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.
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2 Answers
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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.
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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.
