Fundamental topics regarding limit order books and high frequency trading.
Description of different forms of trading in the limit order book (dark pools, iceberg trading), aspects of high frequency trading, flash crashes and the role of high frequency traders, modelling of the order arrival process via compound Poisson and Hawkes processes, different price concepts and their modern modelling, volatility estimation in the ultra high frequency domain, dimensions of liquidity (bid-ask spread, market depth, resiliency), local time, limit order book models, classification of trading times, SPDE for the order book volum
Not necessary