Microstructure-Empowered Stock Factor Extraction and Utilization

Abstract.

the relevant factors extracted from these signals are utilized in downstream tasks. In empirical studies, we verify our method on an entire year of stock order flow data across diverse scenarios, thus providing a wider range of potential applications in comparison to existing tick-level approaches that have only been evaluated on small datasets spanning a few days of stock data. We demonstrate that our method extracts superior factors from order flow data, enabling significant improvement for stock trend prediction and order execution tasks at the second and minute level.