Stock Selection Factors from Reconstructed Trade Orders
Summary
This Chinese-language research summary describes constructing stock-selection factors from tick trade records. Rather than relying only on the buy-sell aggressor flag, it uses the associated buy-order and sell-order identifiers to reconstruct orders from individual executions, then characterizes intraday trading structure. The proposed signals include the share of turnover represented by large buy orders, the difference between large buy and large sell turnover shares, and buy-side and sell-side concentration measures.
The summary reports that large-buy turnover measures retain positive cross-sectional selection ability after orthogonalization against conventional factors. Most concentration measures also relate positively to future excess returns before and after that adjustment, while the concentration difference is an exception. Large-buy measures are reported to work across several large and mid-cap index universes; concentration effects appear more concentrated in smaller and mid-sized stocks. Monthly signals are said to remain useful at higher rebalancing frequencies. The source offers no detailed methodology or performance figures here, and flags systemic market, liquidity, and policy risks.
Key ideas
- Buy and sell order identifiers in tick records can be used to reconstruct orders from executions.
- Large buy-order turnover share and its difference from large sell-order share are reported as positive stock-selection factors after orthogonalization.
- Most buy-side and sell-side concentration measures are reported to relate positively to future excess returns.
- Large-buy measures are reported across large and mid-cap index groups, while concentration effects are more focused on smaller stocks.
- Some monthly factors are reported to retain selection ability at higher rebalancing frequencies, subject to market and liquidity risks.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.