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ABIDES — JPMorgan Extension

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by jpmorganchase

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agent based modellingarchivedmarket microstructuremarket simulationpythonreinforcement learning

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Build the foundations

Suggested foundations for market microstructure and execution. Specialist prerequisites vary by resource.

Before you read

  1. Order Books

    Read bid, ask, depth and queue-based market state.

  2. Order Flow and Adverse Selection

    Understand why fills and order flow can carry information.

Go further

  1. Market Impact

    Connect trading speed and size to execution cost.

  2. Implementation Shortfall

    Measure execution relative to the decision price.

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