by Ruf, Johannes, Xie, Kangjianan
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Suggested foundations for market microstructure and execution and portfolio construction. Specialist prerequisites vary by paper.
Read bid, ask, depth and queue-based market state.
Understand why fills and order flow can carry information.
Understand the covariance structure of portfolio risk.
Read objectives, constraints and optimality conditions.
Connect trading speed and size to execution cost.
Measure execution relative to the decision price.
Construct allocations and examine sensitivity to estimated inputs.
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.