Reviews for Market Microstructure Theory

The average rating for Market Microstructure Theory based on 2 reviews is 3.5 stars.

Review # 1 was written on 2016-08-08 00:00:00 Looghan Looghan I had high hopes for this book, but I got much less than I had hoped. For a "theory" book, one would already have expected that there would be some detachment from the real world - the industry. Usually a useful theory although omits a lot of minor details, in large it should still try to capture a significant portion of the characteristics of the subject. This book though failed to do so, the theory usually based on some much too idealized view of the real market, and omitted significant detail that actually renders the model wrong in the second or millisecond level scale. For me it is far more important to get some semi usable result from a more realistic model than a clean mathematical result from a unrealistically simplified one. Structure-wise, I often felt very hard to understand the point the author makes. Often, the author would list a bunch of research that other people already did, it may be related but there often was no concrete point being made. I would not recommend this book to any serious practitioners that want to get some real insights from several days of reading.

Review # 2 was written on 2018-05-16 00:00:00 Moko Springer Aside from my enjoyment of Art Collins' writing style, I appreciate the unique focus of this book on that even start traders have their weak spots and fail at times. It is a great to understand that even the pros do not win consistently and that trading is not about being perfect, but about perseverance and risk management.