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I've not yet read it, but Lehalle's recent book is bound to be a goldmine of good micro-structure bits and pieces. Market Microstructure in Practice EDIT: I'm reading the book now, so far it's quite good.
My two favorites books on microstructure are: Barry Johnson's Algorithmic Trading and DMA - very good on technological aspects and for an overview of needed implementations; L and Laruelle's Market Microstructure in Practice - for common knowledge and understanding of market microstructure and its mechanisms. On the theoretical (economical) aspect, you ...
Classical book on market microstructure is: Trading and Exchanges: Market Microstructure for Practitioners 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 It's a bit outdated (2002) and missing few recent market developments like dark pools etc.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 ...
There is a lot of papers on the subject that tend to stay more up to date than the books (since there's new papers coming out all of the time)... of course no 1 paper will give you the depth of concepts you can take from a book like Harris' but, after reading that book, they can be very helpful for updating the concepts. :) arxiv is IMHO the best source ...
I'd go with either Anatoly Schmidt's Financial Markets and Trading or Joel Hasbrouck's Empirical Market Microstructure. Both have plenty of math, and that's pretty much required when talking about market microstructure.
Many of the strategies are motivated by objective functions (contour integrals) in the complex plane and the elements of complex linear spaces, so I'd recommend at least for an applied understanding: Saff, E. B., and Snider, A. D. Fundamentals of Complex Analysis with Applications to Engineering, Science and Mathematics. In addition to Saff and Snider, I ...
You can start to understand Brigo and Mercurio from the standard Shreve material but it does not look at things from the perspective of semimartingales which will possibly be confusing at some point. You're probably going to want to understand $d[X,Y]_t$ quadratic variation notion vs just the whole "$(dW(t))^2 = dt$" concept from the Shreve book that I'm ...
I have heard good things about Epps but haven't read it. Hull is aimed at less technical people and can get a bit turgid. I have my list of recommended books with discussion at http://www.markjoshi.com/RecommendedBooks.html
Paul Wilmott on Quantitative Finance.
I recommend to you : "Market Risk Analysis" by Alexander Carol for the "finance" part and "Time Series Analysis" by Hamilton for the "maths/stats" part;
Some more references. Here are three starting books: for generic knowledge: Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management, by Bouchaud and Potters; for risk + statistical approach: Risk and Asset Allocation, by Meucci; for microstructure: Market Microstructure in Practice, by Lehalle and Laruelle.
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