Study note
Trading and Exchanges : Market Microstructure for Practitioners
Properties
- Type
- Books
- Status
- 想读
- Domain
- Quant
- Category
- 市场微观结构、交易制度与执行
- Source
- book.douban.com
- Vault note
library/books/quant/Trading-and-Exchanges-Market-Microstructure-for-Practitioners-1b693dfe97c69692.md
Summary
Trading and Exchanges : Market Microstructure for Practitioners 聚焦市场微观结构、订单簿、交易制度、流动性、价格形成和执行成本。
Highlights
适合补齐实盘交易中的市场机制认知，理解为什么纸面 alpha 会被滑点和冲击成本吞噬。
Notes
Larry Harris；2002-10-24。
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