Clustering Structure of Microstructure Measures

This paper builds the clustering model of measures of market microstructure features which are popular in predicting the 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.

Paper

Similar papers

© 2026 NYSGPT2525 LLC