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

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Year of publication:	[2021]
Authors:	Zhu, Liao ; Sun, Ningning ; Wells, Martin T.
Publisher:	[S.l.] : SSRN
Subject:	Regionales Cluster \| Regional cluster \| Clusteranalyse \| Cluster analysis \| Marktmikrostruktur \| Market microstructure \| Messung \| Measurement \| Theorie \| Theory

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