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arXiv · 2107.02283

Clustering Structure of Microstructure Measures

Liao Zhu·Ningning Sun·Martin T. Wells
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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.

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BibTeXRIS

Liao Zhu, Ningning Sun, Martin T. Wells. 2021-07-05. Clustering Structure of Microstructure Measures. https://arxiv.org/abs/2107.02283

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