by Grégoire Loeper, Guillaume Maitrier, Jean-Philippe Bouchaud
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Suggested foundations for volatility models and surfaces and market microstructure and execution. Specialist prerequisites vary by paper.
Follow diffusion-based models and their assumptions.
Separate conditional volatility from observed returns.
Read bid, ask, depth and queue-based market state.
Understand why fills and order flow can carry information.
Study a correlated stochastic-variance model.
Interpret prices across strikes and expiries.
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.