Aït-Sahalia, Yacine; Fan, Jianqing; Xue, Lirong; Zhou, … - National Bureau of Economic Research - 2022
This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and … predictability is rare and inconsistent, predictability in high frequency returns and durations is large, systematic and pervasive … ability that is often attributed to the fastest high frequency traders, in terms of improving the predictability of the …