PATV: A Stock Factor Built from Persistent Abnormal Trading Volume

Summary

The note describes PATV, a stock-selection factor based on intraday trading volume. It first compares average volume over five-minute intervals with average volume over thirty-minute intervals, then ranks the resulting ratios across stocks. The factor combines the cross-sectional ranks’ mean, standard deviation, and kurtosis to represent persistent abnormal trading volume.

The document identifies the source as a 2023 mid-year quantitative research report, but provides no factor formula details beyond this brief description, empirical results, portfolio construction rules, or trading and risk controls. It therefore introduces the factor’s general construction without showing whether it predicts returns, how it should be implemented, or how it performs across markets and periods. Further evaluation would be needed before using it in a strategy.

Key ideas

• PATV compares average trading volume over five-minute and thirty-minute intervals.
• The ratio is ranked across stocks to form a cross-sectional measure.
• The factor combines the mean, standard deviation, and kurtosis of those ranks.
• The note gives no performance evidence or implementation and risk details.

Tags

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