Intraday Volume Ratio Momentum
factor.formula
in:
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It is the trading volume in the first 30 minutes before the opening of the market on the $t-i$th morning.
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It is the trading volume in the first 30 minutes before the opening of the afternoon of $t-i$ day.
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is the weight factor of the $t-i$th day, which is used to weight the data of different dates. There are two calculation methods:
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Exponential weighting: $w_{t-i} = \frac{1-\alpha^{i}}{1-\alpha}$, where $\alpha$ is the decay factor.
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Arithmetic mean: $w_{t-i} = 1$, indicating that all historical data have the same weight.
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It is the decay factor in exponential weighting, which controls the influence of historical data. Usually $\alpha = 1 - \frac{1}{d}$, where $d$ is the number of days to look back. The closer $\alpha$ is to 1, the slower the historical data decays, and vice versa.
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The number of trading days for back-calculating the volume ratio is generally the number of trading days from the last trading day of each month, for example, 20 days. This parameter determines the length of the historical data window considered when calculating this factor.
factor.explanation
This factor captures the difference in intraday volume distribution. When the volume is low in the morning opening 30 minutes and high in the afternoon opening 30 minutes, the volume ratio value will be low, which may reflect that market sentiment is more active in the afternoon. The smaller the volume ratio value, the greater the market's willingness to trade in the afternoon, and it often shows a certain inverse relationship with the stock returns of the next month, that is, the smaller the value, the more effective the prediction of the stock returns of the next month may be. This factor can be regarded as a momentum factor. Its logic is that price changes are often accompanied by changes in trading volume, and changes in trading volume are used to assist in predicting prices.