Paper Info
Title
Trading Imbalance in Chinese Stock Market-A High-Frequency View.
Abstract
Although an imbalance of buying and selling profoundly affects the formation of market trends, a fine-granularity investigation of this perplexity of trading behavior is still missing. Instead of using existing entropy measures, this paper proposed a new indicator based on transaction dataset that enables us to inspect both the direction and the magnitude of this imbalance at high frequency, which we call "polarity". The polarity aims to measure the unevenness of the very essence trading desire based on the most micro decision making units. We investigate the relationship between the polarity and the return at both market-level and stock-level and find that the autocorrelated polarities cause a positive relation between lagged polarities and returns, while the current polarity is the opposite. It is also revealed that these associations shift according to the market conditions. In fact, when aggregating the one-minute polarities into daily signals, we find not only significant correlations disclosed by the market polarity and market emotion, but also the reliability of these signals in terms of reflecting the transitions of market-level behavior. These results imply that our presented polarity can reflect the market sentiment and condition in real time. Indeed, the trading polarity provides a new indicator from a high-frequency perspective to understand and foresee the market's behavior in a data-driven manner.
Year
DOI
Venue
2020
10.3390/e22080897
ENTROPY
Keywords
DocType
Volume
stock market crash,trading behavior,trading imbalance,trading polarity
Journal
22
Issue
ISSN
Citations 
8
1099-4300
0
PageRank 
References 
Authors
0.34
0
3
Name
Order
Citations
PageRank
Shan Lu11813.87
Jichang Zhao232622.52
Huiwen Wang32914.15