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Papers
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HFT
Avellaneda and Stoikov (2006) - High-frequency trading in a limit order book
Stoikov (2017) - The Micro-Price: A High Frequency Estimator of Future Prices
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Statarb
Avellaneda and Lee (2008) - Statistical Arbitrage in the U.S. Equities Market
Barra - United States Equities Risk Model Handbook
Gerber (2021) - The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization
Michael Isichenko (2021) - Costly Trading
- Paper formalizing the no trade zone, i.e. optimal trading with slippage; see also:
Trading Costs
Ledoit (2003) - Honey I Shrunk the Covariance Matrix
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Multi-period
Garleanu and Pedersen (2013) - Dynamic Trading with Predictable Returns and Transaction Costs
Boyd - Multi-Period Trading via Convex Optimization
See also:
Busseti (2018) - Thesis Augmentation for Multi-Period
Isichenko - Quantitative Portfolio Management
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Crypto
Wood - Ethereum Yellow Paper
Alexander, Deng,and Zou (2021) - Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading
Tadi (2023) - Copula-Based Trading of Cointegrated Cryptocurrency Pairs
lareuntzeimes - Thread with mid-price zero-fee backtest