Trades, Quotes and Prices: Financial Markets Under the Microscope

A terrific book written by academics steeped in practice that describes how the real-time activity at the micro-level of financial markets shapes outcomes at higher levels. Given how much attention is paid to asset prices, it is quite useful to shed an empirical, data-driven light on the market dynamics that produce the fluctuations we observe. Key message is that current prices are fleeting given how impactful subsequent transactions will be.

Very readable for graduate students without strong math background. Highly recommended.

I found the section on the Sante Fe model for managing LOBs particularly interesting.