https://www.youngju.dev/blog 천천히 올바르게. AI Researcher & DevOps Engineer Youngju's tech blog. GPU/CUDA, LLM, MLOps, Kubernetes AI workloads, distributed training, and data engineering. ko fjvbn2003@gmail.com (Youngju Kim) fjvbn2003@gmail.com (Youngju Kim) Mon, 25 May 2026 00:00:00 GMT https://www.youngju.dev/blog/culture/2026-05-25-market-microstructure-limit-order-book-almgren-chriss-avellaneda-stoikov-kyle-2026-deep-dive.en https://www.youngju.dev/blog/culture/2026-05-25-market-microstructure-limit-order-book-almgren-chriss-avellaneda-stoikov-kyle-2026-deep-dive.en The 2026 toolkit of market microstructure — LOB modeling, Almgren-Chriss optimal execution, Avellaneda-Stoikov market making, Kyle lambda (information asymmetry), Glosten-Milgrom adverse selection, Hawkes point processes, VWAP/TWAP/IS algorithms, square-root market impact, KRX tick rules, and JPX ToSTNeT — bridging academic theory and trading-desk practice with runnable code. Mon, 25 May 2026 00:00:00 GMT fjvbn2003@gmail.com (Youngju Kim) market-microstructurelimit-order-bookalmgren-chrissavellaneda-stoikovkyle-lambdaglosten-milgromhawkes-processexecution-algosvwap-twapimplementation-shortfallmarket-impactdark-poolslob-modeling https://www.youngju.dev/blog/culture/2026-05-25-market-microstructure-limit-order-book-almgren-chriss-avellaneda-stoikov-kyle-2026-deep-dive.ja https://www.youngju.dev/blog/culture/2026-05-25-market-microstructure-limit-order-book-almgren-chriss-avellaneda-stoikov-kyle-2026-deep-dive.ja 2026年のマーケット・マイクロストラクチャ最新像 — 板情報(LOB)モデリング、Almgren-Chriss最適執行、Avellaneda-Stoikov マーケットメイク、Kyle ラムダ(情報の非対称性)、Glosten-Milgrom 逆選択、Hawkes 点過程、VWAP/TWAP/IS アルゴリズム、平方根マーケットインパクト、KRX 板ルールと JPX ToSTNeT まで、アカデミアとトレーディングデスクの懸け橋をコード付きで解説します。 Mon, 25 May 2026 00:00:00 GMT fjvbn2003@gmail.com (Youngju Kim) market-microstructurelimit-order-bookalmgren-chrissavellaneda-stoikovkyle-lambdaglosten-milgromhawkes-processexecution-algosvwap-twapimplementation-shortfallmarket-impactdark-poolslob-modeling https://www.youngju.dev/blog/culture/2026-05-25-market-microstructure-limit-order-book-almgren-chriss-avellaneda-stoikov-kyle-2026-deep-dive https://www.youngju.dev/blog/culture/2026-05-25-market-microstructure-limit-order-book-almgren-chriss-avellaneda-stoikov-kyle-2026-deep-dive 2026년 마켓 마이크로구조의 핵심 — LOB(Limit Order Book) 모델링, Almgren-Chriss 최적 실행, Avellaneda-Stoikov 마켓 메이킹, Kyle 람다(정보 비대칭), Glosten-Milgrom 역선택, Hawkes 점과정, VWAP/TWAP/IS 알고리즘, Kyles square-root impact, KRX 호가창과 JPX ToSTNeT까지 학계-산업 가교를 코드와 함께 정리합니다. Mon, 25 May 2026 00:00:00 GMT fjvbn2003@gmail.com (Youngju Kim) market-microstructurelimit-order-bookalmgren-chrissavellaneda-stoikovkyle-lambdaglosten-milgromhawkes-processexecution-algosvwap-twapimplementation-shortfallmarket-impactdark-poolslob-modeling