Thanks Harry! I've looked at the 2. book and the website. I'm afraid that the used tool is a bit outdated (some reviewer mentions that) and Excel 2010 covers most of the functions yet.
Now i prefer to:
Statistical Analysis: Microsoft Excel 2010
[NEW] Excel Statistics: A Quick Guide
[Currently looking at]: RExcel + Statconn
Until i become more familar with the system performance formulas i consider to purchase (after i got the excel stuff running) the Market System Analyzer (MSA) from Adaptrade. It isn't too expensive and has monte carlo analysis and extra stuff with it. Then i can check my computations against the MSA ones (which are the correct ones - always!).
PS: HEY ADAPTRADE! CALL A SPECIAL BIGMIKE USER PRICE DISCOUNT FOR MSA.
Last edited by Koepisch; July 21st, 2012 at 05:27 PM.
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I haven't read the other one but this book is excellent - I found myself thinking through most of the book "I can't believe no one recommends this book to new (or experienced) traders - it's giving me the most insight of any book I've read about markets." It is not going to teach you "how to trade" - it is going to teach you about markets. Hope that helps.
Seek freedom and become captive of your desires. Seek discipline and find your liberty. - Frank Herbert
The following 2 users say Thank You to Surly for this post:
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
The following 2 users say Thank You to Fat Tails for this post: