Factor and sparse models are two widely used methods to impose a low-dimensional structure in high dimension. They are seemingly mutually exclusive. In this paper, we propose a simple lifting method that combines the merits of these two models in a supervised learning methodology that allows to...

This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...