Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading Review

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(More customer reviews)The book by Professor Hasbrouck "Empirical Market Microstructure" is an excellent additon to the recent literature on market microstructure. by focussing on empirical modelling of various aspects of market microstructure, the book fills a much needed gap between high end practionaers and academia. It complements the theoretical book by Professor O'Hara, and concisely presents a great deal of empirical work done by Prof. Hasbrouck himself in this field.
Ocassionally the book reads like a cook book and at times like a summary of the papers; for people who have read his earlier papers, the material sounds a bit repititive.
some more effort on highlighting the differences in empirical results between equity, FX and Fixed income markets, and reconcilling with theoretical ideas would have been far more informative.


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All About High-Frequency Trading (All About Series) Review

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(More customer reviews)Durbin's work provides a great foundation to better understand the exciting and exotic world of high frequency trading (HFT). In addition, for you IT fans (like me), he provides an interesting description of the IT requirements to build a successful HFT platform. Finally, in the last section of the book, Durbin covers some of the commonly debated pros and cons of HFT and its affect on market quality.
Durbin readily admits throughout the work that he isn't advertising the book as the 'secret sauce' to HFT. But that's ok: as an experienced industry player in the area of institutional trading on the 'buyside', you're getting a lot of bang for your buck and would offer that he is outlining the issues correctly and all the while keeping the reader engaged in the material. Did I need to read this book? Nope, this is part of my day job, but I like the topic and found little nuggets along the way that made it worth the read. Also, there is a whole section on IT that I have not been directly exposed to which I really enjoyed.
Finally, Durbin's background at Citadel, among other places, makes him a very credible author and in better postion to write a book on this topic than others I've seen around.
Bottom line? I think there is something in this book for everyone who is interested in the topic.


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The Speed Traders: An Insider's Look at the New High-Frequency Trading Phenomenon That is Transforming the Investing World Review

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(More customer reviews)Guest post from Nora McCallum. I enjoyed reading this book. Most of the research to date demonstrates that HFT's (and hedge fund managers for that matter) can have a period of very high success but ultimately fail. The extinction ratio for this investors class is very high. I think that the book gives a clear and concise overview of the (short) history and current role that High Frequency Trading plays in the capital markets. Given that speed is of the essence with this tool, I am not sure how much more time can be shaved off the technology; it will be very interesting to see how these trading techniques continue to develop and influence the global capital markets.

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