市场微观结构研究系列（29）：市场微观结构观察与2023年以来的高频因子回顾

Quantitative Models and Construction Methods - Model Name: High-dimensional Memory (MEMO) Factor Construction Idea: This factor uses symbol processing to analyze the relationship between each order and subsequent orders, reflecting institutional contributions to trading[40][45] Construction Process: 1. Convert the trading direction of each order into a numerical sequence 2. Calculate the correlation coefficient between orders to measure their relationship 3. Stronger correlations indicate higher institutional involvement and better company quality[40][45] Evaluation: The factor effectively captures institutional trading behavior and demonstrates strong performance in identifying high-quality stocks[40][45] - Model Name: Strong Reversal (SR) Factor Construction Idea: Based on the principle that higher single-order transaction amounts lead to stronger reversals, this factor refines the ideal reversal factor at the minute level[46][48] Construction Process: 1. Use minute-level single-order transaction amounts 2. Segment the intraday 240-minute price fluctuations 3. Construct the strong reversal factor based on the ideal reversal factor[46][48] Evaluation: The factor improves upon daily frequency reversal factors and effectively captures intraday reversal opportunities[46][48] - Model Name: Lottery (LOTTERY) Factor Construction Idea: This factor identifies retail investor behavior by analyzing orders placed at limit-up or limit-down prices, reflecting the dominance of retail characteristics in trading[48][49] Construction Process: 1. Analyze the proportion of orders placed at limit-up or limit-down prices 2. Higher proportions indicate retail-dominated trading structures 3. Stocks with higher retail dominance often exhibit price deviations[48][49] Evaluation: The factor effectively captures retail investor behavior and highlights stocks with potential price anomalies[48][49] Model Backtesting Results - MEMO Factor: - IC: 0.045 - ICIR: 2.989 - Annualized Long-Short Return: 29.3%[39][40][45] - SR Factor: - IC: -0.043 - ICIR: -2.473 - Annualized Long-Short Return: 19.7%[39][46][48] - LOTTERY Factor: - IC: -0.054 - ICIR: -2.792 - Annualized Long-Short Return: 32.9%[39][48][49] High-Frequency Factor Tracking Results - MEMO Factor: - IC: 0.045 - ICIR: 2.989 - Annualized Long-Short Return: 29.3%[39][40][45] - SR Factor: - IC: -0.043 - ICIR: -2.473 - Annualized Long-Short Return: 19.7%[39][46][48] - LOTTERY Factor: - IC: -0.054 - ICIR: -2.792 - Annualized Long-Short Return: 32.9%[39][48][49]