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Curriculum / Phase 2 · Core Quantitative Finance

Market Microstructure and Execution

Study order books, liquidity, market impact and execution analysis from market data to executed positions.

Why study Market Microstructure and Execution?

A decision price is not necessarily a fill price. Liquidity, order choice and the behaviour of other traders determine how a research idea turns into an actual position and how much it costs to trade.

Who this is for

For systematic researchers and execution analysts with market knowledge, statistics and time-indexed data skills.

What you should be able to do

  • Interpret trades, quotes and order-book state.
  • Measure spreads, adverse selection and market impact.
  • Compare execution schedules and post-trade cost analysis.

An example of the work this prepares you for

An execution analysis that compares a decision benchmark with fills and explains spread, timing and market-impact effects.

Prerequisites and suggested preparation

You should be comfortable with the background covered in these programmes. Equivalent knowledge from university study or independent learning is also suitable.

The goal is to use the foundations in context: explain the assumptions, carry out a calculation and interpret the result. If one of those steps feels unfamiliar, review the linked preparation first.

A preview of the learning journey

The lessons build towards these kinds of reasoning and practical work.

Read trading state

Interpret quotes, trades and changing liquidity.

Explain execution costs

Distinguish price movement from the cost of demanding liquidity.

Evaluate an order decision

Compare execution choices in the context of risk and urgency.

Members work through the detailed lessons, derivations, worked examples and solutions inside the learning dashboard.

Explore lesson previews by topic

Open a topic preview to see its introduction, learning objectives and prerequisites. Previous and next links let you explore the lessons in study order. Full lessons are available in the member dashboard; selected samples are free to read in full.

Topic previewMarket Data and Trading State3 lessonsTopic previewLiquidity, Spread and Impact4 lessonsTopic previewOrders and Execution Schedules3 lessonsTopic previewPost-Trade Analysis and Monitoring3 lessons

Free resources to start learning

Use these alongside the programme or to prepare independently. Start with the introductory material, work through an example, then return to the research papers when the underlying ideas are familiar.

  1. Research paper · Free

    Statistical Arbitrage in the U.S. Equities Market

    Marco Avellaneda and Jeong-Hyun Lee

    Read the strategy and implementation discussion as a bridge between signals and tradable portfolios.

  2. Video lectures · Free

    Finance Theory I: lecture videos

    MIT OpenCourseWare · Andrew Lo

    Review market efficiency and trading intuition before studying order-level data.

  3. Textbook · Free

    Python for Data Analysis

    Wes McKinney · third edition

    Practise time-index alignment for quote and trade analysis.

  4. Textbook · Free

    Convex Optimization

    Stephen Boyd and Lieven Vandenberghe

    Build the optimisation background for constrained execution decisions.

Links reviewed 14 October 2026. Free refers to the linked reading, notes or videos; printed books and certificates may cost extra.

Find more papers and learning materials in the SelfMadeQuant Directory.

Where this programme fits

  • Systematic Trading and Quantitative Research · required programme
  • Quant Developer and Trading Systems · required programme

Ready to study Market Microstructure and Execution? Explore membership for access to the complete lessons.

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