The proportion of call auction trading volume
factor.formula
Opening Auction Volume Ratio Factor (OCVR):
Closing Auction Volume Ratio Factor (BCVR):
OBCVR composite factor:
in:
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The weight coefficient of the trading volume at different time points during the opening call auction is used to weight the proportion of the opening call auction trading volume in the past d trading days. Usually, equal weighting (i.e., $w_{t-i} = 1$) can be used, or time-decay weighting (for example, the more recent the trading day, the greater the weight) can be used to pay more attention to recent market behavior. The weight coefficient should satisfy $\sum_{i=1}^{d} w_{t-i} = 1$.
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The size of the calculation time window indicates the number of days for the back-calculation. For example, d=5 means that the volume data of the past 5 trading days is used to calculate the factor. The choice of the time window size will affect the smoothness and sensitivity of the factor and needs to be adjusted according to the specific strategy. A smaller d value will make the factor more sensitive to recent changes, and a larger d value will make the factor smoother.
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The trading volume during the opening call auction phase of the t-i day usually refers to the trading volume during the period before the opening (e.g. 9:15-9:25). This value reflects the market activity and the power of long and short games during the opening period.
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The trading volume during the closing call auction phase of the t-i day usually refers to the trading volume during a specific time period before the closing (e.g. 14:55-15:00). This value reflects the market activity and the power of long and short games during the closing period.
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Total daily trading volume of individual stocks on day t-i. Used to standardize call auction trading volume to avoid incomparable factor values due to differences in absolute trading volumes between different stocks or between different days of the same stock.
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The composite weight of the Opening Call Auction Volume Ratio (OCVR), ranging from [0, 1]. The weight (1 - \alpha) is assigned to the Closing Call Auction Volume Ratio (BCVR). The choice of α determines the contribution of the opening and closing volume ratios to the final composite factor. For example, when α=0.5, it means that the weights of the opening and closing are equal, and when α=1, only the opening call auction volume ratio is considered.
factor.explanation
The call auction phase is a key period that reflects the behavior of market participants. The trading volume during this period can reveal the intensity of the game between long and short parties and market sentiment. Specifically:
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Opening call auction volume ratio (OCVR): reflects the market's digestion of the previous day's information and its expectations for the day's trend. A higher ratio may mean that the market reacts strongly to the previous day's events and there is a large divergence between long and short positions; a lower ratio may mean that market sentiment is stable.
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Closing call auction volume ratio (BCVR): reflects the market's summary of the day's trading and its outlook for subsequent trading. A higher ratio may mean that the market is concentrated before the close of trading and the long and short forces are strong; a lower ratio may mean that the market is relatively calm.
By combining the opening and closing volume ratios, this factor can more comprehensively reflect the changes in market sentiment at different times of the day. Empirical studies have shown that in some cases, there is a certain correlation between the call auction volume ratio and stock returns. For example, when the opening and closing call auction volume ratios are relatively low, it may indicate that the stock will have a higher return in the future. But please note that this factor is only one of many quantitative factors. Its predictive ability will be affected by factors such as the market environment and the characteristics of the selected stocks. It should be combined with other factors and models for comprehensive analysis.