Reddit reviews Financial Markets and Trading: An Introduction to Market Microstructure and Trading Strategies
We found 2 Reddit comments about Financial Markets and Trading: An Introduction to Market Microstructure and Trading Strategies. Here are the top ones, ranked by their Reddit score.
This similarly titled book is also currently available on USENET (as a .rar)
Financial Markets and Trading: An Introduction to Market Microstructure and Trading Strategies
I'm assuming that the classics are O'Hara's market microstructure theory and Hasbrouck's Empirical Market Microstructure.
You could take a look at High-frequency Trading
, a compilation of relatively recent papers (chapters are available online somewhere, don't pay for it). I thought that the chapter by Michael Kearns and Yuriy Nevmyvaka "Machine Learning for Market Microstructure
and High Frequency Trading" was interesting, though not very useful from a practical perspective.
I also found this book to be interesting: https://www.amazon.com/Financial-Markets-Trading-Introduction-Microstructure/dp/0470924128.
Otherwise, I would just pay attention to recent papers posted to SSRN and Arxiv