Market Microstructure
Limit order book mechanics, adverse selection and inventory management, Almgren-Chriss optimal execution, and market impact estimation — for prop trading, algorithmic trading, and algo-adjacent quant roles.
4 modules~96 min total
Prerequisites
Probability and statisticsBasic optimisation (calculus of variations helpful)Familiarity with financial markets and order types
Modules
01
Limit Order Book Mechanics
MediumMarket MicrostructureLimit Order BookMarket MakingAdverse Selection
20 min
02
Adverse Selection and Inventory Models
HardMarket MicrostructureMarket MakingAdverse SelectionStochastic ControlAvellaneda-Stoikov
28 min
03
Almgren-Chriss Optimal Execution
HardMarket MicrostructureOptimal ExecutionMarket ImpactStochastic ControlAlmgren-Chriss
25 min
04
Market Impact Estimation
HardMarket MicrostructureMarket ImpactKyle ModelPrice ImpactEmpirical Methods
23 min