Institutional activity factor
factor.formula
Calculate the relative volatility indicator $S_t$ per minute:
Calculate the volume-weighted average price $VWAP_{smart}$ of institutional active trading:
Calculate the volume-weighted average price $VWAP_{all}$ of all trades:
Calculate the institutional activity factor:
in:
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The rise and fall in the tth minute is calculated as: (the closing price of the current minute - the closing price of the previous minute) / the closing price of the previous minute, which reflects the fluctuation range of the price in that minute. The absolute value operation ensures that the indicator is positive, and pays attention to the size of the volatility.
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The trading volume in the tth minute can be in the number of shares or lots, reflecting the trading activity of that minute. The trading volume is raised to the power of 0.25 (i.e., one-fourth) in order to smooth the trading volume and reduce the impact of extreme trading volume on the indicator. Using an exponent less than 1 can reduce the impact of differences in the magnitude of trading volume and make the volatility indicator more robust.
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Represents the volume weighted average price of institutional active transactions. This price is obtained by multiplying the transaction price of each identified institutional active transaction by the corresponding transaction volume, then summing up all these products and dividing by the total transaction volume. It is the volume weighted average price corresponding to transactions with large single order size and more aggressive quotes identified by a specific algorithm, with the purpose of reflecting the transaction costs of institutional investors at the minute level.
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Represents the volume-weighted average price of all trades. This price is calculated by multiplying each trade price by the corresponding volume, then summing all these products and dividing by the total volume. It represents the overall transaction cost of the stock at the minute level.
factor.explanation
The institutional activity factor aims to quantify the activity of institutional investors in a specific stock by analyzing minute-level trading data. This factor does not directly track the so-called smart money, but is based on the following assumption: institutional investors usually show the characteristics of large single order size and more aggressive quotes when trading. Therefore, this factor identifies and quantifies these trading characteristics by constructing a relative volatility index and combining it with the volume-weighted average price. Specifically, first calculate the relative volatility index St per minute, which takes into account the price fluctuation range at the minute level and the impact of trading volume. Secondly, according to the preset algorithm, select transactions that meet the institutional activity characteristics. Subsequently, calculate the volume-weighted average price VWAPsmart of institutional active transactions and the volume-weighted average price VWAPall of all transactions respectively. Finally, the institutional activity factor measures the activity of institutional transactions through the ratio of the two. The higher the ratio, the more active institutional investors are in the stock. It is worth noting that this factor cannot directly identify the identity of institutional investors, but infers it by analyzing the characteristics of trading behavior. It is an indirect quantitative analysis method.