Dream a Little Dream

Principal Component Analysis is used to construct �microstructure modes� that describe the most common flow/return patterns and allow one to separate them into bid-ask symmetric and bid-ask anti-symmetric.

Authors

Publication Details

Journal
Wilmott
Published
2024-09-01
DOI
https://doi.org/10.54946/wilm.12063
Primary Topic
Rheology and Fluid Dynamics Studies
Type
article
Field-Weighted Citation Impact
0.00
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article

Dream a Little Dream

Daniel Tudball
Wilmott
Rheology and Fluid Dynamics Studies
article

Dream a Little Dream

Daniel Tudball
article en

Abstract

Principal Component Analysis is used to construct �microstructure modes� that describe the most common flow/return patterns and allow one to separate them into bid-ask symmetric and bid-ask anti-symmetric.

WilmottVol. 2024(133)
Openalex Percentile: Top 89%
Rheology and Fluid Dynamics Studies
DOISourceOpenAlex
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Dream a Little Dream — Daniel Tudball · Wilmott (2024) | TGRS Research Map | TGRS