Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Microstructure under the Microscope: Tools to Survive and Thrive in The
  Age of (Too Much) Information   Market Microstructure is the investigation of the process and protocols that
govern the exchange of assets with the objective of reducing frictions that can
impede the transfer. In financial markets, where there is an abundance of
recorded information, this translates to the study of the dynamic relationships
between observed variables, such as price, volume and spread, and hidden
constituents, such as transaction costs and volatility, that hold sway over the
efficient functioning of the system.
  "My dear, here we must process as much data as we can, just to stay in
business. And if you wish to make a profit you must process at least twice as
much data." - Red Queen to Alice in Hedge-Fund-Land.
  In this age of (Too Much) Information, it is imperative to uncover nuggets of
knowledge (signal) from buckets of nonsense (noise). To aid in this effort to
extract meaning from chaos and to gain a better understanding of the
relationships between financial variables, we summarize the application of the
theoretical results from (Kashyap 2016b) to microstructure studies. The central
concept rests on a novel methodology based on the marriage between the
Bhattacharyya distance, a measure of similarity across distributions, and the
Johnson Lindenstrauss Lemma, a technique for dimension reduction, providing us
with a simple yet powerful tool that allows comparisons between data-sets
representing any two distributions. We provide an empirical illustration using
prices, volumes and volatilities across seven countries and three different
continents. The degree to which different markets or sub groups of securities
have different measures of their corresponding distributions tells us the
extent to which they are different. This can aid investors looking for
diversification or looking for more of the same thing.

30
The categories of this paper are: q-alg
4
The categories of this paper are: cond-mat
25
The categories of this paper are: patt-sol
15
The categories of this paper are: nucl-ex
10
The categories of this paper are: q-bio
23
The categories of this paper are: solv-int
2
The categories of this paper are: math
27
The categories of this paper are: comp-gas
26
The categories of this paper are: bayes-an
16
The categories of this paper are: stat
14
The categories of this paper are: math-ph
32
The categories of this paper are: atom-ph
7
The categories of this paper are: hep-th
0
The categories of this paper are: hep-ph
29
The categories of this paper are: funct-an
12
The categories of this paper are: nucl-th