Trading and Exchanges: Market Microstructure for Practitioners

I liked Trading and Exchanges by Larry Harris

Books I would recommend for beginners: Evidence Based Technical Analysis: http://www.amazon.com/Evidence-Based-Technical-Analysis-Scie... (http://www.amazon.com/Evidence-Based-Technical-Analysis-Scientific-Statistical/dp/0470008741) Pairs Trading: http://www.amazon.com/Pairs-Trading-Quantitative-Methods-Ana... (http://www.amazon.com/Pairs-Trading-Quantitative-Methods-Analysis/dp/0471460672) Quantitative Trading: http://www.amazon.com/Quantitative-Trading-Build-Algorithmic... (http://www.amazon.com/Quantitative-Trading-Build-Algorithmic-Business/dp/0470284889) An Introduction to High Frequency Finance: http://www.amazon.com/Introduction-High-Frequency-Finance-Ra... (http://www.amazon.com/Introduction-High-Frequency-Finance-Ramazan-Dacorogna/dp/0122796713) Trading and Exchanges: Market Microstructure for Practitioners: http://www.amazon.com/Trading-Exchanges-Market-Microstructur... (http://www.amazon.com/Trading-Exchanges-Market-Microstructure-Practitioners/dp/0195144708) I also wrote a couple of very introductory articles, sadly I never got past part #2:…

It really depends on which angle you're coming from, when you mean "hacker". Quantitative finance is all math, so in order to really understand it, you need a solid background in probability and statistics. Even the most basic concepts make heavy use of probability, so without strong fundamentals you won't get very far. There are other concepts, such as risk-free returns, etc that also play a big part in quant finance. A book that I really enjoyed that gave a good background in a lot of these concepts was "Trading Strategies for Capital Markets". One of the basic concepts of quantitative finance revolves around the Black-Scholes equation, which calculates a price for an option. I would suggest first looking this up as well as how it was derived, to see if you want to pursue this further. If you're having a hard time with this, then quant finance may not be what you're looking for. A video tutorial website that seems decent for quant finance is Nathan's Lessons: http://nathanslessons.com/?paged=3 -------------------…

You need to be a little more specific regarding your interests and background. If you are interested in theory, there are plenty of books discussing specific models. However, most practical or buzzword (e.g. HFT) books are rubbish (think about it: if you have a profitable operation, why would you write a book? Unless, like me, you have a screw loose :P ) If you want some practical discussions, "Trading and Exchanges" by Larry Harris is a bit dated, but nothing comes close. Most of the descriptions are still valid today (even if some of the mechanics have changed) If you want something more along the lines of what a financial engineer would know: - "Options, Futures, and other Derivatives" by John Hull (goes over basic models without delving too deeply into theoretical math aspects) - "Stochastic Calculus for Finance II" by Steve Shreve (goes over the basic stuff but has enough stats to keep a grad student happy) - "Monte Carlo Methods in Financial Engineering" by Paul Glasserman (much more practical, and goes over subtleties of monte carlo simulation and other stuff like low discrepancy sampling)…

Trading and Exchanges was my detailed introduction to what really happens in the markets. I wish I could find a similarly detailed and coherent book on corporate actions. It's a few years out of date, but not painfully so. Madoff was still a huge market maker, not a scandal, and it makes no mention liquidity rebates. Edit: I should add that I had no trading background before reading the book, I was just an engineer at a finance startup who still thought "order" and "trade" were synonyms.

Trading and Exchanges: Market Microstructure for Practitioners. http://www.amazon.com/Trading-Exchanges-Market-Microstructur... (http://www.amazon.com/Trading-Exchanges-Market-Microstructure-Practitioners/dp/0195144708/ref=sr_1_1?ie=UTF8&qid=1320079747&sr=8-1) I'm finding this a more interesting and detailed read than _Capital Markets for Quantitative Professionals_. For instance, the book traces through everything that happens when placing, executing, and settling typical trades. On the other hand, I've taken the Canadian Securities Course, so perhaps Capital Markets is a better introduction for total beginners.