Part 1

The first part of this book discusses institutions and mechanisms of algorithmic trading, market microstructure, high-frequency data and stylized facts, time and event aggregation, order book dynamics, trading strategies and algorithms, transaction costs, market impact and execution strategies, risk analysis, and management.

Part 2

The second part covers market impact models, network models, multi-asset trading, machine learning techniques, and nonlinear filtering.

Part 3

The third part discusses electronic market making, liquidity, systemic risk, recent developments and debates on the subject.