Optimal Signal Extraction from Order Flow: A Matched Filter Perspective on Normalization and Market Microstructure

By Sungwoo Kang

Published 2026-02-20

Everscope rating

1630.9

Relevance to quantitative trading

9 / 10

Implementation complexity

5 / 10

Reproducibility

3 / 5

About this paper

Methodology: General Matched Filter Principle for Order Flow Normalization. Problem types: Signal Extraction, Regression, Market Microstructure Analysis, Algorithmic Execution, Factor Construction, Information Asymmetry Detection.

arXiv:2512.18648 · Paper rankings

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