Trading and Exchanges: Market Microstructure for Practitioners

Category: Business & Finance
Author: Larry Harris
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by gerty   2020-04-30
This book by Larry Harris helped me understand much better the mechanics and terminology of financial markets.

https://www.amazon.com/Trading-Exchanges-Market-Microstructu...

by peller   2018-10-04
Related, Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris is also excellent.

https://www.amazon.com/Trading-Exchanges-Market-Microstructu...

These aren't really textbooks, but regardless, the Market Wizards series by Jack Schwagger is highly recommended:

https://www.amazon.com/Market-Wizards-Updated-Interviews-Tra...

https://www.amazon.com/New-Market-Wizards-Conversations-Amer...

https://www.amazon.com/Hedge-Fund-Market-Wizards-Winning/dp/...

by PaulHoule   2018-01-17
See

https://www.amazon.com/Trading-Exchanges-Market-Microstructu...

for the securities side of the industry and

https://www.amazon.com/dp/0470095008/

for banks that take deposits and make loans.

by rfurlan   2017-08-19
Books I would recommend for beginners:

Evidence Based Technical Analysis: http://www.amazon.com/Evidence-Based-Technical-Analysis-Scie...

Pairs Trading: http://www.amazon.com/Pairs-Trading-Quantitative-Methods-Ana...

Quantitative Trading: http://www.amazon.com/Quantitative-Trading-Build-Algorithmic...

An Introduction to High Frequency Finance: http://www.amazon.com/Introduction-High-Frequency-Finance-Ra...

Trading and Exchanges: Market Microstructure for Practitioners: http://www.amazon.com/Trading-Exchanges-Market-Microstructur...

I also wrote a couple of very introductory articles, sadly I never got past part #2: http://www.bitcortex.com/2008/12/28/pragmatic-automated-trad... http://www.bitcortex.com/2009/01/04/pragmatic-automated-trad...

I am could mentor 1-2 HN readers that are serious about getting into quant trading. Just let me know you are interested :)

by lrm242   2017-08-19
This is a fun game and is very challenging. If you apply yourself you can be successful.

I would highly suggest picking up the book, Trading and Exchanges: Market Microstructure for Practitioners (http://www.amazon.com/dp/0195144708) by Larry Harris. To trade effectively you need to understand how the markets work and this book provides and outstanding tour through the markets, who participates in them, and why they do or don't make money.

There are innumerable ways to make money in the markets. Long term, short term, technical or fundamental, with retail platforms like Ninja or going very sophisticated and connecting directly to an exchange like NASDAQ using native protocols like ITCH and OUCH. Don't let naysayers distract you from your goal--for every naysayer there is always a counter point.

If you want some motivation, read through this IamA at reddit: http://www.reddit.com/r/IAmA/comments/9s9d7/iama_100_automat...

by mcphilip   2017-08-19
>People think it's complicated because of all the FUD (c.f. the comments on this story), but the basic mechanics of how a modern exchange operates are remarkably simple.

I'm referring to market microstructure in terms of the complex interactions amongst exchanges, the impact of Reg NMS, etc. Obviously the underlying algorithms can be boiled down to simple components.

For those interested in learning something about market microstructure, I highly recommend "Trading and Exchanges: Market Microstructure for Practitioners" as an introduction to the basics:

http://www.amazon.com/Trading-Exchanges-Market-Microstructur...