High-Frequency Finance
Microstructure noise, optimal execution, and limit order book models.
High-Frequency Finance. Microstructure noise, optimal execution, and limit order book models.
Foundations and canonical references
The standard treatments of high-frequency finance approach the subject from complementary angles. Cartea, Algorithmic and High-Frequency Trading (2015) is the anchor reference for the subject and lays out the core definitions, theorems, and worked examples that practitioners return to. Lehalle, Market Microstructure in Practice (2018) gives a parallel, more proof-oriented exposition of the same material and is widely used as a graduate text.
Open methodological questions for high-frequency finance include sharpening the bridges between foundational theory and computational practice, extending classical results to broader or more structured settings, and integrating the techniques surveyed above with adjacent mathematical disciplines. The references listed in this page are the entry points that current work builds on.
Prerequisites
Sources
- textbook · primary · 2015Algorithmic and High-Frequency Tradingcartea-2015, jaimungal-2015, penalva-2015
- textbook · primary · 2018Market Microstructure in Practicelehalle-2018, laruelle-2018
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