by Neil Chriss, Robert Almgren
Read the PDF in the Directory. Highlight a passage to explain, define or ask about it. Notes are free with an account; answers come with membership.
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Start with the foundations, then use the reading focus to connect the paper to further study.
Read bid, ask, depth and queue-based market state.
Understand why fills and order flow can carry information.
Read the linear algebra used to define a numerical problem.
Identify the objective, constraints and conditions for an optimum.
Connect trading speed and size to execution cost.
Measure execution relative to the decision price.
Understand identifiability and fitted model parameters.
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.
Explore related execution accounting and replay-based analysis.
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