by Giorgio Valente, Minh Nguyen, Sophie Moinas
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Suggested foundations for rates and fixed income and market microstructure and execution. Specialist prerequisites vary by paper.
Understand discounting in a stochastic-rate model.
Translate yield movements into first-order price risk.
Read bid, ask, depth and queue-based market state.
Understand why fills and order flow can carry information.
Build a consistent discount curve.
Study a tractable mean-reverting rate model.
Connect trading speed and size to execution cost.
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.