by Andy Snell, Ian Tonks
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Suggested foundations for market microstructure and execution and asset pricing and factor research. Specialist prerequisites vary by paper.
Read bid, ask, depth and queue-based market state.
Understand why fills and order flow can carry information.
Interpret exposures, residuals and uncertainty in fitted coefficients.
Work with returns and recognise their empirical limitations.
Connect trading speed and size to execution cost.
Measure execution relative to the decision price.
Connect factor definitions to portfolio construction.
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.