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Basic
⭐️⭐️⭐️
1. Type of trading
2. Order book theory
3. Market fragment
[Introduction to Market Microstructure]
1. European markets fragmentation and liquidity
2. Key practical questions from an investor's point of view
3. Key orderbook properties
4. Market fragmentation and competition across venues
5. Key forecast based on the orderbook
Basic
⭐️⭐️
1. Brownian Motion
2. Ito’s Lemma
3. SDE
4. Vasicek Model
[Stochastic Methods for Actuarial Science]
1. 7) Random Walk, Brownian Motion, Total Variation & Quadratic Variation
2. 8) Sotchastic Integrals and Ito's Lemma
3. 9) Ito's Lemma continued, SDEs, Vasicek Model
MarketMicrostructure
⭐️⭐️⭐️
1. Glosten-Milgrom: fixed trade size
2. Bayes’ Rule: adverse selection, order costs and inventory risk (Stoll)
3. Kyle, variable trade size
4. Market depth
5. Estimating liquidity determinants
[Financial Markets Microstructure]
1. Lecture 3, part 1: Information and Prices
2. Lecture 3, part 2: Glosten-Milgrom Model
3. Lecture 4: Determinants of Liquidity
4. Lecture 5, part 1: Depth determinants, Kyle Model
5. Lecture 5, part 2: Empirics of Illiquidity
[시장의 미시구조와 마이크로 트레이딩]
1. 7장: 시장미시구조론
[주몽] GlostenMilgrom.pdf
MarketMicrostructure
⭐️⭐️⭐️
1. Limit order book
2. Glosten: static, random market order demand
3. market design
4. Parlour: dynamic, endogenous market order demand
[Financial Markets Microstructure]
1. Lecture 6: Limit Order Book Markets
2. Lecture 7, part 1: Market Design
3. Lecture 7, part 2: LOB Markets - Dynamic Analysis
[Algorithmic and high frequency trading]
1. Chapter1: Electronic Markets and the Limit Order Book
2. Chapter2: A Primer on the Microstrncture of Financial Markets
[주몽] Market Making under a Weakly Consistent Limit Order Book Model.pdf
MarketMicrostructure
⭐️⭐️
1. Fragmentation costs, modified Kyle model
2. fragmentation benefits, modified Glosten LOB
model
[Financial Markets Microstructure]
1. Lecture 8, part 1: Market Fragmentation
2. Lecture 8, part 2: Market Fragmentation
MarketMicrostructure
⭐️
1. Search costs
2. Modified GM model for order flow transparency
[Financial Markets Microstructure]
1. Lecture 9, part 1: Market Transparency
2. Lecture 9, part 2: Market Transparency
MarketMicrostructure
⭐️⭐️
1. Liquidity risk and Illiquidity premia
[Financial Markets Microstructure]
1. Lecture 10, part 1: Value of Liquidity
2. Lecture 10, part 2: Value of Liquidity
[시장의 미시구조와 마이크로 트레이딩]
1. 8장: Bid-Ask 스프레드
MarketMicrostructure
⭐️⭐️⭐️
1. PIN model
2. Hidden Markov Process
3. VPIN model
[시장의 미시구조와 마이크로 트레이딩]
1. 9장: 정보보유 거래자 참여 비중 추정 모형 (1) - PIN
2. 10장: 정보보유 거래자 참여 비중 추정 모형 (2) - VPIN
Basic
⭐️⭐️⭐️
1. Bellman equation
2. Q-learning
3. Dynamic Q-learning
[High Frequency & Algorithmic trading]
1. Lecture 2: Dynamic Programming Principle / Hamilton-Jacobi-Bellman Equations; Optimal Liquidation problem
Basic
⭐️⭐️
1. Control Problems in Finance
2. Control for Diffusion Process
3. Control for Counting Processes
[Algorithmic and high frequency trading]
1. Chapter5: Stochastic Optimal Control and Stopping
HighFrequencyTrading
⭐️⭐️⭐️
1. Optimal Execution
[High Frequency & Algorithmic trading]
1. Lecture 3: Continuing Optimal Liquidation, including a price limiter, discussion and setup of optimal postings in LOB
2. Lecture4: Impact from Data, Intro to stochastic crontol with jumps, optimal liquidation posting at the touch
3. Lecture5: Order Imblance and market orders, optimal acquisition controlling depth, execution with limit and market orders
[Algorithmic and high frequency trading]
1. Chapter6: Optimal Execution with Continuous Trading I
2. Chapter7: Optimal Execution with Continuous Trading II
3. Chapter8: Optimal Execution with Limit and Market Orders
[시장의 미시구조와 마이크로 트레이딩]
1. 11장: 시장미시구조론과 알고리즘 트레이딩
Optimal Execution with Limit and Market Orders.pdf
OPTIMAL EXECUTION WITH A PRICE LIMITER.pdf
HighFrequencyTrading
⭐️⭐️
1. Targeting percentage of market’s speed of trading
[Algorithmic and high frequency trading]
1. Chapter9: Targeting Volume
HighFrequencyTrading
⭐️⭐️⭐️
1. Market making
2. Utility Maximising Market maker
3. Market making with adverse selection
[Algorithmic and high frequency trading]
2. Chapter10: Market Making
HighFrequencyTrading
⭐️⭐️
1. MACD
2. SOBI
3. DOBI
[시장의 미시구조와 마이크로 트레이딩]
1. 12장: 고빈도 매매 (High Frequency Trading : HFT)
Basic
⭐️
1. Long short strategy
2. Value of Option
[Buying and Selling Volatility]
1. Chapter2: A Review of Some Basic Concepts
2. Chapter3: The Price Profile of Derivatives before Expiry
OptionTrading
⭐️⭐️⭐️
1. Long volatilty strategy
2. Short volatiliy strategy
3. Put option strategy
[Buying and Selling Volatility]
1. Chapter4: The Simple Long Volatility Trades
2. Chapter5: The Short Volatility Trade
3. Chapter6: Using Put Options in Volatility Trade.
OptionTrading
⭐️⭐️
1. Vertical call spread
2. Time spread
[Buying and Selling Volatility]
1. Chapter7: Managing Combinations of Options
OptionTrading
⭐️
1. Mispriced option
2. Empirical deltas
3. Different strike prices
4. Different volatilities
[Buying and Selling Volatility]
1. Chatper8: More Complex Aspects of Volatility Trading
OptionTrading
⭐️⭐️
1. Hedging study for BSM model
2. Hedging study for BCC97 model
[Derivatives Analytics with Python]
1. Chapter13: Dynamic Hedging
OptionTrading
⭐️⭐️⭐️
1. Market-based option valuation
2. Monte carlo simulation
3. model calibration
[Derivatives Analytics with Python]
1. Chapter8: A first example of market-based valuation
2. Chapter9: General Model framework
3. Chapter10: Montel carlo simulation
4. Chapter11: Model calibration
5. Chpater12: Simulation and Valuation in the general model framework