Reminiscences of a Stock Operator (Wiley Investment Classics) 
Reminiscences of a Stock Operator is the thinly disguised biography of Jesse Livermore, a remarkable character who first started speculating in New England bucket shops at the turn of the century. Livermore, who was banned from these shady operations because of his winning ways, soon moved to Wall Street where he made and lost his fortune several times over. What makes this book so valuable are the observations that Lefèvre records about investing, speculating, and the nature of the market itself. For example:
"It never was my thinking that made the big money for me. It always was my sitting. Got that? My sitting tight! It is no trick at all to be right on the market. You always find lots of early bulls in bull markets and early bears in bear markets. I've known many men who were right at exactly the right time, and began buying or selling stocks when prices were at the very level which should show the greatest profit. And their experience invariably matched mine--that is, they made no real money out of it. Men who can both be right and sit tight are uncommon."
If you've ever spent weekends and nights puzzling over whether to buy, sell, or hold a position in whatever investment--be it stock, bonds, or pork bellies, you'll be glad that you read this book. Reminiscences of a Stock Operator is full of lessons that are as relevant today as they were in 1923 when the book was first published. Highly recommended. --Harry C. Edwards
Reviews
It may not be as 'modern' as books describing the blowups at LTCM or Amaranth....but by describing the psychology of speculators, it tells you how those blowups really happened. I've worked at cutting edge financial tech shops, and I've seen it first hand - time and tech may change, but traders don't....
Reminiscences is actually a thinly veiled biography of Jesse Livermore, one of the Street's most prolific and successful investors. Though he made and lost several fortunes over the course of his life, Livermore had an incredible sense of market direction and momentum and tremendous discipline, and most of his losses came either early in his career or when he deviated from his proven system. Essentially, Livermore's style was to read and sense the general direction of the market and invest accordingly, starting with small positions (in order to limit potential losses if his feeling was wrong) and adding to them as a trade went his way. When he found a favorable trade he was willing to invest heavily into it, leading to very large profits when he guessed correctly. Through his anecdotes and narrative investors glean several very important investing concepts: go with (and not against) the trend, be willing to change your bias on a dime, follow the path of least resistance, average up on your winning trades, and cut losers quickly while letting winners run.
Reminiscences is a fascinating and very engaging read, but there is much more to this book. I enjoyed it both for its narrative quality and for its insights into the world of investing.