Customer Reviews

Trading and Exchanges: Market Microstructure for Practitioners

5 star:		(16)
4 star:		(6)
3 star:		(2)
2 star:		(2)
1 star:		(0)

 

 

I have been trading for 8 years. 6 years prop trading, I now run a hedge fund. We make about 10,000 trades/day. I wish I had read this book years ago. I've had to pay Mr. Market a large sum to learn many of these lessons. Larry Harris has written what I consider to be the best book in the field of trading. He covers nearly all topics, from structural & regulatory issues, to descriptions of the players; costs to performance evaluation. Presentation is excellent - the numerous sidebars, tables & graphs serve to illustrate the text. My only complaint is that the book does not take the quantitative side far enough. I recommend a technical appendix plus specific references (perhaps annotating the excellent bibliography) for the mathematically inclined reader.

If you are interested in trading, or curious about the markets, buy and read this book!

If you don't understand how the markets work, want to learn more, and are willing to invest an immodest amount of time and money, this is a book you must read.

Larry Harris is a brilliant contributor to the understanding of markets, and is currently Chief Economist of the Securities and Exchange Commission. This book however, is written as a textbook for the introductory markets class he taught at USC for many years.

Larry's book pulls back the curtains on the mystery and mumbo-jumbo of what happens when investors buy and sell securities. The book is lightly written, with many anecdotes and amusing sidebars, yet presents the latest and best knowledge on how (and why) markets work.

This book's title understates its contents and scope: this is a comprehensive guide to how financial instrument trading works. If you ever wondered what happens when you place an order to sell 10 million shares of GOOG (which you may or may not already own), or what transpires when you try to corner the silver market like the Hunt brothers, you'll find all the details in this book. But it's more than that.

For the most part accurate and easy-to-read, the 600-page book also covers issues that are of most importance to traders: where to trade, when to trade, how to trade, and what price to trade at. Very detailed discussions reveal how the various market participants, from exchanges to broker-dealers to moronic traders, fulfill their respective roles in the Great Paper Wealth Game. Entire chapters are devoted to speculators vs. liquidity suppliers. The discussions on how each type of players trade and try to outsmart one another offer terrific insights into the psychology and techniques of market players. Usually tedious topics such as order-matching rules and volatility measures are also covered well here.

This is not a book about how to read stock charts or build sophisticated multi-variate GARCH models to predict volatility. It's also not about how you could become a better gambler - the author says the gambler always loses, so you don't have much hope there.

This practioner's book is about financial markets and its inner workings and the human beings that drive them. If you want one authoritative reference volume on the mechanics of financial markets, this is it.

My only quibble is it's expensive for someone who has to pay for the book out of their own pocket.

I'm not a trader. I do occasionally look longingly at high frequency trading positions (stat arb, automated trading; whatever you'd like to call it). This is the book that actually answers all those questions any curious person who has ever made a trade might ask. What happens when you make a trade? What is the mechanics of making a trade? How does liquidity work? What happens if your trade is bigger than the daily volume of the traded equity? How does index arb work? What do flow traders do to make money? What are the different exchanges, and what are their rules? How does GAAP play out in exchanges? What are NASDAQ's idiosyncrasies? Why don't they have an automated auction model out there (they do)? How do traders scalp you when you want to dump a block on the street? Is this legal? This book answers all, and far more.

I don't know how people used to learn this stuff; presumably either by word of mouth, or by losing millions of their employers dollars. I also don't know what motivated Mr. Harris to spill all this wonderful information, but I am very grateful that he did. I almost feel like I should trash talk the book to prevent people from reading it (yeah, some of the information actually is outdated -pffff, like it matters), but enough know of it already I wouldn't gain much edge.

The person who recommended this book to me is generally mentioned in the same breath as the name "Jim Simons," so I have to assume it is as accurate as anything on the market out there. Wonderful, wonderful stuff. Anyone interested in markets should read this from cover to cover.

Professor Larry Harris has compiled the most informative, enjoyable, and clear information that any book of this kind has. He is the best professor at the Marshall Business School. I took a class of his and learned and enjoyed the great study of market microstructures. I recommend this book to anybody with in interest in all the players involved in the game of trading.

I love this book. We used it in a course I took on trading while I was studying for my MBA (in preview course-pack form) and it was one of those experiences that provide a new understanding of things and provide new modes of thinking and understanding. Those are the kinds of experiences are the reasons you go and pay all that money to earn those degrees.

This is not a book about investing, securities, valuation, or the laws around trading. It is a book about traders, what they do, how they do it, where they trade, and even why they trade. It is the most lucid book I have read on that elusive topic of liquidity and its implications in trading and price discovery. It is wonderful in describing the different types of exchanges and how they function.

I found the discussions on the different types of traders, their practices, and the strategies they use to be fascinating. There is a reason the book is subtitles "Market Microstructure for Practitioners" - the thinking of a trader is very different than the buy-and-hold investor. For a trader, long-term can be a few minutes and inventory has powerful implications as does whether the trading is done via and exchange floor or some automated trading system.

Mr. Harris is to be congratulated and thanked for this terrific book.

"Trading and Exchanges: Market Microstructure for Practitioners" is in a class all by itself. Dr. Harris, formerly associated with the SEC and now in academia, has not written a dry textbook but a handbook which answers the question "Why do people trade?" If you are a speculator in any type of financial market, have you ever thought about the other side of the trade, or where your profit is expected to come from? Harris examines the roles of traders, hedgers, regulatory bodies, and other market participants to answer such questions. There is no other book out there like this one!

You want to be Jim Simons? This is the book you need.

Who is this book not for? Day traders who follow zeitgeist.

Who is this book for? Anyone serious.

If you trade on any exchange in any size, and have not read this book, you are at a serious disadvantage to those who have.

You know what happens in markets to folks who are at a serious disadvantage?

This is probably one of the top five books ever written in finance. The old adage is true, that if it were profitable, it would not be written down in a book because the author would instead be executing the strategy. This book is a six sigma exception to that observation. Who knows what personal utility motivated Larry Harris to write this essential work, but take advantage of it just the same.

As a newcomer to the financial industry, I needed a lesson
on how stock markets and exchanges work so I could do my job.
This book is unlike any other I have seen on the subject of
the equities markets and describes how markets actually function
in fine detail. It contains a wealth of practical information
about how the markets work, why they are structured in the way
that they are and what role the regulations/rules play in it
all. If you are trying to understand how a trade happens from
the time it leaves your web browser down through the brokers
onto the exchange floors and then back again, this is the book
you are looking for. You will not be disappointed.

My professor is the author of this book, which is extreamely horrible because no student would wish their professor knows every single word in the book. However, this book give a pretty detail introduction to the market structure and all things you need to know about trading. The language in the book are quite easy to understand even thought some terms are very technical. According to my professor, the contents on the side are useful when combining the reading, which will give you a whole picture of what will be the issue when come to real life doing the trading. It's a great book. However, if you are planning to buy this one, you may want to wait for a little bit becuase my professor is on the way to the second edition. I believe that must have more updated information. Good luck! ^_^