DISCIPLINE TRACK 04 // MICROSTRUCTURE & HFT
Microstructure & HFT Execution
L2/L3 order book reconstruction, queue priority dynamics, Kyle's Lambda adverse selection, Almgren-Chriss optimal liquidation, Volume-Synchronized Probability of Toxicity (VPIN), and FIFO vs Pro-Rata matching engine mechanics.
TARGET DESKS:
Jump Trading
Citadel Securities
Virtu Financial
Tower Research
Track Problem Set
5 AUDITED INSTITUTIONAL CHALLENGES
5 of 5 Challenges