The idiosyncratic (microscopic) and systemic (macroscopic) components of market structure have been shown to be responsible for the departure of the optimal mean-variance allocation from the heuristic 'equally-weighted' portfolio. In this paper, we exploit clustering techniques derived from...

The possibility to measure the relative contribution of agents and exchanges to the price formation process in high-frequency financial markets acquired increasingly importance in the financial econometric literature. In this paper I propose to adopt fully data-driven approaches to identify...