Overview

1. Introducing the Roadmap

2. What is a Market Maker?
   • The role of market makers in efficient markets
   • Transaction costs
   • Bid-Ask spreads
3. Introduction to Liquidity and Market Microstructure
   • Defining Liquidity and why it’s important.
   • Defining Microstructure.
4. Introduction to Price Discovery.
   • Glosten-Milgrom
   • Kyle (IPR)
   • Ho Stoll (IPR)
   • Amihud-Medelson (IPR)
5. Introduction to Limit Order Books
   • Depth
   • Imbalance (IPR)
   • Queue Priorities (IPR)
6. Mathematical Underpinnings of Market Making (IPR)
   • Probability
   • Time Series
   • Control Theory
7. Python simulation of a Market (IPR)
   • Can we simulate a market + market maker