Roadmap Homepage

Introducing the Roadmap

Market Microstructure? Dynamic Programming? Price Impact Regression? What do all of these obscure phrases have to do with market making and more importantly, what is market making and why should I care? Truthfully, the complexity of academic literature within the market making space is vast enough for one to do several PhDs in. However, I believe that understanding the core principles and theories of market-making does not require years of academic training. Anyone who has an interest in markets can grasp it.

That being said, learning these principles on your own can be daunting, as I often found myself having no idea where to even start. A quick google of “what is market making” leads to a lot of information, with answers about bid-ask spreads, limit-order books, high frequency trading and more. While this information was likely accurate, it was always difficult to synthesize what I was trying to learn, in a coherent flow.

Ultimately, I hope to create a resource that I wish I myself had several years ago - outlining fundamental concepts in market making while sharing the resources and references that both helped me gain understanding, as well as pointed me in the right direction to explore further. I’ve called it a roadmap because the information in this site is definitely not the final destination for you or me, rather it’s simply a means of knowing where to go next. It is my sincere hope that you find some usefulness in this work.

Cheers, Kevin

New Road, Grant Road (1939)