Quantitative Models and Construction Methods - **Model Name**: Dimension Matching Factor **Construction Idea**: The calculation process of high-frequency factors can be divided into several steps of data transformation and K-line aggregation. Dimension matching factors are derived from the final step of matching K-line operators, which aggregate data across multiple dimensions[3][6][55] **Construction Process**: 1. Data transformation: Apply function mapping to transaction information for local processing 2. K-line aggregation: Aggregate data at a certain frequency to reduce high-frequency data to low-frequency data 3. Use residual volatility operators to aggregate transaction volume and transaction amount proportions, constructing transaction matching volatility factors[6][55][59] **Evaluation**: Compared to deep learning, this method focuses on local information. Compared to genetic algorithms, it better corresponds to sources of returns[6][55][84] Model Backtesting Results - **Dimension Matching Factor**: - IC values after neutralizing market capitalization and industry: 3.81% (CSI 300), 3.63% (CSI 500), 4.25% (CSI 1000), 4.15% (CSI All Index)[84] - Annualized excess returns: 5.05% (CSI 300), 3.53% (CSI 500), 5.00% (CSI 1000), 5.77% (CSI All Index)[84] Quantitative Factors and Construction Methods - **Factor Name**: Residual Volatility Factors **Construction Idea**: Derived from residual volatility logic, focusing on price stability and transaction volume volatility[7][35][55] **Construction Process**: 1. High-frequency residual volatility: Time-series regression residual volatility of individual stock returns and three-factor returns at 30-minute frequency 2. Residual transaction volume volatility: Time-series regression residual volatility of individual stock transaction proportions and market transaction proportions 3. Residual amplitude volatility: Time-series regression residual volatility of individual stock amplitude and market amplitude (CSI All Index)[35][55][59] **Evaluation**: These factors belong to low-volatility return sources and have relatively low correlation with other factors, providing incremental information[35][36][55] Factor Backtesting Results - **Residual Volatility Factors**: - IC values after neutralizing market capitalization and industry: 5.76% (Residual Transaction Volume Volatility), 7.55% (Residual Amplitude Volatility)[7][43][48] - Annualized excess returns: 4.65% (Residual Transaction Volume Volatility), 5.25% (Residual Amplitude Volatility)[7][43][48] - IC values after neutralizing market capitalization, industry, volatility, and turnover: 4.02% (Residual Transaction Volume Volatility), 2.67% (Residual Amplitude Volatility)[7][43][48] - Annualized excess returns after further neutralization: 2.74% (Residual Transaction Volume Volatility), 0.45% (Residual Amplitude Volatility)[7][43][48] - **Factor Name**: Transaction Matching Volatility Factor **Construction Idea**: Derived from dimension matching logic, aggregating transaction volume and transaction amount proportions across multiple dimensions[55][59][84] **Construction Process**: 1. Per transaction volume: Matching transformation operator—division (transaction volume, transaction count) 2. Total transaction volume: Time-series K-line operator—summation (transaction volume) 3. Transaction volume proportion: Matching transformation operator—division (transaction volume, total transaction volume) 4. Transaction matching volatility: Matching K-line operator—regression residual volatility (per transaction volume, transaction volume proportion)[55][59][84] **Evaluation**: This factor mainly correlates with volatility and turnover rate factors, indicating low-volatility return sources and a bias towards small-cap stocks[55][58][61] Factor Backtesting Results - **Transaction Matching Volatility Factor**: - IC values after neutralizing market capitalization and industry: 5.35% (CSI 300), 6.01% (CSI 500), 7.31% (CSI 1000), 7.55% (CSI All Index)[65][68][84] - Annualized excess returns: 5.05% (CSI 300), 3.53% (CSI 500), 5.00% (CSI 1000), 5.77% (CSI All Index)[65][68][84] - IC values after neutralizing market capitalization, industry, volatility, and turnover: 3.81% (CSI 300), 3.63% (CSI 500), 4.25% (CSI 1000), 4.15% (CSI All Index)[65][68][84] - Annualized excess returns after further neutralization: 2.74% (CSI 300), 2.38% (CSI 500), 2.04% (CSI 1000), 2.74% (CSI All Index)[65][68][84]