Academy notes
Articles and updates from SoloQuant Academy.
Tag: microstructure
Sirignano & Cont (2018) train one LSTM on pooled NASDAQ books and beat per-stock models—even on names never seen in training. Universality + path dependence. Not investment advice.
Cont, Kukanov & Stoikov (2010) show short-horizon mid moves track order-flow imbalance roughly linearly, with slope inverse to depth. Plain-language intro. Not investment advice.
Gould et al. (2013) survey limit order books: mechanics, stylised facts, and modelling strands. Plain-language map for after-work Python learners. Not investment advice.
Bouchaud, Farmer & Lillo (2008) explain why markets digest supply and demand slowly: long-memory order flow and propagator-style impact. Plain-language intro. Not investment advice.
Fodra & Labadie (2012) study high-frequency market-making with inventory constraints and optional directional views—quotes that respect risk limits. Plain-language intro. Not investment advice.
Li, Laeven & Vellekoop (2018) study integrated volatility when microstructure noise is dependent—so naive high-frequency estimators misbehave. Plain-language intro. Not investment advice.
Dixon, Polson & Sokolov (2018) use deep spatio-temporal nets on traffic flows and high-frequency trading—showing the same modeling habit across space and time. Plain-language intro. Not investment advice.
Abergel and Jedidi (2010) treat the limit order book as a Markov chain with Poisson arrivals, proving stationarity ideas and Brownian-like midprice scaling. Plain-language intro. Not investment advice.
