by Dingqiu Zhu, Jianfei Zhang, Justin Lyon, Namid Stillman, Perukrishnen Vytelingum, Rory Baggott, Tao Chen
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Suggested foundations for market microstructure and execution and monte carlo and numerical simulation. Specialist prerequisites vary by paper.
Read bid, ask, depth and queue-based market state.
Understand why fills and order flow can carry information.
Understand convergence, sampling error and confidence intervals.
Generate reproducible samples and distinguish randomness from model assumptions.
Connect trading speed and size to execution cost.
Measure execution relative to the decision price.
Turn a discounted payoff into an estimator.
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.