Market Microstructure & Market Making for Quants: 100-Page Playbook + Python Lab
₹999
Use coupon code MICRO10 at checkout for 10% off.
About this resource
Understand how electronic markets actually work — from queue position and order-flow imbalance to inventory-aware market making and execution. This Desk2Quant release combines a polished 100-page playbook with executable Python code and a guided Jupyter lab. It is built for aspiring quant traders, quant researchers, quant developers and candidates who want to move beyond textbook pricing into the mechanics that determine real execution quality and trading P&L.
What you will learn Reconstruct and reason about limit-order books, price-time priority and queue state. Measure spread, depth, imbalance, microprice and multi-level order-flow imbalance. Understand adverse selection, toxicity, markouts and maker-taker economics.
Build inventory-aware market-making logic and calibrate Avellaneda–Stoikov inputs. Model queue position, fill probability, survival and hidden-liquidity fingerprints. Study market impact, execution scheduling, transient impact and cross-impact intuition. Engineer leakage-safe microstructure research features and validation splits.
Use Hawkes-process diagnostics for clustered order flow. Build event-driven backtests with realistic fees, fills, latency and accounting. Practice quant-trader interview games, coding tasks and desk-style diagnostics. Included in the download 100-page Market Microstructure & Market Making for Quants PDF.
Full LaTeX source. Python companion package. Executed Jupyter notebook with guided labs. Synthetic event-level market data. Worked exercises and solutions. Regression test suite and validation report. Launch price: ₹999. Regular price ₹1,299. Written by Amit Kumar Jha.
Independent educational material. 6-page sample: Open the sample PDF Launch coupon: MICRO10 — extra 10% off the ₹999 launch price.
What you get
- Instant digital delivery by email after purchase
- Written by a practising quantitative risk modeller
- Desk-focused material, not textbook theory
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Frequently asked questions
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Who is Market Microstructure & Market Making for Quants: 100-Page Playbook + Python Lab designed for?
It is designed for quantitative-finance candidates and practitioners who want desk-focused explanations, practical diagnostics and interview-ready reasoning.
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