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Market structure textbook
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Market structure textbook

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Trading Apprentice
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Market structure textbook

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?

Thank you

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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:

http://www.amazon.com/gp/product/0631207619/ref=as_li_ss_tl?ie=UTF8&tag=mark01f-...&creativeASIN=0631207619

http://www.amazon.com/gp/product/0195301641/ref=as_li_ss_tl?ie=UTF8&tag=mark01f-...&creativeASIN=0195301641

I would read Harris before O'Hara and/or Hasbrouck, though.


Last edited by Lornz; October 17th, 2011 at 09:21 AM.
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Yes, it is an excellent book!

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."

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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."

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.

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Lornz View Post
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:

Amazon.com: Market Microstructure Theory (9780631207610): Maureen O'Hara: Books

Amazon.com: Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading (9780195301649): Joel Hasbrouck: Books

I would read Harris before O'Hara and/or Hasbrouck, though.

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.

Amazon.com: Algorithmic Trading and DMA: An introduction to direct access trading strategies (9780956399205): Barry Johnson: Books

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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...

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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.

Amazon.com: Algorithmic Trading and DMA: An introduction to direct access trading strategies (9780956399205): Barry Johnson: Books

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!


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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...

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...

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Lornz View Post
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:

Amazon.com: Market Microstructure Theory (9780631207610): Maureen O'Hara: Books

Amazon.com: Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading (9780195301649): Joel Hasbrouck: Books

I would read Harris before O'Hara and/or Hasbrouck, though.

I agree with @Lornz... Harris was really good... assuming he means this of course..

Amazon.com: Trading and Exchanges: Market Microstructure for Practitioners (9780195144703): Larry Harris: Books

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