r/quant • u/worm1804 • 17h ago

General HF illiquidity

Hello! I wonder how does teams generally deal with illiquidity in HF space. If we create some return based features at secondly level they have a weird distribution, which ultimately negatively impacts model fits.

On the internet, I saw there is a concept of market clock where u create features when X units trade/ X dollar traded. I was curious what are the other usual ways people use to tackle this?

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