on 30 November 2004
This is an extremely well-written storybook, with a lot of jargon. However, researchers and mathematically inclined readers will be somewhat disapointed by the poor quantitative materials provided by the book. Moreover, the book does not really deal with the extensive academic literature on market microstructure - contrary to a good book written in French (La Microstructure des Marchés d'Actions, Economica, 2003) by Albert Minguet who comments and summarizes papers. But the title is NOT misleading: this book is great "for practitioners" (as well as for final BSc students / 1st year Master students who want "to get a feel about how markets work in practice"). Maybe I should have given it "5 stars" after all...
on 6 April 2010
Excellent reading for people who want to know more about the trading industry. Written with lot of details by a former SEC Chief Economist (2002-2004 term). Unfortunately is an industry in constant evolution therefore is difficult for a text book to keep up with the latest developments, and for one published in 2003, if not updated, lose a bit of shine. Besides the headlines, right now, this book is a must-read for traders.
on 1 July 2010
This is an excellent book about market microstructure (as the title suggests...), the various players and their purposes, price discovery, liquidity, orders, types of markets, regulations, and a lot more that doesn't come to mind. If you want to understand markets, if you want to understand why price moves, this is the book.