Tier 4 · QuantFree
Market Microstructure and Econophysics
Liquidity and the Machine
9 modules~78 min totalVerifiable certificate on completion
Syllabus
01The Limit Order Book and the Cost of ImmediacyMath
10 min02Market-Maker Inventory Risk and the Optimal SpreadMath
10 min03Price Impact and the Cost of SizeMath
10 min04Fat Tails: Power Laws and the Failure of the GaussianMath
10 min05Execution Algorithms and Implementation ShortfallMath
10 min06Working the Block
7 min07When Liquidity Vanishes
7 min08The Six-Sigma Day
7 min09Makers, Takers, and the Speed Race
7 minFrom Module 1 — read a sample
The bid is the highest price anyone will pay RIGHT NOW; the ask is the lowest anyone will sell for. The spread — ask minus bid — is the market maker's profit for standing ready to trade. Wide spread means illiquid; narrow spread means liquid.
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