Electronic Markets from First Principles
Market structure, microstructure, execution, and realistic simulation.
An electronic market is simultaneously a rule system, a distributed event stream, an economic mechanism, and an environment in which participants act with incomplete information.
This book develops those layers in that order. It begins with the concrete mechanics of orders and trades, then explains liquidity and order flow, execution and market making, empirical evidence, simulation, risk, and finally the mathematical models that compress those observations.
Every chapter should answer five questions:
- What observable market phenomenon are we trying to explain?
- Which exchange rules and participant constraints produce it?
- What data would distinguish competing explanations?
- Which assumptions does the model make?
- What would make a simulation or conclusion misleading?
This is not primarily a low-latency programming book. Its companion, Computer Science from First Principles, covers data structures, machine behavior, operating systems, concurrency, networking, and performance engineering. This book uses that machinery only when implementation details change market meaning or experimental validity.
Start with why markets exist, inspect the full curriculum, or use the source map to connect chapters with external books and laboratories.