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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 I'm afraid that the used tool is a bit outdated (some reviewer mentions that) and Excel 2010 covers most of the functions yet.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.
Once i was an expert in Excel and was doing many simulations in it. If you have Excel, you might want to check this expert at S&P 500 Futures Trading Simulator - Emini ES | ExcelTrader He did many tools for trading using Excel. Worth a visit in my opinion.
Commodity Trader's Almanac. By Hirsch and Person. Comes out every year. Explains the how, when and why of seasonal trading. Has a good trading quote for every day.
Due to cost and time I would prefer not to go through both to fill the gaps in my knowledge. Any input from futures.io (formerly BMT) members would be appreciated.
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
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
Would you echo that Harris's book is still wholly relevant in todays markets? I was only put off that it was published in 2002, thank you for analyzing their contents it was a great help.
@gonzofist: I have not read the book. Many people have recommended the book.
Why don't you simply go through the table of contents of the book and find out, if the subject is interesting.
Below are links to two papers:
(1) Bruno Biais, Larry Glosten and Chester Spatt: Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications (2005)
