Clustering Structure of Microstructure Measures

@article{Zhu2019ClusteringSO,
  title={Clustering Structure of Microstructure Measures},
  author={Liao Zhu and Ningning Sun and Martin T. Wells},
  journal={Vanderbilt University - Owen Graduate School of Management Research Paper Series},
  year={2019}
}
  • Liao Zhu, Ningning Sun, M. Wells
  • Published 15 March 2019
  • Computer Science
  • Vanderbilt University - Owen Graduate School of Management Research Paper Series
This paper investigates popular market microstructure measures for stock returns prediction and builds a clustering model for them to study their correlation and the best measures to use as representatives. Using high-dimensional statistical methods, we build the clustering dendrogram and select 20 representatives from all measures. Furthermore, we provide several interesting insights of the market microstructure measures from our clustering results. We found that the time-weighting technique… 

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