by Elena Yudovina, Frank Kelly
Continue on SelfMadeQuant
Suggested foundations for market microstructure and execution and probability and statistical reasoning. Specialist prerequisites vary by paper.
Read bid, ask, depth and queue-based market state.
Understand why fills and order flow can carry information.
Read the distributions and expectations used in probabilistic arguments.
Interpret expectations after information is observed.
Connect trading speed and size to execution cost.
Measure execution relative to the decision price.
Assess uncertainty rather than treating an estimate as a fact.
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.
Move from conditioning and expected values to timed problems with a defensible solution.