Intraday Price Momentum Factor with Volume Concentration

Summary

This factor combines intraday price direction with trading volume concentration to estimate how effectively trading activity is associated with price movement. It separates volume-weighted returns during rising and falling minutes, then uses the balance between the two to represent directional skew. It also includes the largest minute’s volume relative to average volume and average trade size.

The proposed factor normalizes these signals using weighted volatility and the standard deviation of VWAP. High readings are interpreted as concentrated buying with controlled volatility, while low readings suggest selling pressure or dispersed activity. The document presents this as a way to capture short-term, flow-driven momentum, but provides no formula for combining the components, empirical tests, asset universe, or evidence of predictive performance. The directional interpretations should therefore be treated as hypotheses for validation.

Key ideas

• The factor combines intraday directional returns with measures of volume concentration and trade size.
• It distinguishes volume-weighted returns from rising and falling minutes to estimate directional skew.
• Weighted volatility and VWAP variability are proposed as normalization inputs.
• High and low factor readings are assigned bullish and weak-market interpretations, respectively.
• No empirical results or complete aggregation formula are provided.

Tags

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