There are quite a lot of research papers about the so-called market microstructure. Is it helpful for real-world trading? If so, which book is the bible in this area?
There are quite a lot of research papers about the so-called market microstructure. Is it helpful for real-world trading? If so, which book is the bible in this area?
In a word, yes. Market microstructure is one of the hottest areas of trading strategy research in large hedge funds and ibanks.
The definitive bible in market microstructure research is Maureen O'Hara's book, "Market Microstructure Theory". It is highly academic and theoretical, and is not for people without at some understanding of stochastic modelling theory. But the book more or less pioneered the field:
