Cleaning the Book: How Structural Filtering Sharpens High-Frequency Signals
TL;DR for operators Structural filtering is useful, but not in the simple “delete noisy orders, get cleaner alpha” way. The paper tests three order-level filters — order lifetime, modification count, and modification timing — on BANKNIFTY January 2023 futures, then asks whether filtered order book imbalance better aligns with short-horizon returns.1 The diagnostic ladder is sensible: start with Pearson correlation, move to discretised OBI-return regimes, then use Hawkes excitation norms to examine whether imbalance regimes are followed by return regimes of the same sign. ...