Trading and Exchanges
Larry Harris, a finance professor and former SEC chief economist, explains how financial markets actually work from the ground up: who the players are, how orders become trades, and why market structure matters. The book covers dealers, brokers, arbitrageurs, and manipulators, and the mechanics of liquidity, price discovery, and transaction costs. Written for practitioners and students rather than mathematicians, it favors clear explanation over formulas. At over 600 pages it is comprehensive, and it is widely used as a reference on market microstructure. Published in 2002.