by Maksym Nechepurenko
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Suggested foundations for monte carlo and numerical simulation and market microstructure and execution. Specialist prerequisites vary by paper.
Understand convergence, sampling error and confidence intervals.
Generate reproducible samples and distinguish randomness from model assumptions.
Read bid, ask, depth and queue-based market state.
Understand why fills and order flow can carry information.
Turn a discounted payoff into an estimator.
Study dependence and alternatives to independent sampling.
Connect trading speed and size to execution cost.
Start in discrete time, move to Brownian motion, then read the original pricing argument and simulate it.
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.