by Damien Challet, Iacopo Mastromatteo, Michael Benzaquen, Victor Le Coz
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Suggested foundations for market microstructure and execution and rates and fixed income. Specialist prerequisites vary by paper.
Read bid, ask, depth and queue-based market state.
Understand why fills and order flow can carry information.
Understand discounting in a stochastic-rate model.
Translate yield movements into first-order price risk.
Connect trading speed and size to execution cost.
Measure execution relative to the decision price.
Build a consistent discount curve.
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.