Trading Volume Volatility
factor.formula
Standard deviation of daily transaction volume in the past K months
Formula calculation logic:
- First, obtain the daily transaction volume data of the target stock in the past K months.
- Secondly, calculate the standard deviation of this set of daily transaction volume data series.
- The calculation result is the volatility of the stock's trading volume during the time period.
factor.explanation
This factor quantifies the volatility of the stock's daily trading volume by calculating the standard deviation of the stock's daily trading volume over a period of time. A higher volatility means that the trading volume changes dramatically in a short period of time, reflecting the market's instability and liquidity risk of the stock's trading activity. Investors may face greater transaction costs (such as higher impact costs) and greater price volatility risks when trading the stock. This factor can be used as an important indicator to measure the stock's liquidity risk, and it can also reflect the market's attention to the stock and trading activity. This factor is complementary to the traditional price volatility factor and can provide a more comprehensive risk assessment.