In the previous article we looked at TWAP and VWAP and learned why those 2 indicators are extremely important in financial markets.
TWAP & VWAP - More important than you think
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In the previous article we visualized an orderbook in python. In this article we are gonna look at the, in my opinion, most important indicators in all of quant finance, TWAP and VWAP. Table of Content Technical Details Market Manipulation Execution Algorithms
In this article we are gonna look at a couple of different market making models, run some simulations, learn about adverse selection, every market makers biggest fear and more!
Table of Content
Fixed Distance MM
Managing Inventory
Adverse Selection
Market Microstructure
EV Maximization
Final Remarks