by F. Campigli, F. Lillo, G. Bormetti
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Suggested foundations for market microstructure and execution and financial time series. Specialist prerequisites vary by paper.
Read bid, ask, depth and queue-based market state.
Understand why fills and order flow can carry information.
Check whether a relationship can be estimated consistently over time.
Read the fitted relationship and its residuals.
Connect trading speed and size to execution cost.
Measure execution relative to the decision price.
Study long-run relationships without confusing them with correlation.
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.
Choose a reproducible strategy, specify the trading rule, and test what remains after costs and estimation uncertainty.