We propose a semiparametric approach to disentangling the autocovariance of equity returns at high frequency. We assume the observed price consists of an efficient component that follows a nonparametric continuous-time Ito-semimartingale, along with a market microstructure component that follows...

We extract contextualized representations of news text to predict returns using the state-of-the-art large language models in natural language processing. Unlike the traditional bag-of-words approach, the contextualized representation captures both the syntax and semantics of text, thus...