{TradingDaysPerMonth}}\), represents the standard deviation of the daily turnover rate series over the past K months. \( \text{Volume}_t \) represents the trading volume on day t, and \(\text{FloatShare}_t\) represents the outstanding shares on day t.
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The standard deviation operator measures the dispersion of the data.
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The daily turnover rate on day t.
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The number of lookback months is used to calculate the time window of turnover rate volatility. This parameter needs to be adjusted according to the actual strategy, and the common value range is 3-12 months.
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The average number of trading days per month. This parameter is used to calculate the daily sequence length of the lookback window, and is generally set to 20 in the Chinese market.
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The trading volume on day t indicates the total trading volume of the stock within day t.
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The outstanding share capital on day t refers to the total number of shares available for market trading on day t.
factor.explanation
The turnover rate volatility reflects the stability of the stock's trading activity. A lower turnover rate volatility indicates that the stock's trading behavior is relatively stable and the market participants' trading interest in the stock changes less; conversely, a higher volatility means that the market's trading interest in the stock changes more, and there may be more speculative behavior or information shocks. In practical applications, this factor is often used in combination with other factors to build a more comprehensive quantitative stock selection model. Generally, stocks with lower turnover rate volatility may be considered to have lower trading risks and may show better risk-adjusted returns in certain market environments.