Reading to follow the class notes is “Securities Trading: Procedures and Principles”. 2017, by Joel Hasbrouck (NYU, Stern) STPP. “Algorithmic Trading and DMA: An Introduction to Direct Access Trading Strategies. Barry Johnson, Myeloma Press, 2010. “Algorithmic Trading: Winning Strategies and Their. Related Book Ebook Pdf Algorithmic Trading And Dma Barry Johnson: - Anchoring Of Two Persons For Poem Recitation Competition. The Science of Algorithmic Trading and Portfolio Management. Algorithmic Trading and DMA. Barry Johnson.

Can I get some recommendations for a book on market microstructure? I'm not looking for some author's questionable methods for trading, I'm just looking for a book that provides me with facts about how order books, closing auctions, order execution, etc. Really works.

I'm also NOT looking for the type of depth that a HFT would be interested in. I know that whole books can be written about the various plumbing of a particular exchange. I'm simply looking for a general overview of how exchanges work. Lee Child Jack Reacher Epub Downloader. Classical book on market microstructure is: by Larry Harris. It's a bit outdated (2002) and missing few recent market developments like dark pools etc.

But the way it currently is it's already highly recommended reading. Personally I'm waiting for the next edition of the same book, and surely many others waiting as well (though not sure it will ever be published, even so Larry Harris is still actively engaged in the industry and academy). The current market microstructure - probably the best source would be academic papers, I'm not aware of recent good books on this topic.