Asymmetric Price Shock Skewness
factor.formula
Weighted least squares regression model:
Active net buying percentage:
Asymmetric Price Shock Skewness:
in:
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The rate of return in the 5-minute candlestick period is usually calculated as (closing price - opening price) / opening price. Logarithmic rate of return can also be used.
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The active net buying amount in the ith 5-minute K-line time period is defined as the active buying transaction amount minus the active selling transaction amount. Please note that different data sources may have different classifications for active buying and selling.
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The transaction amount in the i-th 5-minute K-line time period is the sum of the transaction amounts of all transactions in this time period.
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The percentage of active net buying in the i-th 5-minute K-line time period measures the relative strength of active buying in this time period
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Indicator Function, when $MoneyFlow_i$ > 0, the value is 1; otherwise, the value is 0. It is used to distinguish the time periods of active net buying and active net selling.
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In the regression model, when there is active net buying (i.e. $I_i$ is 1), the regression coefficient of the active net buying ratio $MF_i$ represents the impact intensity of active net buying on the price.
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In the regression model, when there is active net selling (i.e. $I_i$ is 0), the regression coefficient of the active net buying ratio $MF_i$ represents the impact intensity of active net selling on the price. Since Moneyflow < 0 at this time, the coefficient $\gamma^{down}$ can be understood as the negative impact intensity.
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The residual term of the regression model captures the part of price fluctuations that cannot be explained by the model.
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The variance of the regression coefficient difference $(\gamma^{up} - \gamma^{down})$ is used to calculate the standard deviation of the difference, which is used to standardize $(\gamma^{up} - \gamma^{down})$
factor.explanation
Asymmetric price shock skewness reflects the difference in the sensitivity of stocks to short-term buy-sell shocks. A positive skewness value means that, under the same trading volume, active buying has a greater impact on prices than active selling, indicating that the stock is more likely to rise. Conversely, a negative skewness implies that the stock is more likely to fall. This indicator can capture the asymmetry in the market microstructure, which may reflect factors such as market sentiment, trading congestion, or information asymmetry. The larger the absolute value of the skewness value, the stronger the shock asymmetry. It should be noted that this factor does not directly predict the rise and fall of stock prices, but reveals the relative sensitivity of stock prices to trading shocks in different directions.