012: Ernest Chan talks quantitative trading, momentum, stop losses, minimising drawdown and maximising returns, automated trading and competing with the big firms
Better System Trader
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Market Microstructure
If you are trading intra day, and particularly in the us Equity market, where the top of book liquidity is usually just 100 shares, then yes, a, you do have to worry a bit about market mico structure. But aside from that, there are some books such as, let me look at my bookcase. There's a book, trading and exchanges by Mister harris. And e there's another a book, oma, broken markets. Is more for, you know, not for quantitative traders, but youno, talk about a lot of the issues in the market.
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