When making a high-frequency or mid-frequency prediction on an assets return, what are the advantages and disadvantages of making a continuous prediction vs a prediction that only fires on a particular event? For example my model might have a number of features: order imbalance, trade imbalance etc Do I want to make a continuous prediction of where the asset price is going? Or do I want to make predictions only when certain criteria is met? My feeling is that the event-based predictions will be