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. The second part
covers market impact models, network models, multi-asset trading,
machine learning techniques, and nonlinear filtering. The third part
discusses electronic market making, liquidity, systemic risk, recent
developments and debates on the subject.