Turnover rate volatility
factor.formula
The turnover rate volatility is defined as the standard deviation of the daily turnover rate series in the last K months, and the calculation formula is:
in:
The calculation formula for daily turnover rate (Turnover) is:
The parameters in the formula are explained as follows:
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The standard deviation function is used to calculate the volatility of the daily turnover rate series.
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The daily turnover rate of the stock on day t.
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Indicates time, here it is a natural day.
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The current date.
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The look-back period indicates the number of historical months used to calculate the turnover rate volatility. The size of the K value needs to be adjusted according to market conditions and investment strategies. Common ranges include 3, 6, 12 months, etc. A larger K value will take into account longer-term fluctuations, while a smaller K value is more sensitive to recent fluctuations.
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The trading volume of the stock on day t.
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The outstanding shares of the stock on day t.
factor.explanation
The turnover rate volatility measures the volatility of a stock's turnover rate over the past period of time, reflecting the market's expectations of the stability of the stock's trading activity. The lower the turnover rate volatility, the more stable the stock's turnover rate has been over the past period of time, and the market's trading behavior is also relatively stable, which may suggest that investors are more rational in their trading behavior of the stock, reducing the risk of excessive speculation. Therefore, in some market conditions, lower turnover rate volatility may be correlated with higher future returns. The significance of this factor is to identify stocks with relatively stable trading behaviors, which may be less affected by short-term speculation and thus have better long-term investment value.