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q-fin.CP2026
When the Rules Change: Adaptive Signal Extraction via Kalman Filtering and Markov-Switching Regimes
Sungwoo Kang
Most empirical microstructure research assumes that order flow--return parameters are constant, yet these relationships shift substantially across market regimes. Combining adaptiv…
q-fin.CP2026★ 1 cited
The Limits of Complexity: Why Feature Engineering Beats Deep Learning in Investor Flow Prediction
Sungwoo Kang
The application of machine learning to financial prediction has accelerated dramatically, yet the conditions under which complex models outperform simple alternatives remain poorly…
q-fin.CP2025
Optimal Signal Extraction from Order Flow: A Matched Filter Perspective on Normalization and Market Microstructure
Sungwoo Kang
We establish a general matched filter principle for order flow normalization: optimal normalization must match the scaling behaviour of the signal-generating process. For capacity-…