This is the most boring book I've read for a loooong time.
I wish it weren't. Having read a fair amount about risk-neutral options valuation, I thought I'd read up on a completely different kind of financial theory, that behind the very fine-grained details of trading. A presentation I'd seen recommended this book as a good theoretical grounding.
And theory really is what this book is about. Any contact with empirical evidence is minimised, although I think there are a few references to papers that deal with reality. More generally, the book feels like a literature review. When the maths is wheeled out, it's simultaneously half-hearted and obscure, since it's pulled out of papers and presented starkly. The models don't really come to life.
Written in 1995, it feels horribly out of date. Given all the online trading that goes on now, the book feels like it's written in a different century. Technically, it was, but you know what I mean. It feels very dated, although perhaps the core concepts are just as valid.
It's a dense, slow, boring read. Perhaps if you have more background in the subject the details become more interesting, as you can pick it apart more. As it is, it feels pedantic and academic.
Posted 2012-03-31.