Available materials: Slides (PDF)
High-frequency trading (HFT) has transformed financial markets by enabling rapid execution of trades and complex strategies. This talk explores the microstructure of markets, focusing on the dynamics of orders and the Limit Order Book (LOB), which is the data-structure that underpins HFT. We discuss order types, order book dynamics, price formation and demand-supply mechanics, HFT data and its idiosyncrasies, as well as HFT strategies. We also give a historical overview of the development of high-frequency trading, particulary the narrative described in Micheal Lewis' Flash Boys.