Trading and Exchanges Market Microstructure for Practitioners

This book is about trading, the people who trade securities and contracts, the marketplaces where they trade, and the rules that govern it. Readers will learn about investors, brokers, dealers, arbitrageurs, retail traders, day traders, rogue traders, and gamblers; exchanges, boards of trade, dealer networks, ECNs (electronic communications networks), crossing markets, and pink sheets. Also covered in this text are single price auctions, open outcry auctions, and brokered markets limit orders, market orders, and stop orders. Finally, the author covers the areas of program trades, block trades, and short trades, price priority, time precedence, public order precedence, and display precedence, insider trading, scalping, and bluffing, and investing, speculating, and gambling.

Larry Harris is the Chief Economist of the U.S. Securities and Exchange Commission. He serves on assignment from the Marshall School of Business at the University of Southern California where he holds the Fred V. Keenan Chair in Finance. Professor Harris also serves as the research coordinator of the Institute for Quantitative Research in Finance (the Q-Group)