Bests & Worsts Reviews from Amazon

This book tries to show the current state of algorithmic trading -- although it confuses algorithmic (i.e. programmatic), high-frequency, and microstructure-driven trading. Sadly, the shortcomings in the text will be apparent to anyone with experience in the field. Very little empirical work backs up the assertions; and, no theory is incorporated about strategies and tactics. Even the rare theoretical notes suffer from inconsistent notation: hats and epsilons are added or omitted as though they are mere decorations. Further, there is much to disagree with. When a book mentions the current top high-frequency traders and omits Getco or Lime Brokerage/Tower Capital, you know something is wrong. Another example: The book repeatedly confuses the speed of execution with the investment holding period. I had hoped to use this book for a market microstructure and trading course I teach. However, this book does not approach the standards: Larry Harris's Trading and Exchanges; Joel Hasbrouck's Empirical Market Microstructure; and, Maureen O'Hara's Market Microstructure Theory. O'Hara's book serves as a proper contrast: While the book is nearly 20 years old, the basic tone and approach are still sound. This book, however, focuses too much on the "here and now" and misses the larger issues behind the move to electronic and algorithmic trading. Further, these issues are not new; many are mentioned offhandedly in Edwin Lefevre's classic Reminiscences of a Stock Operator (written in 1923). Aside from the flaws, I am sure some will find this book informative. However, I doubt any serious quants or academics will find it agreeable. Overall, the perspective is too narrow yet is proclaimed to be broad; the ties to theory are weak to non-existent; some minor parts are wrong; and, I found little that was both good and new.