I am going to join the equity execution arm of an investment bank soon. I have minimal exposure to algorithmic execution, and am looking to increase my knowledge on the topic. Can someone provide a curated list of references (papers, books, online resources) relevant to a person in my position? An ideal response would present resources covering the basic concepts of execution, any mathematics relevant to the field, and perhaps even recent and future developments.
You now have four reference books for algo trading
- Market Microstructure in Practice (L and Laruelle) for an introduction and microstructure related aspects
- The Financial Mathematics of Market Liquidity (Guéant) for practitioner who want to start implementation
- Algorithmic and High-Frequency Trading (Careta, Jaimungal and Penalva) for quants or young researchers
- Algorithmic Trading and DMA (Johnson) for technological aspects
Last but not least, you have Quantitative Trading (Guo et al) covering a lot of aspects and probably best for people already knowing algo trading good enough.
Of course I would recommend to read them in this order.
I think that among others, Empirical Market Microstructure is a good book to start with. For more recent theories, you can find articles from
q-fin.TR subsections on arXiv.org. Although before digging into specific paper, I would try to find some recent review papers to get an impression on the big picture. Certainly you would see different authors have different beliefs/views on the market microstructure.