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