Microstructure & Execution

Read these first

1. 01Tightness, Depth and Resiliency: The Dimensions of Liquidity

   Liquidity is not one number. Kyle's three dimensions separate what it costs to turn around right now (tightness), how much size the book absorbs before the price moves (depth), and how fast it heals afterwards (resiliency).

2. 02Microstructure Noise in High-Frequency Prices

   Every observed tick is the efficient price plus a small trading-mechanics error. That error is harmless at daily frequency and catastrophic at tick frequency, where it makes realised volatility blow up and returns look artificially mean-reverting.

Then the rest

1. 03Order Book Mechanics
2. 04Market vs. Limit Orders
3. 05Bid-Ask Spread Decomposition
4. 06Adverse Selection
5. 07The Glosten-Milgrom Model
6. 08The Kyle Model
7. 09Market Impact
8. 10The Square-Root Impact Law
9. 11The Almgren-Chriss Model
10. 12Optimal Execution
11. 13TWAP, VWAP & POV
12. 14The Avellaneda-Stoikov Model
13. 15Latency & High-Frequency Trading
14. 16Transaction Costs
15. 17Bid-Ask Bounce
16. 18Cleaning High-Frequency Tick Data
17. 19The Intraday Volume Profile
18. 20Amihud Illiquidity
19. 21Bulk Volume Classification
20. 22Implementation Shortfall
21. 23Maker-Taker Fees
22. 24Market Fragmentation
23. 25Price Discovery
24. 26Tick Size and Pricing
25. 27Tick, Volume And Dollar Bars
26. 28Trade Signing And The Lee-Ready Rule
27. 29Dark Pools
28. 30Hasbrouck's Information Share
29. 31Hawkes Processes for Order Flow
30. 32Iceberg and Hidden Orders
31. 33Order-Flow Imbalance
32. 34PIN: The Probability Of Informed Trading
33. 35Queue Position and Priority
34. 36Smart Order Routing
35. 37The Roll Spread Model
36. 38VPIN and Flow Toxicity