Resources
Reading List & Tools
Curated papers, articles, videos, and courses organized by the topics QFC covers each semester. Resources marked with a project name are directly referenced in QFC research.
Interactive Tools
Options Greeks Dashboard
Interactive Black-Scholes pricer — Delta, Gamma, Theta, Vega, Rho & payoff diagrams
Reading List
High-Frequency Trading in a Limit Order Book
PaperAvellaneda & Stoikov (2008)
The paper HALO is built on. Derives optimal bid/ask quotes as a function of inventory, volatility, and risk aversion.
OpenDealing with the Inventory Risk
PaperGueant, Lehalle & Fernandez-Tapia (2013)
Extends Avellaneda-Stoikov with closed-form solutions. More rigorous treatment of the fill intensity model and inventory management problem.
OpenFlow Toxicity and Liquidity in a High-Frequency World (VPIN)
PaperEasley, Lopez de Prado & O'Hara (2012)
Introduces VPIN, the industry standard for detecting toxic order flow. The proper version of the OFI filter in HALO.
OpenThe Price Impact of Order Book Events
PaperCont, Kukanov & Stoikov (2014)
Formalizes order flow imbalance as a predictor of short-term price moves.
OpenMarket Making and Mean Reversion
ArticleAvellaneda & Stoikov, NYU lecture notes
More accessible than the original paper with worked examples.
OpenHow Citadel Securities Makes Money
ArticleKris Abdelmessih (Moontower)
Practitioner breakdown of how a professional market maker generates revenue.
OpenMarket Making Explained: Jane Street
VideoJane Street
Jane Street's public explanation of market making and inventory risk.
OpenLimit Order Book Dynamics: Lecture
VideoOxford Mathematical Finance
Academic lecture covering limit order book microstructure.
Open8 resources in this section