Dispersion of intraday turnover rate distribution
factor.formula
Standard deviation of intraday turnover rate:
Calculate the standard deviation of the daily stock minute-level turnover rate, where N represents the total number of minute-level trading data within the day, $Turnover_{i,minute}$ represents the turnover rate of the ith minute, and $\overline{Turnover_{minute}}$ represents the mean of the minute-level turnover rate within the day. This indicator reflects the volatility of the intraday turnover rate.
Minute turnover rate:
Calculate the turnover rate per minute, where $Volume_{minute}$ represents the trading volume per minute, and $SharesOutstanding_{daily}$ represents the outstanding shares of the day. This indicator indicates how many shares were traded in a specific minute.
Intraday turnover distribution dispersion (UTD):
Calculate the coefficient of fluctuation (coefficient of variation) of the daily turnover rate standard deviation on all trading days, where $\sigma_{Daily}(\sigma_{Turnover,Daily})$ represents the standard deviation of the daily turnover rate standard deviation on all trading days, and $\overline{\sigma_{Turnover,Daily}}$ represents the mean of the daily turnover rate standard deviation on all trading days. This indicator measures the stability of the intraday turnover rate fluctuation between different trading days.
in:
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Minute turnover rate
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Volume per minute
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Circulating shares on the day
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Standard deviation of intraday turnover rate
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Daily turnover rate standard deviation is the standard deviation of all trading days
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The average of the daily turnover rate standard deviation on all trading days
factor.explanation
The intraday turnover rate distribution dispersion factor measures the volatility of the stock's turnover rate in each trading period of the day, as well as the stability of this volatility between different trading days. The smaller the factor value, the more uniform the distribution of the intraday turnover rate, and the more stable this uniformity between different trading days, reflecting the continuity and predictability of trading behavior. A lower factor value may imply stronger liquidity and more stable trading patterns, while a higher factor value may imply instability in intraday trading activities and potential speculative behavior.