Intraday Volume Share Factors Across Trading-Day Time Windows

Summary

This note describes a single-security, multi-day approach to constructing intraday volume factors. For each trading day, the proposed measures calculate the share of full-day volume transacted within selected intervals. The intervals cover early trading, late trading, the morning and afternoon sessions, and the full day; examples include the opening five minutes, the final five minutes, and the afternoon session.

Because these features are calculated from one security's own intraday data over time, the note says they generally do not require cross-sectional calculations or data from other stocks. It offers no factor formulas beyond the volume-share concept, no empirical tests, and no evidence that any interval predicts returns. It also cautions that high-frequency factor processing can strain computing resources and cause a kernel to fail. The listed windows are candidate feature definitions, not validated trading signals.

Key ideas

• The proposed factor is the volume traded in a time interval divided by total daily volume.
• The intervals span opening, closing, morning, afternoon, and full-session periods.
• The method processes one security across multiple days and generally avoids cross-sectional data.
• The document presents candidate features without performance tests or evidence of predictive power.
• High-frequency data processing may require more computing resources to avoid kernel failures.

Tags

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