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I am interested in buying a book/textbook on market structure, mainly to provide background and context to the specific trading strategies I'm learning about. What do people think of Trading and Exchanges by Larry Harris? Any other recommendations?
Here is a short list of books I've read and recommend. I am not a big reader of books in print, I tend to prefer on-line methods... but nonetheless, these are great reads and contain a lot of information that helped me.
Yes, it is an excellent book! As it is "old", I wish he would release a new edition soon. Worth reading nonetheless.
Two other good books on the same topic:
I ordered a copy. Lornz - I'm curious, would you recommend reading cover to cover or where there any sections or chapters in the book you found most enlightening? Looks like a hell of a page turner....
I noticed that Larry Harris described Hasbrouck's boot as follows: "It is--and will long be--the authoritative treatment on the subject."
Seek freedom and become captive of your desires. Seek discipline and find your liberty. - Frank Herbert
Yes, Hasbrouck's book was published in 07, thus it more up-to-date. But you should read Harris first... I actually think one should read it cover to cover, it gives a thorough introduction to market structure. It is a brick, but it's also a relatively easy read. The subject quickly gets more complicated after that...
Keep in mind that it was published in 02, and things have become more computerized since then.
I have the book by Hasbrouck, it is a difficult read and I would definitely start with a simpler book. My personal favourite is "Algorithmic Trading & DMA" by Barry Johnson. The book was published in 2010.
Thanks @Lornz and @Fat Tails - why do I get the feeling I'm going to be getting into a new, multi-week course of study once I start cracking these books? I guess if it were easy it would be called snowboarding...
Seek freedom and become captive of your desires. Seek discipline and find your liberty. - Frank Herbert
I did not recommend anyone to start with that book, I think Harris' book is a good introduction. I haven't read the book you linked to yet, but I actually do own it. Alas, I have a tendency of buying too many books and forgetting about them. But, as you recommend it, I will be sure to dig it up from the abyss of neglected reading. Thanks!
Haha, I look forward to reading your reviews in, uhm.. let's say, two weeks? It's only 1500 pages of gut-wrenching dry reading!
But, if I remember correctly, you have a science background and should be able to fight your way through the material. Harris' and Johnson's (judging by the table of contents) works seem to complement each other well, and then maybe embark on Hasbrouck if you dare...
