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Probability & Markets
Jane Street
adverse selection / conditional probabilityResource overview

Probability & Markets

Lecture Notes

by Jane Street

Tags
adverse selectionconditional probabilityconfidence intervalscountingexpected valuefinancial marketsindependenceinterview preparationmarket makingprobability theoryrandom variablesrandomness

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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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