Trading and Exchanges: Market Microstructure for Practitioners (Hardcover)

~ (Author) "The chapters in this part describe how traders arrange their trades..." (more)
Key Phrases: market order traders, order flow externality, quotation midpoint, New York, United States, Exxon Mobil (more...)

Editorial Reviews

Review

". . .Trading and Exchanges is about as comprehensive a book about the markets and trading as you are going to find. . .[T]his book is . . .organized so that you can flip to any topic and be certain of in depth coverage and accessible explanations supported by graphs and tables. Harris touches on just about every aspect of market economics, structure and regulation, from the players. . .to the game. This book is an objective, and more important, practical survey of an area of financial economics that has become increasingly, and needlessly, complex. . . Harris keeps us on the straight and narrow. We are unable to drift into that disingenuous and murky world of trading advice based on personal success, or failure in the markets. . .Whether you are a novice or veteran investor, trader, dealer or broker, Trading and Exchanges cracks the code on practically every facet of market microstructures. It is a trading bible."--TurtleTrader.com
"Larry Harris is arguably the foremost expert on market microstructure. ... With his illustrious background you might suspect he knows of what he speaks. After you read this book, you will be convinced of it. Trading and Exchanges is the most comprehensive treatment of market microstructure I have seen. ... Harris offers something for everyone with an interest in trading. ... [He] presents his subject matter, which could be so daunting to many of us, in a surprisingly accessible and entertaining style. Despite this engaging style, he does not compromise on breadth or depth. ... Trading and Exchanges is indispensable for anyone who cares about trading. What's more, it is entertaining."--Journal of Investment Management

Product Description

This book is about trading, the people who trade securities and contracts, the marketplaces where they trade, and the rules that govern it. Readers will learn about investors, brokers, dealers, arbitrageurs, retail traders, day traders, rogue traders, and gamblers; exchanges, boards of trade, dealer networks, ECNs (electronic communications networks), crossing markets, and pink sheets. Also covered in this text are single price auctions, open outcry auctions, and brokered markets limit orders, market orders, and stop orders. Finally, the author covers the areas of program trades, block trades, and short trades, price priority, time precedence, public order precedence, and display precedence, insider trading, scalping, and bluffing, and investing, speculating, and gambling.

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Product Details

• Hardcover: 656 pages
• Publisher: Oxford University Press, USA (October 24, 2002)
• Language: English
• ISBN-10: 0195144708
• ISBN-13: 978-0195144703
• Product Dimensions: 10 x 7.1 x 1.4 inches
• Shipping Weight: 2.8 pounds (View shipping rates and policies)
• Average Customer Review: 4.4 out of 5 stars  See all reviews (18 customer reviews)
• Amazon.com Sales Rank: #13,766 in Books (See Bestsellers in Books)

• This item is part of The Oxford/FMA Survey and Synthesis Series.

Customer Reviews

Most Helpful Customer Reviews

40 of 42 people found the following review helpful:

5.0 out of 5 stars Great content, great writing!, December 26, 2002

By A Customer

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!

32 of 34 people found the following review helpful:

5.0 out of 5 stars The best reference book on trading and exchanges, December 10, 2004

By	Gadgester "No Time, No Money" (Mother Earth) - See all my reviews (TOP 100 REVIEWER)

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.

19 of 19 people found the following review helpful:

5.0 out of 5 stars Encyclopedic, Yet Readable and Accessible, November 22, 2002

By	Wayne H. Wagner (Los Angeles, CA United States) - See all my reviews

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.