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MARKET MICROSTRUCTURE IN PRACTICE
Market Microstructure in Practice comments on the consequences of Reg NMS and MiFID on market microstructure. It covers changes in market design, electronic trading, and investor and trader behaviors. The emergence of high frequency trading and critical events like the “Flash Crash” of 2010 are also analyzed in depth. Using a quantitative viewpoint, this book will help students, academics, regulators, policy makers, and practitioners understand how an attrition of liquidity and regulatory changes can impact the whole microstructure of financial markets. A mathematical Appendix details the quantitative tools and indicators used through the book, allowing the reader to go further on his own.
- GenresFinance
305 pages, Hardcover
First published January 1, 2013
32 people are currently reading
81 people want to read
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Displaying 1 - 2 of 2 reviews
January 23, 2024
An okay book, but not very practical. It comprehensively explores topics of market microstructure, particularly in stock markets, detailing the influence of market fragmentation, with various exchanges around the world, and the quest for liquidity and the impact of High-Frequency Trading (HFTs). It covers some tedious regulatory themes, such as Reg NMS in the USA and MiFID in Europe.
It discusses smart order routing, the relevance of tick size in the market, and the dynamics of dark pools and hidden liquidity.
I didn't find it very relevant for operations, for example, in the Brazilian stock market. Additionally, the book could benefit from more practical examples and direct applications in various global markets, including emerging markets like Brazil, to broaden its appeal and utility for a diverse range of traders and investors.
Estimated reading time: 7 hours
It discusses smart order routing, the relevance of tick size in the market, and the dynamics of dark pools and hidden liquidity.
I didn't find it very relevant for operations, for example, in the Brazilian stock market. Additionally, the book could benefit from more practical examples and direct applications in various global markets, including emerging markets like Brazil, to broaden its appeal and utility for a diverse range of traders and investors.
Estimated reading time: 7 hours
March 2, 2025
Do not confused "in practice" with "for practitioners" or you will be disappointed.
This book will give you a better picture of order book structure and interpretation via examples near the end of the book, a reasonable overview of regulations near the beginning, and lots of empirical data to back up things you already may assume about fragmentation and liquidity in sections 1-2.
The introduction and section 3 were personally the most interesting and applicable, and even then more of a broad overview than an application guide. I think you can get most of the value out of this book as a practitioner by reading the intro, beginning of section 1 and 2 for overviews, and then all of section 3 (short).
This book will give you a better picture of order book structure and interpretation via examples near the end of the book, a reasonable overview of regulations near the beginning, and lots of empirical data to back up things you already may assume about fragmentation and liquidity in sections 1-2.
The introduction and section 3 were personally the most interesting and applicable, and even then more of a broad overview than an application guide. I think you can get most of the value out of this book as a practitioner by reading the intro, beginning of section 1 and 2 for overviews, and then all of section 3 (short).
Displaying 1 - 2 of 2 reviews