Clustering Structure of Microstructure Measures

Abstract

This paper builds the clustering model of measures of market microstructure features which are popular in predicting stock returns. In a 10-second time-frequency, we study the clustering structure of different measures to find out the best ones for predicting. In this way, we can predict more accurately with a limited number of predictors, which removes the noise and makes the model more interpretable.

Tasks

Reproductions