Market Microstructure Models for High Frequency Trading Strategies

Follow Jonathan Kinlay, PhD 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 …

Market Microstructure Models for High Frequency Trading Strategies Read More ┬╗