Coefficient of variation of turnover
factor.formula
This formula calculates the coefficient of variation of the daily transaction volume in the last K months. The numerator is the arithmetic mean of the daily transaction volume in the last K months, representing the average level of the transaction volume; the denominator is the standard deviation of the daily transaction volume in the last K months, representing the degree of volatility of the transaction volume.
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Daily transaction volume
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The arithmetic mean of the daily transaction volume in the last K months indicates the average level of transaction volume during this period and reflects the level of trading activity.
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The standard deviation of daily transaction volume in the last K months indicates the degree of fluctuation of transaction volume during this period and reflects the stability of transaction.
factor.explanation
The Coefficient of Variation of Turnover measures the relative volatility of turnover by calculating the ratio of the standard deviation of turnover to the average value. It takes into account the average level and volatility of turnover and can more comprehensively reflect the liquidity characteristics of stocks. A higher coefficient of variation indicates that turnover fluctuates more and may face greater liquidity risks during trading. This indicator can be used to identify stocks with poor liquidity or as an important reference for building quantitative stock selection models.