因子手工作坊系列（4）：当大单不再可靠：基于撤单行为的机构交易识别

Core Insights - The report proposes a method to identify institutional trading behavior through the "order-cancellation time difference," emphasizing the importance of this approach in the context of algorithmic trading becoming the mainstream execution method for institutions [1][10] - The Buy Algorithmic Cancellation Ratio (BABR) factor demonstrates strong stock selection performance, with an annualized return of 27.8% for long-short portfolios [2][42] - The BABR factor aligns closely with the investment style of public funds, indicating its potential to track institutional behavior and holdings effectively [3][45] Algorithmic Trading Cancellation Identification - The report highlights that cancellation behavior is more revealing of algorithmic trading characteristics than the order itself, with significant pulse-like concentrations observed in cancellation statistics [1][17] - A method is developed to identify algorithmic trading cancellations based on specific time intervals, particularly focusing on cancellations occurring at discrete time points [22][24] Algorithmic Cancellation Ratio Factors - Two key factors are constructed: Algorithmic Cancellation Volume Ratio (ACVR) and Algorithmic Cancellation Counts Ratio (ACCR), both measuring the proportion of algorithmic cancellations relative to total cancellations [28][30] - The ACCR factor shows improved performance metrics, with an IC of 0.051 and an annualized return of 25.1% for long-short portfolios, indicating a strong correlation with institutional trading behavior [32][33] Buy Algorithmic Cancellation Ratio Factor - The BABR factor, which measures the ratio of buy algorithmic cancellations to total cancellations, shows superior stock selection performance compared to the original ACCR factor, with an IC of 0.058 [42][44] - The BABR factor's performance is consistent with the overall performance of public funds, suggesting its utility in capturing institutional trading dynamics [45][48] Factor Characteristics and Correlations - The BABR factor exhibits distinct style exposures, preferring high valuation, high elasticity, and low financial leverage stocks, with a correlation of 0.59 to the Wind Mixed Equity Fund Index [3][49] - The factor's performance is influenced by market capitalization, with a slight negative correlation to log market value, indicating a potential small-cap bias [49]