Live Trading Systems

Curated summaries of the key literature behind this chapter — the findings, the methods, and how to put them to work.

7 referenced in this chapter 27 further reading

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R2P students unlock curated summaries of every key paper behind this chapter — the core findings, the methods, and how to apply them — plus resources we keep adding over time.

Market Microstructure: A Practitioner's Guide

Ananth Madhavan (2002)

Trading and Exchanges: Market Microstructure for Practitioners

Larry Harris (2003)

Advances in Financial Machine Learning

Marcos Lopez de Prado (2018)

The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality

David H. Bailey and Marcos Lopez de Prado (2014)

Optimal execution of portfolio transactions

Robert Almgren and Neil Chriss (2001)

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