Amihud as a Proposed Addition to a High-Frequency Factor Set

Summary

This short forum post recommends adding the Amihud factor to a high-frequency factor table associated with a multi-factor alpha research series. The author says the factor was omitted from the table and characterizes it as a strong long-side factor. The request is directed at a named high-frequency factor dataset used within the platform, rather than presenting a full strategy or implementation.

The post provides no formula, sample construction details, market or period coverage, performance statistics, or supporting analysis from the cited research. It therefore offers a research lead about including an Amihud-related signal in a high-frequency factor library, but does not establish the factor's predictive value or explain how to trade it. Readers would need the referenced report and independent testing to assess the claim, including factor definition, liquidity effects, robustness, and whether any apparent alpha survives execution costs.

Key ideas

• The author proposes adding the Amihud factor to a high-frequency factor table.
• The post describes the factor as favorable for long positions but provides no supporting results.
• No formula, data construction method, or testing period is given.
• The cited research and independent validation are needed to evaluate the proposal.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.