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Some highly recommended books

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Market Wizard
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gonzofist View Post
I'm trying to decide between two books on Market Microstructure:

Trading and Exchanges: Market Microstructure for Practitioners
Which is highly reviewed but very dated (2002).


Financial Markets and Trading: An Introduction to Market Microstructure and Trading Strategies
Which has no reviews, probably because it's a very recent publication (2011), it's also 1/3 of the length of the former.

Due to cost and time I would prefer not to go through both to fill the gaps in my knowledge. Any input from (formerly BMT) members would be appreciated.

I think that both are good books. Let us go through your options.

(1) The book by Harris is a classic. I have not read it, but it has been recommended by a lot of people that I know. I think it is a comparatively easy read.

(2) My favourite book is another one, I simply love it: Barry Johnson: Algorithmic Trading & DMA. You can get an idea here Algo Dma Preview or at Amazon books. Although the title is very different, it has quite a few things in common with the book by Harris.

(3) I also have read a book by Joel Hasbrouck: Empirical Market Microstructure. It does not come close to the book by Barry Johnson.

(4) I am really tempted by reading the recent book which you mentioned, but will certianly wait some time before I do it.

But now there is a difference between them:

-> The book by Harris is for practitioners, probably no grand theories and no undergraduate mathematics required to understand it
-> If I look at the book by Schmidt, there is

Chapter 3: Risk-Neutral Models: Garman's Model, Amihud-Mendelson Model, Stoll's Model
Chapter 4: Information Based Model: Kyle's Model, Glosten-Milgrom Model,
Chapter 5: Models at the Limit-Order Markets: the CMSW Model, the Parlour Model, the Foucault Model

Although I have followed undergraduate studies in Mathematics, this book would not be easy for me to understand. It is probably aimed at future quants and not suitable for the average retail trader.

It all comes down to who you are and what you want to learn.

for beginning traders / practitioners -> select the book by Larry Harris
for advanced traders / practitioners -> select the book by Barry Johnson
for quants or would-be quants -> select the book by Anatoly Schmidt

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