Market Microstructure
How markets actually work at the level of orders, queues, and liquidity provision — auctions, order books, price formation, market making, and execution costs.
Details
- key concepts: order book, bid-ask spread, adverse selection, market impact, implementation shortfall, tick size
- core questions: How does a CLOB price form?, What is the Kyle lambda and why does it matter?, How is implementation shortfall decomposed?
- related categories: trading-execution, quantitative-finance
- term count: 88