by Dohyun Ahn, Hongyi Jiang
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Suggested foundations for market microstructure and execution and risk measurement and stress. Specialist prerequisites vary by paper.
Read bid, ask, depth and queue-based market state.
Understand why fills and order flow can carry information.
Represent losses as a distribution rather than one forecast.
Distinguish a loss quantile from the average loss in the tail.
Connect trading speed and size to execution cost.
Measure execution relative to the decision price.
Compare risk estimators and their assumptions.
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.
Connect diversification, common risk factors, investor views, and the properties of a risk measure.