日内“动量脉冲”与股价过度反应的精细刻画

Quantitative Factors and Construction Methods 1. Factor Name: "偏锋涨跌幅" (Skewed Momentum) - Factor Construction Idea: This factor captures the "excess momentum" of individual stocks relative to the market during specific intraday periods, aiming to identify stocks prone to overreaction and subsequent reversal[1][10][13] - Factor Construction Process: 1. Momentum Benchmark: Calculate the average return of all rising or falling stocks in the market for each minute, serving as the "positive momentum benchmark" and "negative momentum benchmark"[13] 2. Deviation: For each stock and each minute, compute the difference between the stock's 1-minute return and the corresponding momentum benchmark. If the stock's return is zero or no stocks share the same direction, the deviation is set to zero[13] 3. Skewness of Deviation: Calculate the skewness of deviations across all stocks in the market for each minute. Positive skewness indicates a higher proportion of "outlier rising" or "outlier falling" stocks. Aggregate the logarithmic deviations during "momentum periods" (when skewness > 0) for each stock to derive a daily factor[13] 4. Low-Frequency Conversion: At the end of each month, calculate the standard deviation of the daily factor over the past 20 days to obtain the "偏锋涨跌幅" factor[13] - Factor Evaluation: This factor effectively captures intraday overreaction and helps identify stocks with potential for reversal[10][13] 2. Factor Name: "量涌波动率" (Volume Surge Volatility) - Factor Construction Idea: This factor measures the stability of returns within intraday periods defined by volume peaks, reflecting the impact of different investor sentiments on stock returns[17][23] - Factor Construction Process: 1. Segment Division: Use a recursive binary method to divide the intraday period into segments based on volume peaks. Exclude the first 10 minutes of trading to avoid distortions from high activity[23] - If a segment contains at least 3 minutes, divide it into two sub-segments based on the highest volume minute (excluding the first and last minutes)[23] - If a segment contains 2 minutes, divide it into two 1-minute segments[23] - If a segment contains only 1 minute, no further division is performed[23] 2. Volatility Calculation: Compute the standard deviation of returns for each segment as the daily factor value[23] 3. Low-Frequency Conversion: Standardize the daily factor and calculate the standard deviation over the past 20 days to derive the "量涌波动率" factor[23] - Factor Evaluation: This factor captures the stability of returns influenced by different investor sentiments, effectively identifying stocks with higher or lower future returns based on intraday volatility patterns[17][24] 3. Factor Name: "动量脉冲" (Momentum Pulse) - Factor Construction Idea: This composite factor combines "偏锋涨跌幅" and "量涌波动率" equally to enhance the precision of capturing intraday momentum and reversal effects[27][28] - Factor Construction Process: 1. Combine the "偏锋涨跌幅" and "量涌波动率" factors with equal weights[28] 2. Perform monthly frequency backtesting to evaluate the factor's performance[28] - Factor Evaluation: The composite factor demonstrates strong performance in capturing intraday momentum and reversal effects, with consistent positive excess returns across different market conditions[28][47] --- Factor Backtesting Results 1. "偏锋涨跌幅" Factor - IC Mean: 6.29%[14] - Rank IC Mean: 9.20%[14] - Annualized Long-Short Return: 29.13%[14] - Annualized Long-Short Sharpe Ratio: 2.25[14] - Annualized Long-Only Excess Return: 7.46%[14] - Annualized Long-Only Sharpe Ratio: 1.52[14] 2. "量涌波动率" Factor - IC Mean: 6.83%[25] - Rank IC Mean: 10.06%[25] - Annualized Long-Short Return: 31.95%[25] - Annualized Long-Short Sharpe Ratio: 2.83[25] - Annualized Long-Only Excess Return: 8.42%[25] - Annualized Long-Only Sharpe Ratio: 1.78[25] 3. "动量脉冲" Factor - IC Mean: 6.98%[30] - Rank IC Mean: 10.24%[30] - Annualized Long-Short Return: 31.93%[30] - Annualized Long-Short Sharpe Ratio: 2.50[30] - Annualized Long-Only Excess Return: 7.88%[30] - Annualized Long-Only Sharpe Ratio: 1.55[30] 4. "动量脉冲" Factor in Different Market Segments - 沪深300: Rank IC Mean 4.37%, Annualized Long-Short Return 12.14%[48] - 中证500: Rank IC Mean 7.96%, Annualized Long-Short Return 20.41%[48] - 中证1000: Rank IC Mean 10.51%, Annualized Long-Short Return 27.09%[48] - 国证2000: Rank IC Mean 11.99%, Annualized Long-Short Return 33.06%[48]