by Gur Huberman, Werner Stanzl
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Suggested foundations for market microstructure and execution and optimisation and numerical methods. Specialist prerequisites vary by paper.
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.