Measuring Stock Buying and Selling Pressure with Price-Volume Factors
Summary
The document describes APB, a family of cross-sectional stock factors intended to estimate buying and selling pressure from the relationship between price and trading volume. Its premise is that buying concentrated at lower prices and selling concentrated at higher prices affect volume-weighted average price. APB is defined as the logarithm of the ratio between an equally weighted average price and a volume-weighted average price. Three variants measure pressure over monthly, five-session, and intraday horizons.
The reported research conclusion is that stocks with stronger buying pressure outperformed those with stronger selling pressure over the following month. The five-session factor is said to have performed more strongly than the monthly version, with positive average RankIC figures reported for large-cap indices as well as the broader market. Daily-frequency variants are described as correlated with each other, while the intraday measure has low correlation with daily measures and may diversify them. The supplied text is only a summary: it omits the paper's full methodology, sample dates, statistical details, and implementation caveats, so the reported results cannot be independently assessed here.
Key ideas
- APB estimates buying and selling pressure using a logarithmic comparison of equal-weighted and volume-weighted average prices.
- The factor is measured over monthly, five-session, and intraday horizons.
- The summary reports that stocks with greater measured buying pressure outperformed those with greater selling pressure over the next month.
- The five-session and intraday variants are reported as stronger than the monthly variant.
- Intraday APB is described as weakly correlated with daily-frequency measures, suggesting potential complementarity.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.