Market-Cap Neutralization of Turnover in SQL

Summary

This brief forum entry addresses an SQL error encountered while trying to neutralize a rolling turnover measure against total market capitalization. It points readers toward a regression-residual function as an alternative to a direct neutralization call. The example first forms a short-window sum of turnover, then applies the residual function using market capitalization as the explanatory variable, with results queried from a Chinese stock factor dataset.

The underlying idea is to remove the portion of turnover associated with company size, leaving a residual measure that may be more comparable across stocks. The post is a troubleshooting hint rather than a complete methodology: it does not explain the regression function’s exact semantics, missing-data handling, cross-sectional grouping, or whether the residual is standardized. It also supplies no empirical evaluation of the resulting factor, so users would need to confirm the SQL syntax and test the measure in their own research setup.

Key ideas

• A regression-residual function is suggested for removing market-cap effects from turnover.
• The example applies the residual operation to a rolling turnover sum and total market capitalization.
• The post does not specify all regression, grouping, or missing-data conventions.
• No factor performance or validation results are provided.

Tags

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