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Market Microstructure
Market microstructure is the study of how orders become prices. I write about price formation mechanisms, liquidity provision, information asymmetry, and the mechanics of electronic order matching. Understanding these dynamics is essential for anyone building trading strategies that interact with real order books rather than idealized backtest assumptions.
2026-05
Quant
Finding Signal in Market Noise: I Stopped Reading the Tape and Started Measuring It
You can’t quantify what you haven’t observed. I paper traded order flow as a deliberate research step, building the intuition needed to formalize concepts like absorption, iceberg …