Parameter calibration in Avellaneda-Stoikov

Calibration procedure for $\Lambda$ and $k$ in the AS model

Kyle model

Introduction to equilibrium strategies for market participants

Glosten Milgrom with imperfectly informed traders

Extension of the Glosten Milgrom model to allow for uncertain informed traders

Glosten Milgrom model

How do the markets digest information? Introduction to the Glosten Milgrom model