The basics of devising algorithmic strategies come from the field of Market Microstructure in Finance/Economics. I took a graduate level course on it (math pro

The basics of devising algorithmic strategies come from the field of Market Microstructure in Finance/Economics. I took a graduate level course on it (math prof. from Stanford). I found a decent graduate level course syllabus with all the main literature and links to literature in it: http://pages.stern.nyu.edu/~jhasbrou/Teaching/2006%20Fall%20PhD%20Microstructure/B40.3349%20Word.htm http://pages.stern.nyu.edu/~jhasbrou/Teaching/2006%20Fall%20... One of the main models is the Kyle model: Kyle, Albert S., 1985, Continuous auctions and insider trading. Econometrica 53, 1315-1336 (http://www.jstor.org/pss/1913210 http://www.jstor.org/pss/1913210)