Trading and Exchanges: Market Microstructure for Practitioners (by Larry Harris)

Trading and Exchanges
Trading and Exchanges


ISBN: 9780195144703Number of Pages: 656
Publisher:  Oxford University PressBook Title: Trading and Exchanges: Market Microstructure for Practitioners
Publication Year: 2002Target Audience: Trade
Author: Larry HarrisReading Age: 18+


Trading and Exchanges is an extension of the lecture notes of the course “Trading and Exchange” offered by Professor Larry Harris at the University of Southern California in the United States.

It explains the basic principles of market microstructure theory in simple language. This book gives a detailed introduction to each element of the market microstructure – traders of transactions, securities, and derivative contracts, as well as exchanges and trading rules.

Through this book, readers will understand how the market operates, how the government and the exchange supervise, how prices reflect basic value information, whom provides liquidity for the market, and why some traders often make profits while others often lose.

Readers will see how different trading rules affect price efficiency, liquidity, and trading profits, and learn about the driving force of regulation.

This book is a must-read book in the securities industry, and it is excellent reading material for newcomers

Trading and Exchanges is one of the Best Quantitative Trading Books for Beginners

About the Author

Larry Harris is the former chief economist of the Securities and Exchange Commission of the United States, Fred V. Keenan, a professor of finance at the Marshall School of Business of the University of Southern California of the United States, and research coordinator of the Financial Quantitative Research Association (Q-Group), used to work for the New York Stock Exchange.

In addition, Larry Harris is also the deputy editor of the Journal of Finance, Review of Financial Studies, Journal of Financial and Quantitative Analysis, and a member of the editorial board of the Financial Analysts Journal.

Trading and Exchanges  PDF version will come as soon as possible.

Table of Contents

1 Introduction
2 Transaction anecdotes

Part I Transaction Structure
3 Trading Market
4 Order and Order Characteristics
6 Order driven market
7 Broker

Part II Transaction Function
8 Why the transaction
9 What is a good market
Part III Speculators
10 Informed traders and market efficiency
11 Order catcher
12 Bargain trading and market manipulation

Part IV Liquidity Provider
13 Dealers
14 Bid ask spread
15 Block Traders
16 Value traders
17 Arbitrators
18 Buyer trader

Part V Source of Liquidity and Volatility
19 Liquidity
20 Volatility

Part VI Evaluation and Prediction
21 Liquidity and Transaction Cost Measurement
22 Performance Evaluation and Prediction

Part VII Market Structure
23 Index and combined product market
24 Experts
25 Order internalization, priority and cross
26 Competition within and between markets
27 Hall and automatic trading system
28 foam, crash and circuit breaker
29 Insider trading


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