Phase 16
Algorithmic & High-Frequency Trading
Phase 16 of the Quant Academy curriculum.
16.1Full Lesson
Market Microstructure and the Limit Order Book
How modern electronic markets actually match trades, and the data structure every execution algorithm reasons about.
16.2Full Lesson
Price Formation, the Bid–Ask Spread, and Liquidity
Where prices come from when there is no single ‘price’, and why the spread is the market maker’s compe
16.3Full Lesson
Market Impact and Transaction Costs
Why trading moves the price against you, how that cost scales, and how to account for it honestly.
16.4Full Lesson
Optimal Execution (the Almgren–Chriss Framework)
Choosing a trade schedule that balances the cost of trading fast against the risk of trading slow.
16.5Full Lesson
Market Making, Inventory Risk, and Adverse Selection
Quoting both sides to earn the spread, while managing the position you accumulate and the informed traders who pick you
16.6Full Lesson
Backtesting, Risk Controls, and Regulatory/Ethical Considerations
Why most impressive backtests are illusions, how to evaluate honestly, and the controls and rules that keep automated tr