by Damien Challet, Michael Benzaquen, Nolwenn Allaire, Victor Le Coz
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Suggested foundations for market microstructure and execution and credit and counterparty risk. Specialist prerequisites vary by paper.
Read bid, ask, depth and queue-based market state.
Understand why fills and order flow can carry information.
Separate default probability, loss severity and exposure.
Read conditional default and exposure quantities.
Connect trading speed and size to execution cost.
Measure execution relative to the decision price.
Study dependence between defaults.
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.