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10

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.


6

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 ...


5

Classical book on market microstructure is: 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 It's a bit outdated (2002) and missing few recent market developments like dark pools etc.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 many others waiting as ...


4

I have honestly not come across a good book (or good enough review to make me buy the book) on Fund Transfer Pricing. While it is not my career focus, I had to familiarize myself a bit with the topic because of certain requirements involving funding trading operations and the performance of funding specific operations. Personally I would recommend the ...


3

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 ...


2

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 ...



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