by Chen, Fei, Diebold, Francis X., Schorfheide, Frank
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Suggested foundations for financial time series and market microstructure and execution. Specialist prerequisites vary by paper.
Check whether a relationship can be estimated consistently over time.
Read the fitted relationship and its residuals.
Read bid, ask, depth and queue-based market state.
Understand why fills and order flow can carry information.
Study long-run relationships without confusing them with correlation.
Check the assumptions behind reported estimates.
Connect trading speed and size to execution cost.
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.