by Andrew Lo, Harry Mamaysky, Jiang Wang
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Suggested foundations for asset pricing and factor research and market microstructure and execution. Specialist prerequisites vary by paper.
Interpret exposures, residuals and uncertainty in fitted coefficients.
Work with returns and recognise their empirical limitations.
Read bid, ask, depth and queue-based market state.
Understand why fills and order flow can carry information.
Connect factor definitions to portfolio construction.
Distinguish exposure estimation from tests of expected returns.
Connect trading speed and size to execution cost.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.