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.

[It] is the most comprehensive treatment of market microstructure that I have seen...he does not compromise on breadth or depth...indispensable for anyone who cares about trading

Autorentext

Larry Harris holds the Fred V. Keenan Chair in Finance at the University of Southern California Marshall School of Business. In July 2002, Professor Harris was appointed Chief Economist of the U.S. Securities and Exchange Commission, where he served until June 2004.

Inhalt

• 1: Introduction

• 2: Trading Stories

• Part I: The Structure of Trading

• 3: The Trading Industry

• 4: Orders and Order Properties

• 5: Market Structures

• 6: Order-Driven Market Mechanisms

• 7: Brokers

• Part II: The Benefits of Trade

• 8: Why People Trade

• 9: Good Markets

• Part III: Speculators

• 10: Informed Traders and Market Efficiency

• 11: Order Anticipators

• 12: Bluffing and Price Manipulation

• Part IV: Liquidity Suppliers

• 13: Dealers

• 14: Bid/Ask Spreads

• 15: Block Trading

• 16: Value-Motivated Trainers

• 17: Arbitrage

• 18: Buy-side Trading Strategies

• Part V: Origins of Liquidity and Volatility

• 19: Understanding Liquidity

• 20: Understanding Volatility

• Part VI: Evaluation and Prediction

• 21: Measuring Liquidity and Transaction Costs

• 22: Performance Evaluation and Prediction

• Part VII: Market Structures

• 23: Index and Portfolio Markets

• 24: Specialists

• 25: Internalization, Preferencing, and Crossing

• 26: Competition within and among Markets

• 27: Floor versus Automated Trading Systems

• 28: Bubbles, Crashes, and Circuit Breakers

• 29: Insider Trading

• 30: Summary of Market Microstructure