Rondanini

Financial Library

Books

Catalogue · market microstructure · Classics

Search runs across title, subtitle, short description, and author names. Topics mirror the full instrument and desk coverage of the library—see also topic hubs.

8 titles match these filters

Classic

Flash Boys

Michael Lewis · 2015 · W. W. Norton

Market structure and HFT in narrative form.

  • Market microstructure
  • Market memoirs
Classic

Algorithmic Trading & DMA

Barry Johnson · 2010 · John Wiley & Sons

Execution, algorithms, and market access mechanics.

  • Market microstructure
  • Quantitative finance
Classic

A Primer on Market Microstructure

Maureen O'Hara · 2002 · MIT Press

A Primer on Market Microstructure by Maureen O'Hara provides an essential introduction to the intricacies of market microstructure, focusing on the mechanisms that underpin trading and price formation. This text is particularly relevant for traders, analysts, and researchers seeking to understand the operational dynamics of financial markets.

  • Market microstructure
Classic

A Primer on Market Microstructure: Essentials for Traders

Owen F. Harris · 2002 · MIT Press

A Primer on Market Microstructure provides an accessible introduction to the essential concepts and mechanisms that underpin trading environments. It focuses on the behaviour of market participants and the impact of their actions on price formation and liquidity.

  • Market microstructure
Classic

Trading and Exchanges

Market microstructure for practitioners

Larry Harris · 2002 · Oxford University Press

Institutional view of trading mechanics and market design.

  • Market microstructure
Classic

Option Market Making

Trading and Risk Analysis for the Financial and Commodity Option Markets

Allen Jan Baird · 1992 · John Wiley & Sons

Floor-era option market-making primer: how professional liquidity providers thought about inventory, bid–ask, and spread risk before electronic and HFT dominance—valuable for microstructure intuition, not a handbook for today’s electronic vol markets.

  • Market microstructure
  • Derivatives