Table 8 The process of calculating the alpha-01 value of each stock set Q in month TT
From: Detecting the lead–lag effect in stock markets: definition, patterns, and investment strategies
Input: | For any stock i in one stock market, the two vectors OPi and TVi consist of daily opening price and daily trading volume of stock i on all the trading days of the month TT, respectively |
|---|---|
Output: | The value of alpha-01 of stock i, which is denoted as \(\alpha_{i}^{01}\) |
Process: | |
(1) | For each stock i in the stock market, the correlation (denoted as CORRi) between OPi and TVi is calculated |
(2) | The achieved correlations of all the stocks are sorted in descending order, and then each stock i gets a rank number (denoted as RKi) in the sorted vector |
(3) | Then, \(\alpha_{i}^{01}\) can be calculated as \(\alpha_{i}^{01} = \frac{{RK_{i} - 1}}{N - 1} - \frac{1}{2},\quad \quad (8)\) where N is the total number of stocks traded in the selected market |