by Adrian Cachinero Vasiljević, Marcel Bluhm, Sébastien Derivaux, Søren Terp Hørlück Jessen
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Suggested foundations for risk measurement and stress and market microstructure and execution. Specialist prerequisites vary by paper.
Represent losses as a distribution rather than one forecast.
Distinguish a loss quantile from the average loss in the tail.
Read bid, ask, depth and queue-based market state.
Understand why fills and order flow can carry information.
Compare risk estimators and their assumptions.
Check forecasts against realised losses.
Connect trading speed and size to execution cost.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.