Market Making and High-Frequency Trading

Core Theory and Components

1. 1 The Business of Market Making 8 solved exercises
2. 2 Fair Value 8 solved exercises
3. 3 Inventory Models 8 solved exercises
4. 4 Extensions of the Inventory Framework 8 solved exercises
5. 5 Queue-Reactive Models and Large-Tick Assets 8 solved exercises
6. 6 Adverse Selection and Toxicity 8 solved exercises
7. 7 Short-Horizon Alpha 8 solved exercises
8. 8 Lead–Lag and Cross-Venue Trading 8 solved exercises
9. 9 Latency Arbitrage and Its Defence 8 solved exercises
10. 10 The Quoting Engine 8 solved exercises
11. 11 Hedging and Inventory in Practice 8 solved exercises

Strategy Files by Market

1. 12 ETF Market Making 8 solved exercises
2. 13 Index and Basket Arbitrage 8 solved exercises
3. 14 Depositary Receipts and Dual Listings 8 solved exercises
4. 15 Futures Market Making 8 solved exercises
5. 16 Auctions and the Close 8 solved exercises
6. 17 Rebates, Inverted Venues and Tiers 8 solved exercises
7. 18 News and Event Trading 8 solved exercises
8. 19 Automated Options Market Making 8 solved exercises
9. 20 Options: Cross-Venue and Volatility Arbitrage at Speed 8 solved exercises
10. 21 FX Market Making 8 solved exercises
11. 22 Bond and ETF Request-for-Quote Market Making 8 solved exercises
12. 23 Retail Wholesaling 8 solved exercises
13. 24 Crypto High-Frequency Trading on Centralised Venues 8 solved exercises
14. 25 On-Chain Trading 8 solved exercises
15. 26 Prediction and Sports Market Making 8 solved exercises

Running It

1. 27 Risk Controls 8 solved exercises
2. 28 P&L Analytics and the Strategy Lifecycle 8 solved exercises
3. 29 A Venue Playbook 8 solved exercises

29 chapters — 29 online so far, and more publishing regularly. The complete book is already available as a free PDF you can read online.