Tag: #market-impact
Writing on GPUs, LLMs, MLOps, Kubernetes — and mindset · 2 posts
Market Microstructure & Algorithmic Trading Theory 2026 Deep Dive: LOB, Almgren-Chriss, Avellaneda-Stoikov, Kyle Lambda — A Complete Guide
The 2026 toolkit of market microstructure — LOB modeling, Almgren-Chriss optimal execution, Avellaneda-Stoikov market making, Kyle lambda (information asymmetry), Glosten-Milgrom adverse selection, Hawkes point processes
2026-05-25 · 15 min read #market-microstructure#limit-order-book#almgren-chriss#avellaneda-stoikov#kyle-lambdaTCA + Market Impact Models 2026 Deep Dive — Implementation Shortfall, Almgren-Chriss, Kissell-Glantz I-Star, Bouchaud-Farmer Propagator, Bloomberg BTCA, Virtu, big xyt, BMLL, Tradeweb ♪ Listenable
Complete 2026 guide to TCA and market impact models — Perold (1988) Implementation Shortfall, Almgren-Chriss (2000) optimal execution, Kissell-Glantz I-Star, Obizhaeva-Wang (2013) temporary/permanent impact, Bouchaud-Far
2026-05-25 · 22 min read #tca#transaction-cost-analysis#market-impact#implementation-shortfall#almgren-chriss