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Market Making under a Weakly Consistent Limit Order Book Model
Baron Law / Frederi Viens
high frequency trading / market makingResource overview

Market Making under a Weakly Consistent Limit Order Book Model

Paper2019

by Baron Law, Frederi Viens

Tags
high frequency tradingmarket makingmarket microstructurenumerical methodsoptimization

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Understand this paper

Suggested foundations for market microstructure and execution and optimisation and numerical methods. Specialist prerequisites vary by paper.

Before you read

  1. Order Books

    Read bid, ask, depth and queue-based market state.

  2. Order Flow and Adverse Selection

    Understand why fills and order flow can carry information.

  3. Vectors, Matrices and Linear Systems

    Read the linear algebra used to define a numerical problem.

  4. Constrained and Convex Optimisation

    Identify the objective, constraints and conditions for an optimum.

Go further

  1. Market Impact

    Connect trading speed and size to execution cost.

  2. Implementation Shortfall

    Measure execution relative to the decision price.

  3. Calibration as an Inverse Problem

    Understand identifiability and fitted model parameters.

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Explore Market Microstructure and Execution Explore Linear Algebra, Optimisation and Numerical Methods

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