Books and Research Starting Points for Algorithmic Equity Execution

Summary

The document responds to a newcomer’s request for resources on algorithmic execution, including market fundamentals, relevant mathematics, and newer research. It recommends books spanning market microstructure, financial mathematics of liquidity, algorithmic and high-frequency trading, direct market access and technology, and quantitative trading. The answer suggests an order that moves from introductory market structure toward implementation and more advanced quantitative material.

A second response recommends an empirical market microstructure text and advises reading recent review papers before individual research articles. It points readers toward transaction research on arXiv for more recent theories, while noting that authors may hold differing views of market microstructure. This is a curated starting list rather than a detailed syllabus: it gives no chapter selections, comparisons of editions, or assessment of how the references have changed since publication.

Key ideas

• The suggested reading spans market microstructure, liquidity mathematics, algorithmic trading, execution technology, and quantitative methods.
• The primary answer proposes progressing from introductory material toward implementation and advanced quantitative topics.
• A second answer recommends empirical microstructure material and review papers as orientation before specialist articles.
• The document points to recent transaction research on arXiv while noting that interpretations of market structure can differ.
• The list is a starting point and does not provide chapter-level guidance or evaluate current editions.

Tags

# Algorithmic Execution Literature/References


# Algorithmic Execution Literature/References












I am going to join the equity execution arm of an investment bank soon. I have minimal exposure to algorithmic execution, and am looking to increase my knowledge on the topic. Can someone provide a curated list of references (papers, books, online resources) relevant to a person in my position? An ideal response would present resources covering the basic concepts of execution, any mathematics relevant to the field, and perhaps even recent and future developments.

## Answer by lehalle (score 5, accepted)

https://quant.stackexchange.com/a/31508

You now have four reference books for algo trading

- Market Microstructure in Practice (L and Laruelle) for an introduction and microstructure related aspects

- The Financial Mathematics of Market Liquidity (Guéant) for practitioner who want to start implementation

- Algorithmic and High-Frequency Trading (Careta, Jaimungal and Penalva) for quants or young researchers

- Algorithmic Trading and DMA (Johnson) for technological aspects

Last but not least, you have Quantitative Trading (Guo et al) covering a lot of aspects and probably best for people already knowing algo trading good enough.

Of course I would recommend to read them in this order.

## Answer by Will Gu (score 2)

https://quant.stackexchange.com/a/31503

I think that among others, Empirical Market Microstructure is a good book to start with. For more recent theories, you can find articles from `q-fin.TR` subsections on arXiv.org. Although before digging into specific paper, I would try to find some recent review papers to get an impression on the big picture. Certainly you would see different authors have different beliefs/views on the market microstructure.

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