by Christopher Regan, Ying Xie
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Suggested foundations for market microstructure and execution and text and language models in finance. Specialist prerequisites vary by paper.
Read bid, ask, depth and queue-based market state.
Understand why fills and order flow can carry information.
Understand how text is converted into numerical inputs.
Check whether labels measure the financial construct of interest.
Connect trading speed and size to execution cost.
Measure execution relative to the decision price.
Test whether a text-derived signal survives an honest financial evaluation.
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.