Hi everyone. Ranking the stock based on four factor model is my assignment of my lecture. I calculated the four factors as George Ho did. Here is the link and thanks for his work. https://www.quantopian.com/posts/kakushadze-model-for-overnight-returns
Basically, I have finished the ranking for volatility,momentum and size factor, but I was stuck in the volume factor. As the data of volume factor are the same, I can't do the ranking thing.
Can somebody tell me why is that or give me some suggestions on how to calculate the volume factor in another way based on the paper https://arxiv.org/pdf/1410.5513.pdf
I will be greatly appreciated!
Thank you in advance.