[BlowFish]

It is rather 'text book' and text books tend to be dry...you might go as far as saying hard work. I agree is not really that 'practical' a book (well it might be if you are a regulator or design exchanges). I guess if your sole interest is practical applications and strategies it won't hold much for you.

I found certain sections (quite a few) pretty interesting I just re-read about liquidity and bilateral search issues again no real practical use to me but who knows one day maybe one day maybe finding liquidity will be an issue interesting none the less. I guess people see things like 'The Glosten-Harris spread estimation model' and their eyes glaze over. I though hmmm maths...Im not very good at that maybe I'll learn something here.

I do think his definitions are far more useful than 'smart money' 'big boys' etc. I wonder exactly what you do mean by commercial? Size? Without a common lexicon communication becomes hit and miss at best.

I'd be up for proof reading too ;-)

[AgeKay]

Originally Posted by UrmaBlume »

Books help to train and to clarify thoughts but no matter how many you sell its not much money when compared to the revenue from 2 more traders or 2 more bots.

This is true, but unfortunately you have not answered my question with regards when you intend to publish it and if I can preorder it? I am probably one of the few who could translate your information into something practical for myself since I develop my own software...while others will probably read your book and wish their favorite trading platform vendors would implement your information in the future which is obviously unlikely.

[taotree]

So, I've seen Harris and O'Hara books mentioned but not in the form of a recommendation. What's the best book for studying market microstructure?

I'm also looking for a recommendation for a solid book on game theory. I don't know/care about poker, so would rather have one that's just focused on game theory, but if the best one is about poker, I'm ok with that. I'm not afraid of math, so heavy in math/theory is fine--just looking for the most informative/useful. I've read some about game theory before, but I would like to read through a good solid formal approach.

Oh, and I should say: book that I can get right now I also look forward to a certain unpublished book mentioned on this thread, but I'd like to pick one up right away. (Unless that someone needs any help reviewing/editing/proofreading/etc. for which I would gladly volunteer)

Thanks!

[UrmaBlume]

Originally Posted by taotree »

So, I've seen Harris and O'Hara books mentioned but not in the form of a recommendation. What's the best book for studying market microstructure?

I'm also looking for a recommendation for a solid book on game theory. I don't know/care about poker, so would rather have one that's just focused on game theory, but if the best one is about poker, I'm ok with that. I'm not afraid of math, so heavy in math/theory is fine--just looking for the most informative/useful. I've read some about game theory before, but I would like to read through a good solid formal approach.

Oh, and I should say: book that I can get right now I also look forward to a certain unpublished book mentioned on this thread, but I'd like to pick one up right away. (Unless that someone needs any help reviewing/editing/proofreading/etc. for which I would gladly volunteer)

Thanks!

Thank you for the kind words.

I haven't read O'Hara but I found Harris to be very pedestrain, usless for the kind of trading we do and that it said very little that is of practical use in over 600 pages.

As to Game Theory I would recommend "An Introduction to Game Theory" by Osborne and "Game Theory" by Meyerson.

In addition here are a couple of links I found useful:

A collection of articles:
Combinatorial Game Theory

Some course notes:
Lectures

Enjoy

cheers