Clustering Structure of Microstructure Measures
Statistical Finance
2021-12-28 v3 Machine Learning
Methodology
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.
Keywords
Cite
@article{arxiv.2107.02283,
title = {Clustering Structure of Microstructure Measures},
author = {Liao Zhu and Ningning Sun and Martin T. Wells},
journal= {arXiv preprint arXiv:2107.02283},
year = {2021}
}