- The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It, and Dark Pools: The Rise of the Machine Traders and the Rigging of the U.S. Stock Market, both by Scott Patterson. I don’t know whether the author really understands how high-frequency trades are executed, since he never gets down to the nuts and bolts of trading. Instead, we’re treated to analogies straight from a sci-fi thesaurus: Wall Street is under attach from “a dazzling matrix” of “high-octane trading robots” etc. The book is also weighted down with speculation of people’s inner thoughts and imagined conversations. Feel free to skim the fluff.
- Flash Boys: Not So Fast, by Peter Kovac. The best book on high-speed trading I’ve read, since it was written by a former practitioner. Needless to say most people who can profitably trade do that instead of writing books, so we’re lucky to have his perspective. Kovac walks us step-by-step through specific trades, which is really the only way to discuss trading. Not perfect, since Kovac glosses over real concerns about trading rules, but the structure of the book is a straight rebuttal of Flash Boys, not a full defense of HFT.
- Trading and Exchanges, by Larry Harris. This is a manual for future trading professionals written in 2002. I found reading it at the same time as the others made them easier to understand. Be warned: this book is extremely boring and doesn’t discuss recent order types like “Hide Not Slide” that are the source of much controversy on Wall Street. Despite the high level of concentration reading this book requires, it pays off big time when reading the financial press, books, etc. No amount of analogies can replace fundamentals.
- A High Frequency Trader’s Apology by Chris Stucchio. Clear writing by another former practitioner (and statistician), replete with example trades. Do read the whole series, and the informed Hacker News comments.
- Digital Gold: Bitcoin and the Inside Story of the Misfits and Millionaires Trying to Reinvent Money, by Nathaniel Popper. The author lacks basic understanding of some fundamentals underlying the bitcoin protocol, but in this case it’s ok, since this is a human interest story about the characters involved in bitcoin’s early days. Entertaining but don’t expect accurate technical info.