Microstructure Modes - Disentangling the Joint Dynamics of Prices & Order Flow

By Salma Elomari-Kessab, Guillaume Maitrier, Julius Bonart, Jean-Philippe Bouchaud

Published 2024-05-20

Everscope rating

1710.9

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Vector Autoregression with Principal Component Analysis. Problem types: Time Series Forecasting, Dimensionality Reduction.

arXiv:2405.10654 · Paper rankings

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