海量LEVEL2数据因子挖掘系列(四)：集合竞价相关因子

Quantitative Factors and Construction Methods 1. Factor Name: BuyTransaction_BuyOrder_ratio_09150920 - Factor Construction Idea: This factor measures the ratio of buy transactions to buy orders during the 09:15-09:20 pre-market auction period, reflecting the buying activity in the early auction phase[7][20][22] - Factor Construction Process: The factor is calculated using Level 2 tick-by-tick order data, focusing on the 09:15-09:20 time window. It aggregates buy transactions and compares them to the total buy orders during this period[20][22] - Factor Evaluation: The factor demonstrates good monotonicity in portfolio returns when ranked and sorted into quantiles, indicating its effectiveness in capturing early buying activity[34][36] - Factor Test Results: - Top-30 portfolio achieved an annualized excess return of 6.73% over the Shenzhen A-Share Index from March 2019 to May 2024 - Top-50 portfolio achieved 5.91%, and Top-100 portfolio achieved 5.82%[34][38] 2. Factor Name: BuyWithdrew_BuyOrder_ratio_09150920 - Factor Construction Idea: This factor measures the ratio of buy order withdrawals to total buy orders during the 09:15-09:20 pre-market auction period, reflecting the withdrawal behavior of buyers[7][20][22] - Factor Construction Process: Using Level 2 data, the factor aggregates the number of buy order withdrawals and compares it to the total buy orders during the specified time window[20][22] - Factor Evaluation: The factor shows strong monotonicity in portfolio returns, indicating its ability to capture meaningful withdrawal patterns[42][44] - Factor Test Results: - Top-30 portfolio achieved an annualized excess return of 11.88% over the Shenzhen A-Share Index from March 2019 to May 2024 - Top-50 portfolio achieved 10.26%, and Top-100 portfolio achieved 8.28%[42][47] 3. Factor Name: Transaction_Order_ratio_09200925 - Factor Construction Idea: This factor measures the ratio of transactions to total orders during the 09:20-09:25 pre-market auction period, capturing overall trading activity in the late auction phase[7][20][22] - Factor Construction Process: The factor is derived from Level 2 data by aggregating transaction volumes and comparing them to total order volumes during the 09:20-09:25 time window[20][22] - Factor Evaluation: The factor exhibits good monotonicity in portfolio returns, suggesting its effectiveness in identifying active trading stocks during this period[52][53] - Factor Test Results: - Top-30 portfolio achieved an annualized excess return of 6.49% over the Shenzhen A-Share Index from March 2019 to May 2024 - Top-50 portfolio achieved 5.94%, and Top-100 portfolio achieved 5.20%[52][59] 4. Factor Name: BuyTransaction_BuyOrder_ratio_09150925 - Factor Construction Idea: This factor measures the ratio of buy transactions to buy orders during the entire 09:15-09:25 pre-market auction period, combining early and late auction phases[7][20][22] - Factor Construction Process: Using Level 2 data, the factor aggregates buy transactions and compares them to total buy orders across the 09:15-09:25 time window[20][22] - Factor Evaluation: The factor demonstrates consistent monotonicity in portfolio returns, indicating its robustness in capturing buying activity across the entire auction period[61][62] - Factor Test Results: - Top-30 portfolio achieved an annualized excess return of 5.63% over the Shenzhen A-Share Index from March 2019 to May 2024 - Top-50 portfolio achieved 6.07%, and Top-100 portfolio achieved 5.47%[61][69] 5. Factor Name: SellTransaction_SellOrder_ratio_14571500 - Factor Construction Idea: This factor measures the ratio of sell transactions to sell orders during the 14:57-15:00 closing auction period, reflecting selling pressure at the market close[7][20][22] - Factor Construction Process: The factor is calculated using Level 2 data by aggregating sell transactions and comparing them to total sell orders during the 14:57-15:00 time window[20][22] - Factor Evaluation: The factor shows strong monotonicity in portfolio returns, indicating its ability to capture significant selling activity during the closing auction[71][72] - Factor Test Results: - Top-30 portfolio achieved an annualized excess return of 10.90% over the Shenzhen A-Share Index from March 2019 to May 2024 - Top-50 portfolio achieved 10.37%, and Top-100 portfolio achieved 9.98%[71][78]