Market Microstructure Models for High Frequency Trading Strategies

(Last Updated On: May 16, 2011)

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Market Microstructure Models for High Frequency Trading Strategieshttp://jonathankinlay.com/?p=408

This note summarizes some of the key research in the field of market microstructure and considers some of the models proposed by the researchers. Many of the ideas presented here have become widely adopted by high frequency trading firms and incorporated into their trading systems.

Market Microstructure Models for High Frequency Trading Strategies


Nice work. Thanks for taking the time to summarize these market microstructure models. As an aside, your proposed “Masters in High Frequency Finance” program looks pretty good as well.

– Interesting, I would love to see some more down to earth application of one of the models. From my experience, academic papers are more oriented toward publication than generating money.

i would like to join any program on High Frequency Finance , please keep me updated… thanks

One a side not if you have any projects that you are working on HF stuff , and looking for number crunching etc ..let me know



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