债券量化系列：使用多因子模型构建分类型可转债周度策略

目录可转债量化的研究背景和多因子模型 3研究背景和意义 3可转债市场规模扩张使得多因子模型应用可行 3低利率背景下投资配置需求要求研究更精细化 3从股票多因子到可转债多因子 4样本池 4数据处理 5因子测试方法 5可转债股性和债性指标 6股性指标 6债性指标 6可转债因子介绍和单因子回测 7转债估值因子 7转债量价因子 8转债深度学习因子 9转债分钟因子 转债高频因子 14正股量价因子 15正股基本面因子 16分类型下转债因子选择和组合构建 18因子选择 18分类型选用因子 18分类型可转债各维度因子历史回测效果 20可转债组合构建 213.2.1. 得分前20%组合 213.2.2. 控制换手率组合 234. 总结 28风险提示 286. 附录 29偏债型转债选用因子超额收益曲线展示 29平衡型转债选用因子超额收益曲线展示 30偏股型转债选用因子超额收益曲线展示 32年以来，中国可转债市场经历了爆发式增长，市场体量的扩张为量化投资策略提供了充足的样本空间和流动性基础，使得多因子模型在可转债领域的应用从理论探讨走向实践可行。本篇报告主要使用多因子模型构建分类型可转债周度调仓策略。首先，和介绍各维度可转债因子，展示单因子历史回测结果。然后，针对不同类型可转20%可转债或转债是一种兼具债（转股价（/底价来划分类型：<-20%-20%20%之间。股性债性均衡。偏股型转债：平底溢价率>20%研究背景和意义可转债市场规模扩张使得多因子模型应用可行2017年以来，中国可转债市场经历了快速增长。市场体量的扩张为量化投资策略提供了充足的样本空间和流动性基础，使得多因子模型在可转债领域的应用走向实践可行。2016年以来可转债各类别数量变化见下图1。图1：2016年以来可转债各类别数量曲线， 。数据区间：2016.01-2026.04。低利率背景下投资配置需求要求研究更精细化环境要求可转债多因子研究向更精细化方向发展。不同类型的机构投资者对转债的风险收益偏好不同：偏股型转债适合追求衡型转债则适合风险中性的配置型投资者。这种分层需求催生了针对不同类型转债分别构建多因子模型的研究方向。从股票多因子到可转债多因子属于国内外主流量化选股模型之StephenRossPricingThorPT𝑅𝑖=𝛼+𝛽1𝑥1+𝛽2𝑥2+𝛽3𝑥3…+𝜀𝑖1992年FamaFrench票未来收益。2015正股基本面多个维度构建和筛选对可转债未来收益有预测效果的因子。然后，等权加权多个因子进行打分，选取排名靠前的可转债构建组合。样本池可转债因子和策略历史回测区间为2018年1月1日至2026年4月30日。本文采取周度（5天）的调仓频率本报告使用的多因子研究可转债样本池如下：2周的转债；1100%；2亿的转债；A的转债；剔除上述样本后，样本池各类别数量变化见图2。图2：2018年以来，可转债样本池中各类别可转债数量曲线， 。数据区间：2018.01-2026.04。数据处理对于因子原始值，一般需要进行去极值、标准化、缺失值填充等数据处理操作。去极值中位数去极值𝑚𝑒𝑑，然后计算𝑀𝐴𝐷、𝑀𝐴𝐷𝑒：𝑚𝑒𝑑=𝑚𝑒𝑑𝑖𝑎𝑛(𝑥𝑖)𝑀𝐴𝐷=𝑚𝑒𝑑𝑖𝑎𝑛(|𝑥𝑖−𝑚𝑒𝑑|)𝑀𝐴𝐷𝑒=1.483∗𝑀𝐴𝐷通常把偏离中位数三倍𝑀𝐴𝐷𝑒以上的数据作为异常值。这种处理不受极端异常值的影响，结果更加稳健。标准化在横截面上进行标准化N(0,1)分布的序列。缺失值处理使用行业替代因子测试方法通过因子IC测试、分组回测等多种方式来考察因子收益预测的有效性与稳定性。因子IC测试TT+1Spearman相关系数（nkI𝑛𝑡=𝑟𝑟𝑟𝑎𝑛𝑘(𝑡)𝑟𝑎𝑛𝑘(1))可以通过以下指标评价因子效果：IC值的均值——因子显著性；ICIR比率（IC均值/标准差）——因子有效性。因子分组测试因子分组测试是根据因子值打分排序，分多组测试各组组合累计净值表现。本报告单因子测试采用分3组，周度定期调仓的方法进行测试。因子分组测试主要考察以下绩效指标：分组测试的累计收益率、最大回撤-等；-化收益率、超额年化波动率、超额最大回撤等。分组测试操作方便，结果直观，是使用最广的一种单因子测试方法。IC（5个交易日）3t0、t1、2018120264可转债股性和债性指标股性指标正股价格是可转债对应的正股收盘价。转股价是指可转债转换为股票时股票的每股价格。转换价值=可转债面值/转股价×正股价格。转换平价是指当转股价值等于可转债的市场价值时，标的股票的每股价格。转换平价=可转债市场价格/转股比例=可转债市场价格/可转债面值×转股价。转股溢价率=(可转债价格−转换价值）/转换价值×100%。转股溢价率是衡量可转债股性的重要指标，转股溢价率越低，说明可转债价。平价底价溢价率=（转换价值−纯债价值）/纯债价值×100%。债性指标到期收益率纯债价值，是未来利息和本金的现值。纯债溢价率=（可转债价格−纯债价值）/纯债价值×100%。纯债溢价率价率越低，说明可转债纯债价值对转债价格的支撑作用越大，转债债性越强。本部分我们系统了7个维度的因子——转债估值因子、转债量价因子、转债深度学习因子、转债分钟因子、转债Level2高频因子、正股量价因子、正股基本面因子。下面介绍各维度因子计算方法和单因子测试结果。转债估值因子我们直接使用数据库提供的数据进行分组测试Zscore表1：转债估值因子列表因子名称 算法 因子名称 算法转股溢价率 转债收盘价相对于转换价值溢价百分比。取自 量化数据库。 纯债价值 不考虑转债内置期权，将转债当作纯债券持有到期，各期利息收入和到期转债面值的折现价值。取自 量化数据库。不考虑转债内置期权，只将转债当作纯债券持有到期，使得各期利息收转股溢价率的残差

转股溢价率对平价做回归，取残差作为因子。

纯债到期收益率

转股溢价率的6月ZSCORE对转股溢价率，计算6个月时序ZSCORE纯债到期收益率的残差纯债到期收益率对平价做回归，取残差作为因子。转股溢价率的12月ZSCORE对转股溢价率，计算12个月时序ZSCORE双低收盘价+转股溢价率(%)转股溢价率的3月ZSCORE对转股溢价率，计算3个月时序ZSCORE双低的残差双低对平价做回归，取残差作为因子。转股价值每份可转债可转换成的股数按股票收盘价计算出来的价值。取自双低的6月ZSCORE对平价/底价，计算6个月时序ZSCORE当期收益率指当期利息收入所产生的收益率，不考虑资本利得或损失。取自双低的12月ZSCORE对平价/底价，计算12个月时序ZSCORE转债隐含波动率可转债价格隐含波动率按照BS模型计算，取自 量化数据库。双低的3月ZSCORE对平价/底价，计算3个月时序ZSCORE转债隐含波动率的残差转债隐含波动率对平价做回归，取残差作为因子。隐波差（120日）隐含波动率-120日实际波动率的年化值转债隐含波动率的6月ZSCORE对转债隐含波动率，计算6个月时序ZSCORE隐波差（120日）的6月分位数对隐波差（120日），计算6个月时序ZSCORE转债隐含波动率的12月ZSCORE对转债隐含波动率，计算12个月时序ZSCORE隐波差（120日）的12月分位数对隐波差（120日），计算12个月时序ZSCORE转债隐含波动率的3月ZSCORE对转债隐含波动率，计算3个月时序ZSCORE隐波差（120日）的3月分位数对隐波差（120日），计算3个月时序ZSCORE平价/底价转换价值和纯债价值的比率。取自 量化数据库。隐波差（240日）隐含波动率-240日实际波动率的年化值平价/底价的6月ZSCORE对平价/底价，计算6个月时序ZSCORE隐波差（240日）的6月分位数对隐波差（240日），计算6个月时序ZSCORE平价/底价的12月ZSCORE对平价/底价，计算12个月时序ZSCORE隐波差（240日）的12月分位数对隐波差（240日），计算12个月时序ZSCORE平价/底价的3月ZSCORE对平价/底价，计算3个月时序ZSCORE（日）的月分位数对隐波差（240日），计算3个月时序ZSCORE纯债溢价率（转债价格－纯债价值）/纯债价值×100%。取（率-60日实际波动率的年化值纯债溢价率的残差纯债溢价率对平价做回归，取残差作为因子。隐波差（60日）的6月分位数对隐波差（60日），计算6个月时序ZSCORE纯债溢价率的6月ZSCORE对平价/底价，计算6个月时序ZSCORE隐波差（60日）的12月分位数对隐波差（60日），计算12个月时序ZSCORE纯债溢价率的12月ZSCORE对平价/底价，计算12个月时序ZSCORE隐波差（60日）的3月分位数对隐波差（60日），计算3个月时序ZSCORE纯债溢价率的3月ZSCORE对平价/底价，计算3个月时序ZSCORE。从可转债估值因子的rankIC上看，可以得出以下结论：rankIC绝对值较高。rankICrankIC规律类似.14-026%-5..06-0纯债溢价率的3月01-0..14-026%-5..06-0纯债溢价率的3月01-0.35%-0..14-057%.-3.12-004%-4..53-0%-6.23隐波差（60日）的3月分位数.07-055%-2..05-0纯债溢价率的12月01-0.47%-0..12-094%.-2.09-016%-3..46-0%-5.60隐波差（60日）的12月分位数.09-061%-3..06-072%-1..08-091%-2..14-028%-2.纯债溢价率的6月分位数01-0.31%-0..12-000%.-3.10-038%-3..42-0%-4.97隐波差（60日）的6月分位数000.12%0..06-055%-1..07-057%-2.0.0121%0.纯债溢价率的残差050.98%1..10-060%.-2.08-093%-2..05-0%-0.72隐波差（60日）.22-049%-8..14-008%-4..12-039%-4..20-043%-3.纯债溢价率02-0.85%-0..18-031%.-4.15-020%-5..53-0%-6.23隐波差（240日）的3月分位数.04-044%-1.150.%943.150.21%5.0.1273%1.平价/底价的3月分位数01-0.50%-0..15-061%.-3.11-079%-3..42-0%-4.97隐波差（240日）的12月分位数.02-066%-0.120.%173.070.45%2.0.1037%1.平价/底价的12月分位数01-0.54%-0..15-060%.-3.12-031%-4..46-0%-5.60隐波差（240日）的6月分位数.01-056%-0.130.%513.140.82%4.0.1272%1.平价/底价的6月分位数030.06%1..13-042%.-3.10-047%-3..11-0%-1.46隐波差（240日）.08-021%-3..05-025%-1.0.0006%0..06-074%-0.平价/底价02-0.85%-0..18-031%.-4.15-020%-5..53-0%-6.23隐波差（120日）的3月分位数.05-089%-1..26-031%-6..18-047%-6..33-028%-4.转债隐含波动率的3月分位数01-0.50%-0..15-061%.-3.11-079%-3..42-0%-4.97隐波差（120日）的12月分位数.06-026%-2..24-003%-6..16-067%-5..30-096%-3.转债隐含波动率的12月分位数01-0.54%-0..15-060%.-3.12-031%-4..46-0%-5.60隐波差（120日）的6月分位数.06-023%-2..24-000%-6..17-015%-6..31-005%-4.转债隐含波动率的6月分位数030.30%1..12-007%.-3.09-016%-3..08-0120.16-029%-4..10-045%-3..15-023%-2.转债隐含波动率的残差19-0.16%-7..44-066%-10..20-092%-6..53-0分.15-006%-4..10-069%-3..15-017%-2.转债隐含波动率10-0.76%-3..33-089%-7..16-057%-5..42-0%-4.97双低的12月分位数110.08%4.030.87%0.060.25%2.0.0925%1.当期收益率14-0.25%-5..40-055%-9..20-081%-6..46-0%-5.60双低的6月分位数.11-035%-4..05-030%-1.0.0309%1..05-060%-0.转股价值17-0.72%-6..25-081%-7..07-063%-2..28-0%-4.73双低的残差.05-003%-2..29-053%-7..17-058%-5..28-076%-3.转股溢价率的3月分位数20-0.78%-7..29-052%-8..10-051%-3..30-0%-4.57双低.07-065%-2..23-076%-5..08-097%-2..23-092%-2.转股溢价率的12月分位数040.59%1.150.95%3.0.0009%-0.140.%1.98纯债到期收益率的残差.05-072%-1..25-045%-6..15-002%-5..25-041%-3.转股溢价率的6月分位数230.62%8.230.29%6.0.1262%4.320.%5.25纯债到期收益率.17-051%-6..26-007%-8..15-046%-5..33-084%-5.转股溢价率的残差020.57%0.000.08%-0.0.0458%1.000.%0.01纯债价值.06-033%-2..10-083%-2..08-064%-2..16-010%-2.转股溢价率rankic_irrankicrankic_irrankicrankic_irrankicrankic_irrankicrankic_irrankicrankic_irrankicrankic_irrankicrankic_irrankic偏股型平衡型偏债型样本池偏股型平衡型偏债型样本池， 。测试区间：2018.01-2026.04。从可转债估值因子超额收益上来看，36、平价/底价的3月ZSCORE等因子超额收益较高。3、转债隐6/66、隐波差（60日）3/6、纯债溢价率、纯债到期收益率、双低、转债价格残差等因子超额收益较高。表3：分类型可转债估值因子分3组超额收益、因子收益（多头组-输家组合）偏债型超额收益t0 t1 t2

因子收益

平衡型超额收益t0 t1 t2

因子收益

偏股型超额收益t0 t1 t2

因子收益

样本池超额收益t0 t1 t2

因子收益转股溢价率转股溢价率的残差转股溢价率的6月分位数转股溢价率的12月分位数转股溢价率的3转股价值当期收益率转债隐含波动率转债隐含波动率的残差转债隐含波动率的6月分位数转债隐含波动率的12月分位数转债隐含波动率的3月分位数平价/底价平价/底价的6月分位数平价/底价的12月分位数平价/底价的3月分位数纯债溢价率纯债溢价率的残差纯债溢价率的6月分位数纯债溢价率的12月分位数纯债溢价率的3月分位数纯债价值纯债到期收益率纯债到期收益率的残差双低双低的残差双低的6月分位数双低的12月分位数双低的3月分位数隐波差（120日）隐波差（120日）的6月分位数隐波差（120日）的12月分位数隐波差（120日）的3月分位数隐波差（240日）隐波差（240日）的6月分位数隐波差（240日）的12月分位数隐波差（240日）的3月分位数隐波差（60日）隐波差（60日）的6月分位数隐波差（60日）的12月分位数隐波差（60日

1.61%2.29%4.48%4.45%-4.04%0.14%-0.19%1.26%0.50%1.88%-2.52%-6.35%-5.79%-5.45%0.58%-0.63%-3.19%-2.61%-2.50%-2.85%-5.49%-4.12%2.67%2.21%5.36%5.75%6.27%0.11%0.21%-0.72%1.54%1.04%0.21%-0.72%1.54%0.70%0.22%-0.15%

-1.47%-1.31%-2.57%-2.87%-0.65%-0.96%-1.20%-0.21%0.61%-1.02%-1.43%0.16%-1.06%-1.78%-0.90%-1.85%0.42%-1.25%0.31%-0.65%-0.83%-1.38%-1.56%-1.32%-1.88%-1.98%-3.86%-1.17%-1.30%-0.83%-2.11%-1.44%-1.30%-0.83%-2.11%-1.47%-2.02%-1.83%

-4.54%-5.40%-6.20%-5.92%0.20%-3.62%-3.18%-5.38%-5.36%-5.32%-0.69%1.56%2.21%2.63%-4.36%-2.02%-1.74%-0.73%-2.19%-1.20%1.81%1.14%-5.42%-5.27%-7.64%-7.66%-6.58%-3.47%-3.51%-3.07%-3.91%-4.06%-3.51%-3.07%-3.91%-3.71%-2.80%-2.67%

6.15%7.70%10.68%10.37%%%4.24%3.76%2.99%6.64%5.86%7.20%1.82%7.90%8.00%8.08%4.94%1.39%1.44%1.88%0.32%1.65%7.31%5.26%8.09%7.48%13.00%13.41%12.84%3.57%3.72%2.35%5.46%5.10%3.72%2.35%5.46%4.41%3.02%2.53%%

6.00%5.52%8.23%7.47%8.46%0.31%-1.99%1.55%1.74%7.66%5.83%7.94%-0.53%-5.12%-4.46%-5.18%1.82%-0.63%-0.99%-0.50%-1.50%1.46%-4.12%-3.00%6.30%5.45%9.02%7.91%10.81%4.02%5.40%4.82%5.91%4.57%5.40%4.82%5.91%4.32%4.64%4.33%6.22%

0.67%3.40%1.52%2.52%2.55%-0.99%1.00%2.00%2.01%2.22%3.95%1.28%0.22%0.40%0.66%0.62%3.22%3.29%2.62%1.24%2.66%0.22%-0.48%0.29%3.10%2.56%4.32%4.63%3.14%2.15%1.14%2.54%2.20%2.26%1.14%2.54%2.20%1.26%1.79%0.60%0.49%

-4.83%-6.73%-7.29%-7.58%-8.42%2.45%2.54%-1.93%-2.11%-7.60%-7.54%-7.00%2.25%6.66%5.60%6.33%-2.87%-1.04%0.16%0.83%0.55%0.04%6.16%4.71%-6.95%-6.03%-10.31%-9.72%-10.76%-4.35%-4.60%-5.39%-6.04%-4.95%-4.60%-5.39%-6.04%-3.81%-4.52%-3.13%-4.75%

10.83%12.25%15.52%15.05%16.88%2.14%4.52%3.48%3.85%15.26%13.37%14.94%2.79%11.79%10.06%11.52%4.69%0.41%1.16%1.33%2.05%1.42%10.28%7.72%13.25%11.48%19.32%17.64%21.57%8.38%9.99%10.21%11.95%9.53%9.99%10.21%11.95%8.13%9.16%7.47%10.97%

14.32%16.09%10.41%11.91%8.65%1.45%-2.38%3.94%1.68%9.92%9.91%7.64%1.55%-2.62%-1.96%-4.06%8.68%2.07%5.19%3.20%1.36%-0.07%-5.73%-8.51%13.89%12.81%11.31%9.57%10.16%3.79%4.87%5.12%3.60%2.97%4.87%5.12%3.60%2.51%4.66%7.88%4.63%

4.40%7.23%4.79%2.92%7.28%2.30%4.48%10.81%13.93%8.86%8.78%10.42%1.58%3.31%4.04%5.32%2.25%0.11%-1.24%2.11%5.41%4.36%5.62%9.23%6.29%8.56%-2.74%-1.35%0.59%7.84%8.13%4.00%9.83%9.74%8.13%4.00%9.83%9.43%6.67%2.12%7.15%

-9.99%-13.58%-7.70%-6.82%-7.59%3.42%5.33%-6.94%-7.07%-9.27%-9.22%-8.89%4.55%7.63%6.81%7.04%-2.76%5.53%3.80%2.72%2.05%2.96%8.48%8.15%-10.92%-11.62%-0.23%-0.02%-2.41%-4.34%-4.67%-1.60%-5.26%-5.17%-4.67%-1.60%-5.26%-4.57%-3.22%-2.32%-4.05%

24.32%29.67%18.11%18.73%16.25%1.97%7.71%10.88%8.76%19.19%19.14%16.53%3.00%10.25%8.77%11.10%11.44%3.45%1.39%0.48%0.69%3.03%14.21%16.66%24.81%24.42%11.54%9.59%12.57%8.12%9.54%6.72%8.86%8.14%9.54%6.72%8.86%7.08%7.87%10.20%8.68%

7.31%7.80%8.56%7.21%8.41%-0.59%-2.86%2.57%2.00%5.90%4.88%5.77%-1.19%-5.86%-4.99%-5.77%1.90%-1.99%-1.43%-1.49%-1.73%-0.21%-4.92%-4.35%6.71%6.74%8.36%6.84%8.95%3.23%4.66%3.66%4.58%3.81%4.66%3.66%4.58%3.22%3.68%3.25%4.53%

0.00%2.18%0.41%1.75%0.99%-0.75%1.78%1.97%2.40%2.29%2.64%1.79%0.00%0.39%0.30%0.79%1.81%-0.22%1.20%0.98%1.16%0.78%-0.63%0.53%1.21%2.33%0.27%1.01%-0.30%1.36%0.76%1.63%2.19%1.08%0.76%1.63%2.19%1.11%1.74%1.36%1.15%

-6.77%-9.15%-8.18%-8.20%-8.57%1.36%1.21%-4.35%-4.20%-7.62%-7.04%-7.05%1.25%5.78%4.95%5.30%-3.53%2.21%0.26%0.53%0.61%-0.50%5.78%4.04%-7.36%-8.38%-7.87%-7.22%-7.86%-4.38%-5.07%-4.97%-6.32%-4.65%-5.07%-4.97%-6.32%-4.14%-5.10%-4.34%-5.32%

14.07%16.95%16.74%15.42%16.98%1.96%4.07%6.92%6.21%13.52%11.92%12.81%2.44%11.64%9.94%11.07%5.43%4.20%1.69%2.02%2.34%0.30%10.69%16141614161514.07%.11%.23%.05%.81%7.61%9.73%8.63%10.90%8.45%9.73%8.63%10.90%7.36%8.78%7.60%9.85%， 。测试区间：2018.01-2026.04。转债量价因子rankIC上看，可以得出以下结论：rankIC绝对值均较高。rankIC绝对值均较高。rankIC绝对值较高。4.584.99580.094.584.99580.090.130.090.1052222210.120.090.090.10-3.624.033.973.68612122512755364434939875302111133.731-0.0%0.11 -0.41-%87-2.-0.1%4.39--%-1.20转债正股60日涨跌幅差的3月Zscore-0.0%.07 -1.18-0%5-1.7-0.1%4.77--%-1.18转债正股60日涨跌幅差的12月Zscore0-0%.09 -2.-0%1-2.3-0.1%4.64--%-1.15转债正股60日涨跌幅差的6月Zscore0.0%-0.15 1.10%85-3.-0.1%5.33--%-1.52转债正股60日涨跌幅差-0.0%-0.25 -1.21%-6.12-0.1%4.38--0.3%-转债正股5日涨跌幅差的3月Zscore-0.0%-0.24 -0.40%-5.96-0.1%5.23--0.3%-转债正股5日涨跌幅差的12月Zscore-0.0%-0.25 -0.41%-6.37-0.1%5.28--0.3%-转债正股5日涨跌幅差0.0%-0.22 0.24%-5.66-0.1%5.75--0.2%-2.82转债正股10日涨跌幅差的3月Zscore0.0%-0.22 0.41%-5.57-0.1%4.16--0.2%79-2.转债正股10日涨跌幅差的12月Zscore0.0%-0.22 0.56%-5.78-0.1%-0.2%-2.81转债正股10日涨跌幅差的6月Zscore0.0%-0.22 0.01%-5.87-0.1%5.05--0.2%25-3.转债正股10日涨跌幅差-0.1%5.120.01 -%0.390.0%0.91-%4-1.6240日换手率-0.1%-5.93-0.03%-0.970.0%0.73-%-1.4520日换手率-0.1%-6.44-0.01%-0.380.0%0.36-%5-2.0120日换手率-0.1%-7.10-0.02%-0.550.0%0.74-%-1.3510日换手率-0.1%-7.32-0.26%-7.90-0.1%4.08--0.2%-转债价格残差-0.2%-0.21 -8.75%-6.87-0.1%-6.26-0.2%-转债价格rankic_irrankic_irrankicrankicrankic_irrankicrankic_irrankic转债价量因子偏股型平衡型偏债型， 。测试区间：2018.01-2026.04。从可转债量价因子超额收益上来看，10日涨跌幅差因子超额收益较高。1010日涨跌幅差的3月Zscore等因子超额收益较高。分钟因子转债价格转债价格残差10日换手率120日换手率20日换手率240日换手率转债正股10日涨跌幅差转债正股10日涨跌幅差的6月Zscore转债正股10日涨跌幅差的12分钟因子转债价格转债价格残差10日换手率120日换手率20日换手率240日换手率转债正股10日涨跌幅差转债正股10日涨跌幅差的6月Zscore转债正股10日涨跌幅差的12月Zscore转债正股10日涨跌幅差的3月Zscore转债正股5日涨跌幅差转债正股5日涨跌幅差的12月Zscore转债正股5日涨跌幅差的3月Zscore转债正股60日涨跌幅差转债正股60日涨跌幅差的6月Zscore转债正股60日涨跌幅差的12月Zscore转债正股60日涨跌幅差的3月Zscoret0t1t2t0t1t2t0t10.43%2.02%-3.92%-3.13%-4.29%-3.06%3.78%2.65%2.92%2.29%3.03%3.29%1.45%3.87%2.22%3.06%1.62%0.21%-1.50%-1.60%0.30%-0.49%-0.14%-2.44%-1.23%-0.75%-1.52%-2.82%-2.21%-1.55%-3.57%-1.26%-2.46%-0.79%-5.10%-4.94%0.76%-1.62%0.19%-1.47%-5.75%-5.78%-6.50%-5.29%-4.60%-5.50%-4.30%-4.88%-5.39%-4.99%-5.34%54%7%4.68%1.51%4.48%1.59%9.53%8.43%9.42%7.58%7.63%8.80%5.75%8.76%7.61%8.04%6.96%4.12%6.59%-3.81%-2.24%-3.15%-1.80%7.05%6.47%7.06%6.73%7.48%7.30%6.71%6.01%4.95%4.21%4.45%2.30%2.69%1.25%1.86%1.58%0.43%2.53%1.50%1.47%1.92%1.53%1.52%1.38%1.26%0.93%1.94%1.42%-4.56%-6.91%4.23%1.97%3.22%2.99%-7.17%-5.55%-6.31%-6.14%-6.77%-6.61%-6.01%-4.89%-3.72%-3.93%-3.69%68%.t23.60%-5.17%8.01%-13.25%2.86%-2.58%9.87%-10.02%t0t1t2.38%4.80%14.22%12.03%13.37%12.87%14.25%13.91%12.73%10.91%8.67%8.14%8.13%9.09%14.73%7.01%9.08%4.36%10.87%7.08%7.40%5.99%3.57%9.81%8.70%6.82%4.98%2.56%2.61%2.24%4.57%4.65%0.44%0.47%-1.70%1.56%2.77%6.29%5.03%6.73%4.72%8.47%3.33%-1.87%-6.97%0.37%-0.12%2.70%2.01%-5.19%-6.04%-3.80%-3.36%0.03%-3.04%1.84%14.26%27.97%9.60%19.11%6.23%17.85%6.71%7.52%3.28%1.56%15.00%14.74%10.62%8.34%2.54%5.65%0.39%3.75%7.18%-2.14%0.70%-1.68%0.29%5.97%5.88%5.38%5.64%7.07%7.01%5.19%5.10%3.85%3.78%3.67%2.05%3.15%-0.02%0.77%0.00%0.30%1.08%0.15%0.61%-0.52%1.11%0.05%0.74%0.19%0.61%1.11%-0.03%52% 9.27%47%16.66%2.16% 4.31%-1.44% 2.14%1.65% 3.33%-0.60% 0.90%-6.55%12.52%-5.59%11.47%-5.59%10.97%-4.76%10.40%-7.56%14.63%-6.52%13.53%-5.54%10.73%-4.94%10.05%-4.18% 8.03%-4.62% 8.40%-3.43% 7.09%-9.-5..6.95.偏债型平衡型偏股型样本池超额收益多空收益超额收益多空收益超额收益多空收益超额收益多空收益813.51%804%4.21%6， 。测试区间：2018.01-2026.04。转债深度学习因子、TCN模型训练可转债深度学习因子1。GRUTCN模型GRU模型门控循环单元（GatedRecurrent是一种改进的循环神经网Cho在处理长序列时的梯度消失/LSTM通过门控机制动态控制信息的保留与遗忘，1GRU、TCN模型的深度学习因子选股效果研究_20250730（和语音识别等领域。TCN模型时间卷积网络（TemporalConvolutionalNetwork，TCN）是一种专为时间序LSTM、在处理长序列时常见的梯度消失或梯度爆炸问题，并支持并行计算，显著提升计算效率。具体的训练模型过程和细节如下：输入数据集（因子后缀60（_60d6（_f69个特征（_f9。预测标签t+1+65（_5dt+1t+110（_10d，需要做标准化处理。训练过程损失函数使用模型：TCN、。TCN433层网络；260，day3030。训练样本：做了两种尝试：因子名称模型层数数据集样本空间标签GRU_f6_day30_5dGRU230日，6特征所有可转债5日收益GRU_f6_day30_10dGRU230日，6特征所有可转债因子名称模型层数数据集样本空间标签GRU_f6_day30_5dGRU230日，6特征所有可转债5日收益GRU_f6_day30_10dGRU230日，6特征所有可转债10日收益GRU_f6_day60_10dGRU260日，6特征所有可转债10日收益GRU_f6_day60_5dGRU260日，6特征所有可转债5日收益TNN_l3_f6_day30_10dTCN330日，6特征所有可转债10日收益TNN_l3_f6_day30_5dTCN330日，6特征所有可转债5日收益TNN_l4_f6_day60_10dTCN460日，6特征所有可转债10日收益TNN_l4_f6_day60_5dTCN460日，6特征所有可转债5日收益GRU_f9_day30_5dGRU230日，9特征所有可转债5日收益GRU_f9_day30_10dGRU230日，9特征所有可转债10日收益GRU_f9_day60_10dGRU260日，9特征所有可转债10日收益GRU_f9_day60_5dGRU260日，9特征所有可转债5日收益TNN_l3_f9_day30_10dTCN330日，9特征所有可转债10日收益TNN_l3_f9_day30_5dTCN330日，9特征所有可转债5日收益TNN_l4_f9_day60_10dTCN460日，9特征所有可转债10日收益TNN_l4_f9_day60_5dTCN460日，9特征所有可转债5日收益GRU_f9_day30_5d_sampleGRU230日，9特征样本池5日收益GRU_f9_day30_10d_sampleGRU230日，9特征样本池10日收益GRU_f9_day60_10d_sampleGRU260日，9特征样本池10日收益GRU_f9_day60_5d_sampleGRU260日，9特征样本池5日收益TNN_l3_f9_day30_10d_sampleTCN10日收益T330日，9特征样本池5日收益T460日，9特征样本池10日收益TNN_l4_f9_day60_5d_sampleTCN460日，9特征样本池5日收益。从可转债深度学习因子的rankIC上看，可以得出以下结论：rankIC整体都较高。96个特征的因子。使用全部可转债训练的因子好于只使用样本池训练的因子。510日收益训练的因子。r..190.r..190.4.50%0.244.27%0.120.02770730.221%3.TNN_l4_f9_day60_5d_sample0.1707%4.0.325.74%0.200.049650.291%4.2GRU_f9_day60_5d_sample210.4.98%190.3.50%0.070.0162037.1055%2.TNN_l4_f9_day60_10d_sample0.1431%3.240.5%4.00.040.009787.2002.58%GRU_f9_day60_10d_sample0.173.88%0.264.77%0.140.03263440.248%3.TNN_l3_f9_day30_5d_sample0.1420%3.240.7%4.00.050.010648.1902.52%GRU_f9_day30_10d_sample200.4.74%0.244.42%0.080.01777230.225%3.TNN_l3_f9_day30_10d_sample0.1544%3.300.27GRU_f9_day30_50.215.01%0.214.02%0.110.0271722.2025%3.TNN_l4_f9_day60_5d0.22%5.04280.28GRU_f9_day60_50.235.38%0.183.31%0.050.01261380.1.51%2TNN_l4_f9_day60_10d0.1935%4.260.2%4.90.190.0471640.265%3.9GRU_f9_day60_10d0.204.76%0.335.90%0.170.04160410.37%4.3TNN_l3_f9_day30_5d0.1566%3.250.6%4.50.120.028598.2201%3.3GRU_f9_day30_10d0.194.58%240.4.31%0.120.0283174.2043%3.TNN_l3_f9_day30_10d240%5.680.326.21%0.200.0494320.320%4.7GRU_f9_day30_5d0.19%4.66250.1%4.40.140.0354674.2063%3.TNN_l4_f6_day60_5d0.21%5.040.336.16%0.190.048210.310%4.7GRU_f6_day60_5d0.22%5.24260.0%4.40.090.0214713.2023%3.TNN_l4_f6_day60_10d0.21%5.03250.8%4.60.100.02639.2206%3.3GRU_f6_day60_10d0.21%5.040.30%5.340.170.03980190.220%4.TNN_l3_f6_day30_5d0.235.54%260.1%4.80.130.031749250.6%3.8GRU_f6_day30_10d0.21%4.99250.5%4.20.110.0252393.2024%3.TNN_l3_f6_day30_10d2405.87%0.325.97%0.160.0408090.304%4.4GRU_f6_day30_5drankic_irrankicrankic_irrankicrankic_irankicrankic_irrankicrankic_irrankicrankic_irrankicrankic_irrankicrankic_irrankic偏股型平衡型偏债型样本池偏股型平衡型偏债型样本池， 。测试区间：2021.01-2026.04。从可转债深度学习因子超额收益上来看9GRU_f9_day30_5dGRU_f9_day30_10dGRU_f9_day60_10d、GRU_f9_day60_5dTCN_l3_f9_day30_10dTCN_l3_f9_day30_5d在不同类型上超额收益均较高。平衡型超额收益多空收益偏股型超额收益多空收益样本池超额收益平衡型超额收益多空收益偏股型超额收益多空收益样本池超额收益多空收益t0t1t2t0t1t2t016.09%t1t2t0t1t2GRU_f6_day30_5dGRU_f6_day30_10dGRU_f6_day60_10dGRU_f6_day60_5dTNN_l3_f6_day30_10dTNN_l3_f6_day30_5dTNN_l4_f6_day60_10dTNN_l4_f6_day60_5dGRU_f9_day30_5dGRU_f9_day30_10dGRU_f9_day60_10dGRU_f9_day60_5dTNN_l3_f9_day30_10dTNN_l3_f9_day30_5dTNN_l4_f9_day60_10dTNN_l4_f9_day60_5dGRU_f9_day30_5dGRU_f9_day30_10dGRU_f9_day60_10dGRU_f9_day60_5dTNN_l3_f9_day30_10dTNN_l3_f9_day30_5dTNN_l4_f9_day60_10dTNN_l4_f9_day60_5d-5.37%-3.61%-3.04%-5.19%-5.15%-5.62%-2.98%-4.39%-5.76%-4.66%-3.93%-5.40%-3.78%-4.62%0.16%-2.12%-5.55%-4.55%-3.62%-5.68%-3.18%-4.41%-0.98%-4.30%2.25%0.72%0.60%2.79%1.23%1.71%-0.14%1.34%2.12%1.99%0.24%3.07%0.70%0.02%1.77%1.19%0.79%3.89%2.01%1.11%0.49%3.29%0.48%0.32%7.36%7.00%6.48%6.60%8.16%8.20%7.16%7.18%7.95%6.84%7.82%6.58%7.22%8.82%1.97%4.90%9.09%4.85%5.75%8.90%6.76%5.22%4.41%8.19%12.72%10.61%9.51%11.79%13.31%13.81%10.14%11.58%13.71%11.50%11.75%11.98%11.00%13.44%1.80%7.02%14.64%9.40%9.37%14.59%9.94%9.62%5.39%12.48%-6.67%-6.41%-5.25%-5.94%-6.46%-6.40%-5.62%-4.17%-6.63%-6.63%-5.43%-6.09%-6.16%-9.10%-2.40%-5.14%-7.31%-6.72%-6.29%-6.89%-6.62%-5.00%-3.46%-3.71%1.81%2.72%2.41%1.78%3.81%2.13%2.73%3.49%1.97%2.45%3.70%2.94%4.05%4.35%3.34%2.42%3.99%2.51%2.91%3.98%4.64%2.74%3.52%1.60%9.42%8.13%7.17%8.59%7.07%8.75%7.29%4.88%9.17%8.68%5.99%7.54%6.52%9.60%3.14%6.98%7.84%8.75%7.84%7.39%6.39%6.51%4.04%6.24%14.55%12.42%14.53%13.53%15.15%12.90%9.06%-7.18%-4.59%-5.58%-5.91%-9.75%-9.07%-3.43%15.80%-10.27%15.31%-5.51%11.42%-9.85%13.63%-12.09%12.68%-8.55%18.70%-7.47%5.54%-12.92%12.12%-11.80%15.15%-8.98%15.47%-6.29%14.13%-9.95%14.28%-13.98%13.00%-13.33%11.52%-9.56%7.50%-10.24%9.95%-11.07%5.58%2.62%-1.31%2.08%1.10%3.62%6.98%4.92%2.78%4.86%5.24%3.95%4.77%2.13%6.41%6.92%9.55%2.12%5.47%17.08%8.28%8.22%0.43%7.32%9.10%6.87%7.93%5.35%6.08%9.18%4.74%0.48%9.90%2.50%7.33%11.44%6.01%7.39%9.60%8.25%2.09%5.95%6.76%1.41%8.46%4.24%12.74%6.24%20.78%14.05%12.53%10.94%11.99%18.93%13.81%3.91%20.17%8.01%17.18%23.52%14.56%14.86%22.52%20.05%11.07%12.24%16.70%15.39%21.79%13.79%22.98%17.31%-7.37%-6.32%-4.89%-6.84%-6.82%-7.56%-5.54%-5.56%-8.44%-7.30%-6.48%-7.38%-7.20%-8.11%-4.25%-6.56%-7.84%-6.39%-6.70%-7.97%-8.13%-6.26%-4.63%-5.82%1.26%0.83%0.16%1.59%2.14%1.86%1.14%2.27%2.83%2.22%1.49%2.12%2.69%2.08%3.06%1.80%3.49%3.01%2.50%3.64%3.17%3.03%1.63%1.31%7.98% 15.36%7.22% 13.54%6.33% 11.21%7.01% 13.85%6.45% 13.27%7.56% 15.12%6.04% 11.58%4.85% 10.41%7.57% 16.01%6.87% 14.17%6.71% 13.19%7.09% 14.47%6.29% 13.49%7.98% 16.09%2.67% 6.91%6.48% 13.04%6.20% 14.04%5.11% 11.50%5.95% 12.65%6.20% 14.17%6.85% 14.98%4.90% 11.16%4.49% 9.12%6.15% 11.97%， 。测试区间：2021.01-2026.04。转债分钟因子2。具体操作上，使用过去52本部分因子构建方法参考了股票分钟高频因子的做法，详见报告《基于分钟数据的高频因子选股效果研究_20231128最大回撤大成交量最大回撤尾盘最大回撤早盘最大回撤1分钟行情，排名前1/3的分钟成交量最大回撤30分钟最大回撤最大回撤大成交量最大回撤尾盘最大回撤早盘最大回撤1分钟行情，排名前1/3的分钟成交量最大回撤30分钟最大回撤30分钟最大回撤动率大成交量成交量波动率尾盘成交量波动率1分钟行情，大成交量成交量波动率30分钟成交量波动率30分钟成交量波动率类别名称算法类别名称算法1分钟ILLIQ1分钟行情，收益率绝对值除以成交额的平均值1分钟收益率峰度1分钟行情，全天收益率峰度ILLIQvwap之比价格成交量相关性收益率成交量相关性5分钟ILLIQ大成交量早盘ILLIQILLIQ1分钟尾盘vwap和成交量加权均价之比的平均值1分钟早 平1分钟价5分钟价格成交量相关性1尾盘价格成交量滞后相关性早盘价格成交量滞后相关性1分钟收益率成交量相关性5分钟收益率成交量相关性1分钟收益率成交量滞后相关性5分钟行情，收益率绝对值除以成交额的平均值1分钟行情，大成交量收益率绝对值除以成交额的平均值1分钟行情，尾盘vwap和成交量加权均价之比的平均值关性1分钟行情，大成交量和价格相关性1分钟行情，大成交量和下一分钟价格相关性1分钟行情，大成交量和收益率相关性1分钟行情，成交量和下一分钟收益率相关性收益率峰度路径动量收益率波动率下行波动率占比成交量的偏度5分钟收益率峰度5分钟路径动量尾盘路径动量1分钟收益率波动率5分钟收益率波动率早盘收益率波动率5分钟下行波动率占比1分钟成交量偏度5分钟行情，全天收益率峰度1分钟行情，排名前1/3的分钟成交量收益率峰度30分钟收益率峰度30分钟收益率峰度1分钟行情，累计涨跌幅除以涨跌绝对值之和5分钟数据行情，累计涨跌幅除以涨跌绝对值之和1分钟行情，大成交量累计涨跌幅除以涨跌绝对值之和分钟收益率波动率分钟收益率波动率1分钟行情，大成交量收益率波动率30分钟收益率波动率30分钟收益率波动率1分钟行情，大成交量下行波动率除以大成交量波动率30分钟波动率30分钟波动率1分钟行情，成交量偏度5分钟收益率成交量滞后相关性5分钟行情，成交量和下一分钟收益率相关性5分钟成交量偏度5分钟行情，成交量偏度1分钟价格成交量滞后相关性1分钟行情，大成交量和下一分钟收益率相关性大成交量成交量偏度1分钟行情，大成交量成交量偏度尾盘收益率成交量滞后相关性1分钟行情，尾盘成交量和下一分钟收益率相关性尾盘成交量偏度1分钟行情，尾盘30分钟成交量偏度早盘收益率成交量滞后相关性1分钟行情，早盘成交量和下一分钟收益率相关性早盘成交量偏度1分钟行情，早盘30分钟成交量偏度1分钟最大回撤1分钟行情，全天最大回撤1分钟成交量波动率1分钟行情，成交量波动率5分钟最大回撤5分钟行情，全天最大回撤成交量波5分钟成交量波动率5分钟行情，成交量波动率。从可转债分钟因子的rankIC上看，可以得出以下结论：rankIC更高，偏债型最低。rankIC较高。样本池偏债型平衡型偏股型样本池偏债型样本池偏债型平衡型偏股型样本池偏债型平衡型偏股型分钟因子ILLIQILLIQ大成交量早盘ILLIQILLIQ1分钟价格成交量相关性5分钟收益率成交量相关性大成交量价格成交量相关性1尾盘价格成交量滞后相关性早盘价格成交量滞后相关性1分钟收益率成交量相关性5分钟收益率成交量相关性1分钟价格成交量滞后相关性尾盘收益率成交量滞后相关性早盘收益率成交量滞后相关性1分钟最大回撤5分钟最大回撤尾盘最大回撤rankrankicrankic_irrankicrankic_ir分钟因子rankic rankic_irrankic rankic_irrankic rankic_irrankic rankic_ir1.20%1.79%1.89%1.39%5.16%5.11%3.16%3.93%-3.53%-3.41%-3.32%-3.59%-3.11%-3.10%-1.07%-1.55%-2.18%-1.81%-1.94%2.31%2.55%2.70%1.16%1.70%3.37%3.23%3.37%2.78%0.110.160.170.130.430.430.280.340.11%0.60%1.26%0.70%3.15%3.03%2.18%1.84%0.010.030.060.030.140.140.110.081.26%1.29%1.38%1.80%1.55%5.55%5.44%2.22%4.25%0.090.090.090.130.110.370.360.170.285.81%5.84%5.82%5.48%5.67%7.45%7.40%6.46%5.86%-0.28-2.05%-0.27-1.98%-0.27-1.66%-0.28-1.79%-0.25-2.40%-0.25-1.13%-0.09-1.04%-0.14-0.51%-0.19-0.52%-0.16-1.38%-0.17-0.94%-0.09-3.88%-0.09-3.69%-0.08-3.81%-0.08-3.90%-0.11-3.32%-0.05-3.66%-0.05-0.73%-0.02-1.96%-0.03-2.58%-0.07-1.97%-0.05-1.93%-0.24-5.63%-0.24-5.23%-0.24-5.25%-0.25-5.96%-0.22-4.45%-0.24-4.79%-0.05-2.87%-0.13-2.78%-0.18-4.33%-0.14-3.40%-0.14-4.09%0.210.240.260.110.170.200.190.200.180.91%1.38%0.15%1.08%1.32%1.78%1.37%1.46%0.98%0.040.070.010.050.060.070.050.060.040.081.94%2.50%2.18%0.79%1.14%4.38%4.23%4.47%2.87%4.05%0.140.190.150.060.080.210.200.210.150.203.99%4.77%6.13%1.78%3.27%6.34%6.05%6.45%5.81%6.30%0.261分钟收益率峰度5分钟收益率峰度大成交量收益率峰度0.321分钟路径动量0.325分钟路径动量0.31大成交量路径动量0.26尾盘路径动量-0.24早盘路径动量-0.231分钟收益率波动率-0.235分钟收益率波动率-0.25大成交量收益率波动率-0.19尾盘收益率波动率-0.21早盘收益率波动率-0.131分钟下行波动率占比-0.125分钟下行波动率占比-0.21大成交量下行波动率占比-0.16尾盘下行波动率占比-0.19早盘下行波动率占比0.191分钟成交量峰度0.225分钟成交量峰度0.30大成交量成交量峰度0.09尾盘成交量峰度0.16早盘成交量峰度0.251分钟成交量波动率0.235分钟成交量波动率0.25大成交量成交量波动率0.25尾盘成交量波动率0.25早盘成交量波动率-0.35%-1.40%-0.08%0.96%0.73%-1.85%-1.30%-0.79%-0.73%0.39%-2.89%-2.93%-2.93%-2.48%-2.42%3.35%2.89%2.22%1.86%1.34%-0.38%0.76%0.33%1.01%0.64%2.41%1.16%1.19%3.32%1.57%-0.03-0.13-0.010.100.07-0.14-0.10-0.07-0.070.03-0.16-0.16-0.17-0.15-0.140.300.230.210.170.12-0.030.070.030.100.060.210.090.100.270.13-1.28%-1.83%-1.09%-1.11%0.13%-1.87%-1.54%-0.09%-1.12%0.08%-1.72%-2.01%-1.70%-0.93%-1.76%2.40%2.49%0.49%1.68%0.44%-0.55%0.73%-0.52%-0.20%0.70%1.37%0.57%0.28%2.13%1.48%-0.07-0.09-0.06-0.050.01-0.08-0.070.00-0.050.00-0.06-0.07-0.06-0.04-0.070.110.120.020.090.02-0.030.03-0.03-0.010.030.060.030.010.100.07-1.58%-2.39%-1.05%0.66%-0.07%-1.73%-1.02%-1.51%-1.09%0.70%-4.03%-4.18%-4.08%-3.47%-3.40%2.72%2.62%2.37%1.70%0.60%-1.11%0.45%0.89%0.34%0.28%1.47%-0.11%0.43%2.53%1.20%-0.11-0.18-0.080.050.00-0.11-0.06-0.11-0.080.05-0.18-0.19-0.19-0.17-0.160.190.170.180.130.04-0.080.040.070.030.020.10-0.010.030.160.08-0.18%05%0.81%2.66%2.16%87%35%-1.43%-1.10%-0.41%75%96%85%12%59%4.78%4.01%2.81%2.32%2.73%0.39%0.85%0.45%3.51%1.88%5.77%4.07%3.76%73.06%-0.01-0.110.041410-0.13-0.10-0.07-0.05-0.02-0.22-0.22-0.22-0.20-0.2221181411130.020.040.02160918160.130.300.0.0.240.0.0.0.0.0.0.0.0..31%-5.-5.-5.-5.-5.-2.-2.-2.， 。测试区间：2018.01-2026.04。表11：分类型可转债，分钟因子分3组超额收益、因子收益（多头组-输家组合）偏债型 平衡型 偏股型 样本池超额收益 多空收益超额收益 多空收益超额收益 多空收益超额收益 多空收分钟因子 t0 t1 t2 t0 t1 t2 t0 t1 t2 t0 t1 t21分钟ILLIQ -2.12%-0.28%-1.77% 0.35%-0.62% 2.65%-0.36% 0.26%-1.54% 4.24% 4.72% 6.26%-1.96% 1.36% 0.50% 2.46%5分钟ILLIQ -2.60% 0.12%-1.67% 0.92% 0.71% 1.66%-0.76% 1.46%-1.13% 1.18% 7.58% 8.71%-0.06% 0.15%-0.22% 0.16%大成交量ILLIQ -1.75%-1.42%-0.97% 0.78% 0.39% 0.48% 0.60% 0.21%-1.10% 1.67% 6.76% 7.86%-0.87%-0.34% 1.07% 1.94%早盘ILLIQ -3.30% 0.22%-0.90% 2.40% 0.12% 0.77% 0.62% 0.50%-2.12% 3.41% 5.97% 8.10%-1.26%-0.26% 1.35% 2.61%尾盘ILLIQ -3.55% 0.40%-1.01% 2.54% 0.62% 0.62% 0.50% 0.12%-2.43% 5.68% 4.48% 6.91%-1.51% 0.95% 0.47% 1.97%1分钟vwap和成交量加权均价之比的平均值 -2.11%-1.68%-0.33% 1.78%-1.86% 2.49% 1.00% 2.87%-6.09% 4.65% 9.43%15.53%-2.41%-0.24% 2.58% 4.99%5分钟vwap和成交量加权均价之比的平均值 -2.27%-1.65%-0.14% 2.13%-2.27% 2.81% 1.10% 3.38%-4.93% 3.92% 8.72%13.65%-2.00%-0.31% 2.23% 4.23%1分钟尾盘vwap和成交量加权均价之比的平 -3.92%-0.68% 0.34% 4.26%-2.04% 1.99% 1.75% 3.79%-9.14% 3.13%14.36%23.49%-4.63% 2.36% 2.34% 6.97%1分钟早盘vwap和成交量加权均价之比的平 -2.02%-1.93%-0.51% 1.50%-1.01% 0.99% 1.53% 2.54%-2.10% 3.16% 6.32% 8.41%-2.26% 0.69% 1.44% 3.71%1分钟价格成交量相关性 -2.58%-0.14%-1.39% 1.19% 0.66% 1.97%-1.03% 1.69% 3.59% 7.15%-3.40% 7.00% 0.56% 1.05%-1.71% 2.27%5分钟价格成交量相关性 -2.62%-0.27%-1.21% 1.41% 1.23% 0.92%-0.67% 1.90% 5.32% 7.57%-4.94%10.26% 0.92% 1.14%-2.14% 3.06%大成交量价格成交量相关性 -1.92%-1.50%-0.76% 1.16% 0.35% 0.87% 0.21% 0.15% 4.99% 6.18%-3.81% 8.80%-0.30% 1.97%-1.76% 1.46%1分钟价格成交量滞后相关性 -2.71% 0.11%-1.50% 1.21% 0.51% 2.63%-1.59% 2.10% 6.93% 6.28%-5.06%11.99% 0.97% 1.05%-2.09% 3.06%5分钟价格成交量滞后相关性 -2.16% 1.08%-2.82% 0.66% 1.01% 0.56%-0.11% 1.12% 7.79% 3.89%-4.41%12.21% 1.05% 0.68%-1.82% 2.88%1分钟价格成交量滞后相关性 -3.42% 0.73%-1.40% 2.02% 1.00% 1.06%-0.59% 1.59% 2.12% 8.95%-3.35% 5.47%-0.19% 2.05%-1.92% 1.73%尾盘价格成交量滞后相关性 -1.94% 0.17%-2.17% 0.23% 1.01% 2.23%-1.66% 2.67% 7.07% 5.50%-5.12%12.19% 0.75% 1.60%-2.39% 3.15%早盘价格成交量滞后相关性 -3.06% 0.51%-1.57% 1.49% 0.07% 0.86% 0.57% 0.50% 2.52% 3.56% 0.46% 2.05%-0.61% 1.60%-1.07% 0.46%1分钟收益率成交量相关性 -2.48%-1.94%-0.07% 2.41% 0.52% 0.42% 0.49% 0.03% 5.97% 2.71%-2.26% 8.23%-0.03% 1.15%-1.21% 1.18%5分钟收益率成交量相关性 -1.67%-1.89%-0.71% 0.96% 0.39%-0.26% 1.32% 0.93% 6.16% 5.01%-3.55% 9.72%-0.45% 0.76%-0.39% 0.07%大成交量收益率成交量相关性 -2.10%-1.22%-1.13% 0.97%-0.67% 0.91% 1.23% 1.90% 6.72% 3.00%-2.59% 9.31%-0.36% 1.15%-0.84% 0.48%1分钟收益率成交量滞后相关性 -2.65%-1.68% 0.36% 3.00% 1.43%-0.01% 0.13% 1.30%-1.66% 6.23% 2.98% 4.64%-0.88%-0.37% 1.