市场微观结构系列（31）：分钟资金流因子的构建方法

Quantitative Factors and Construction Methods 1. Factor Name: Minute Capital Flow Segmentation Residual Factor - Factor Construction Idea: Based on the "Factor Segmentation Theory," the minute-level capital flow is segmented using specific indicators (price, return, and amplitude) to extract residual factors with differentiated information[13][14][27] - Factor Construction Process: - Segmentation indicators include minute price, minute return, and minute amplitude - Segmentation objects are the net inflow of large and small orders over the past 20 days - For price segmentation, the high-price (head) and low-price (tail) segments are compared, with the 50% segmentation ratio showing optimal performance - For return segmentation, the high-return segment is selected - For amplitude segmentation, the high-amplitude segment is selected - The residual factors are constructed by reprocessing the segmented variables[13][14][27] - Factor Evaluation: The amplitude segmentation residual factor outperforms the price and return segmentation factors, showing the best performance in stock selection[27] 2. Factor Name: Minute Capital Flow Time Period Residual Factor - Factor Construction Idea: Different types of investors exhibit distinct preferences for intraday trading periods, and the capital flow information in specific periods contains unique signals[30][31][36] - Factor Construction Process: - Intraday trading periods are divided into the first hour, second hour, third hour, fourth hour, first half-hour, and hourly intervals - The capital flow information of specific periods over the past 20 days is extracted - Residual factors are constructed for large and small orders in each period - The first half-hour period is selected as the optimal time period for constructing the residual factor due to its superior stock selection performance[30][31][36] - Factor Evaluation: The first half-hour residual factor demonstrates robust stock selection performance, with a stable long-short curve since 2021[34][36] 3. Factor Name: Minute Capital Flow Scenario Residual Factor - Factor Construction Idea: Market scenarios are divided based on specific indicators (e.g., 5-minute return), and the capital flow information under similar scenarios is used to construct residual factors[42][43][45] - Factor Construction Process: - Market scenarios are defined using indicators such as amplitude, 1-minute return, 5-minute return, and signed transaction volume - The top 50% of trading minutes based on the selected scenario indicator are identified - The corresponding capital flow information for individual stocks is extracted - Residual factors are constructed for large and small orders under the selected scenario - The 5-minute return indicator is chosen as the optimal scenario for constructing the residual factor due to its ability to effectively capture market trends[42][43][45] - Factor Evaluation: The 5-minute return scenario residual factor shows the best stock selection performance among all scenario-based factors, with stable performance since 2021[45] --- Factor Backtesting Results 1. Minute Capital Flow Segmentation Residual Factor - Large Order (Amplitude): IC mean = 0.041, RankIC mean = 0.045, ICIR = 3.23, RankICIR = 3.34, Annualized Long-Short Return = 15.9%, IR = 3.39[27][30] - Small Order (Amplitude): IC mean = -0.047, RankIC mean = -0.054, ICIR = -2.96, RankICIR = -3.32, Annualized Long-Short Return = 17.7%, IR = 3.02[27][30] 2. Minute Capital Flow Time Period Residual Factor - Large Order (First Half-Hour): IC mean = 0.043, RankIC mean = 0.049, ICIR = 3.41, RankICIR = 3.47, Annualized Long-Short Return = 16.8%, IR = 3.64[36][42] - Small Order (First Half-Hour): IC mean = -0.061, RankIC mean = -0.07, ICIR = -3.47, RankICIR = -3.82, Annualized Long-Short Return = 23.3%, IR = 3.65[36][42] 3. Minute Capital Flow Scenario Residual Factor - Large Order (5-Minute Return): IC mean = 0.037, RankIC mean = 0.04, ICIR = 3.88, RankICIR = 3.86, Annualized Long-Short Return = 14.1%, IR = 4.04[45][50] - Small Order (5-Minute Return): IC mean = -0.054, RankIC mean = -0.059, ICIR = -3.99, RankICIR = -4.15, Annualized Long-Short Return = 21.2%, IR = 4.22[45][50] 4. Scenario Residual Factor Performance in Different Index Samples - Large Order (CSI 300): IC mean = 0.027, RankIC mean = 0.028, ICIR = 1.45, RankICIR = 1.53, Annualized Long-Short Return = 6.7%, IR = 1.14[55][60] - Large Order (CSI 500): IC mean = 0.034, RankIC mean = 0.037, ICIR = 2.16, RankICIR = 2.45, Annualized Long-Short Return = 9.4%, IR = 1.83[55][60] - Small Order (CSI 300): IC mean = -0.04, RankIC mean = -0.039, ICIR = -1.68, RankICIR = -1.59, Annualized Long-Short Return = 11.1%, IR = 1.63[55][60] - Small Order (CSI 500): IC mean = -0.048, RankIC mean = -0.049, ICIR = -2.77, RankICIR = -2.77, Annualized Long-Short Return = 15.1%, IR = 2.48[55][60]