Order books, market impact, execution algorithms, and tick data analysis — the mechanics of how prices form and trades execute.
Bid-ask spread, order book depth, imbalance signals, and price formation
Square-root law, Kyle's lambda, permanent vs temporary impact, and strategy capacity
TWAP, VWAP, Implementation Shortfall, and Almgren-Chriss optimal execution
Latency arbitrage, adverse selection, VPIN, and high-frequency volatility estimators
Roll's bid-ask bounce estimator, Glosten-Milgrom adverse selection, and Stoll inventory models
Easley-O'Hara PIN model, VPIN volume-clock variant, and how market makers respond to toxic flow