Research
Deep reads of seminal papers in quantitative finance — with derivations, Python implementations, and practical notes on taking the models to real markets.
Market Microstructure
Marco Avellaneda, Sasha Stoikov · Quantitative Finance · 2008 DOI
High-frequency Trading in a Limit Order Book
The landmark model for optimal market making under inventory constraints — deriving closed-form bid and ask quote schedules via stochastic control theory.
Market MakingLimit Order BookHFTStochastic ControlInventory Risk
7 min read