时间：2020年9月7日（周一）下午15:00

形式：钉钉群视频会议

题目：Microstructure in the Machine Age

期刊：Review of Financial Studies

作者：David Easley, Marcos López de Prado, Maureen O'Hara, Zhibai Zhang

摘要：Understanding modern market microstructure phenomena requires large amounts of data and advanced mathematical tools. We demonstrate how machine learning can be applied to microstructural research. We find that microstructure measures continue to provide insights into the price process in current complex markets. Some microstructure features with high explanatory power exhibit low predictive power, while others with less explanatory power have more predictive power. We find that some microstructure-based measures are useful for out-of-sample prediction of various market statistics, leading to questions about market efficiency. We also show how microstructure measures can have important crossasset effects. Our results are derived using 87 liquid futures contracts across all asset classes. 

主讲人：余晓立博士生