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Quantitative Trading - Recommended Books?
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Quantitative Trading - Recommended Books?

  #11 (permalink)
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Nicolas11 View Post
Hi @Limitless100,

What would be your timeframe, typically?
(weekly, daily, hourly, minute, seconds, milliseconds, etc.)

Nicolas

As far as a quant strat for trading? I seem to gravitate more towards shorter time frames in my trading.
Milliseconds --> intraday.

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https://www.quantnet.com/threads/quantnet-best-selling-quant-books-of-2013.15880/
Anything in this post worth looking into? There are some obvious ones that are clearly useless and of no value (micheal lewis books) but there are a few from stefanica.

add this to that list

Principles of Financial Engineering, 2nd Edition - Salih Neftci

Principles of Financial Engineering (Academic Press Advanced Finance) Hardcover – 6 Jan 2009
by Robert Kosowski (Author), Salih N. Neftci

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Limitless100 View Post
I don't expect to be able to get a profitable strategy from the book, I have more of a desire to get an overview / broad spectrum of information similar to that of which the Market Wizards series gives. No specific strategies, but more of a general methodology as to how strategies come to be.

I haven't read any of the Market Wizards books or Barry's book so I'm unable to compare.


Limitless100 View Post
I feel that I should pick up some quantitative educational books to establish a stronger foundation for which to build strategies. After I go through educational texts, I feel that I would then benefit from reading books that speak of how strategies come to be. What do you think?

I favor that approach, but most people don't have the patience to go through years of education before starting to implement anything.


Quoting 
To clarify to everyone once more, I am NOT looking for a book that will give me a magical strategy, I'm looking for a book that provides me with knowledge and a valuable base for which to create my own strategies. Similar to how I view the market wizards series, you aren't taught specific strats per se, but you are given invaluable information regarding how the strategies of extremely successful people came to be.

If I understand you correctly, you're looking for a biography of successful experiences in quantitative trading firms. I don't think there's a book that does that as of now. It's not that exciting anyway, a good quantitative trading firm is like an assembly line, e.g. McDonald's. I found this description rather accurate:


Quoting 
I was a trading intern at Five Rings back in Summer 2012. At the time, Five Rings had a cozy little office down by Wall Street. There were maybe ten full-time employees, and six of us interns. It was small enough that we moved around our own desks and furniture.

Five Rings was in Manhattan, but I lived in Brooklyn with my buddy Paul, who was attending a math seminar at Columbia. We shared a deflated air mattress and spent $400 monthly for rent. Once I walked past Matt Bomer filming White Collar outside McCarren Park. I waved and he didn't wave back.

Anyways, we filed into the office around 9 and ate breakfast, catered, at our desks. Us interns were walled apart from the trading floor. We heard loud cursing and loud banging noises from the floor, but we saw nothing. Everyone assured us that this was business as usual. For all I know, they found a leprechaun at the end of some rainbow, and their entire proprietary trading strategy was to piledrive the leprechaun until gold fell out.

In the other room, three of us were trading interns, and three of us were programming interns. All together, we spent the first half of the summer building a trading simulator. Us trading interns wrote the specs, while the programming interns did the heavy lifting. The programmers did an amazing job - something something multithreading something network something race conditions.

After it was built, the trading interns would trade against each other in the trading simulator, which we designed to help us spot arbitrages and other advantageous trades. Every so often, we'd cause a bug and the programming interns would go be wizards and fix it. They were saints for putting up with our demands.

I had a great time. We all had a great time - Five Rings' internship program really motivates you to work harder, perform better, and learn faster.

Jason McCarthy is not a huge fan of poor performance. Jason is also capable of yelling very loudly, and has no trouble articulating displeasure. Me, personally I appreciated that attitude, although I once dreamt that I fell asleep during trading hours and Jason got so apoplectically furious that he turned into a being of pure energy and ascended through the ceiling. That was one hell of a dream.

Right, so it's a fairly intense environment - not for everyone - but if you want to see how a small, talented team works, I can't recommend it strongly enough. Last I heard, Five Rings Capital is essentially a black box that takes smart quants and prints respectable sums of money. (This is a compliment.) If you're there, tell Kenny and Marcus I said what's up!


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Limitless100 View Post
As far as a quant strat for trading? I seem to gravitate more towards shorter time frames in my trading.
Milliseconds --> intraday.

Also, just some advice, but I don't mean to dissuade you from trying: If you want to make money from sprinting, you're setting the game up so that the person with the fastest legs wins. If you want to make money from mathematical trading, you're setting the game up so that the the smartest mathematician (and your broker) usually wins.

There's many ways to make a lot of money from the capital markets without being smart (take a look at IEX). And at the end of the day, there's a real pecuniary and time cost to get into this field, so if you're not completely passionate about mathematics, you're just going to feel very miserable and give up eventually.

I admire your courage to take on this challenge, but there's also hundreds of people you're competing against who know that the Fields Medals were awarded today, and who can define a "manifold" right off the top of their heads. It will take an enormous amount of effort to surpass them in mathematical prowess.

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artemiso View Post
I haven't read any of the Market Wizards books or Barry's book so I'm unable to compare.



I favor that approach, but most people don't have the patience to go through years of education before starting to implement anything.

I feel that blindly running into something without first becoming well versed isn't going to work in your favor. I'd rather take some time and use my patience to gain any advantage I can gain!


If I understand you correctly, you're looking for a biography of successful experiences in quantitative trading firms. I don't think there's a book that does that as of now. It's not that exciting anyway, a good quantitative trading firm is like an assembly line, e.g. McDonald's. I found this description rather accurate:

Yes and no. I'm looking for something that will go over a successful persons road towards success within the field. I would like for the book to potentially go over ways in which they came about developing their own strategies and even some examples of what they may be. Possibly even real world examples of past strats they used that may have worked out. Being that you are not familiar with market wizards, it's difficult for me to explain! It's funny you use that example, a couple members of my family, and family friend, are close with Jason Mccarthy of Five Rings. He attends the same American Jiu-Jitsu school I am apart of. I'm not looking for the excitement of the "stories" but more for a look into the mind of successful quants in the field and how they came to be/examples of their success.

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Limitless100 View Post
He attends the same American Jiu-Jitsu school I am apart of.

Interesting, doesn't Jason own the school?

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artemiso View Post
Also, just some advice, but I don't mean to dissuade you from trying: If you want to make money from sprinting, you're setting the game up so that the person with the fastest legs wins. If you want to make money from mathematical trading, you're setting the game up so that the the smartest mathematician (and your broker) usually wins.

Very good point, and I definitely agree. My counter to this is that even the worlds fastest man once was unheard of, even the greatest minds in the world were once struggling amateurs.

I would very much like to hear from you as to how to better set the game up in hopes of not rigging the game against myself?


There's many ways to make a lot of money from the capital markets without being smart (take a look at IEX). And at the end of the day, there's a real pecuniary and time cost to get into this field, so if you're not completely passionate about mathematics, you're just going to feel very miserable and give up eventually.

Absolutely true. Are you specifically referring to a quantitative HFT type firm/field within these sentences? In reference to the mathemtaical aspect of things, I have always loved and had a innate fascination / talent with it. I will never know whether or not it is something I should truly run with if I don't initially try though.

I admire your courage to take on this challenge, but there's also hundreds of people you're competing against who know that the Fields Medals were awarded today, and who can define a "manifold" right off the top of their heads. It will take an enormous amount of effort to surpass them in mathematical prowess.

Thank you. Is it wrong that I read manifold and thought of an engine?
Yes, it would take an incredible amount of time and effort to surpass them, but at the same time, many market related successes did not come from sheer genius. Unless, of course, we are talking about full fledged HFT type mathematical quant trading, in which case, the firm with nobel and fields winners, along with the largest budget for infrastructure will win most of the time.

Even an individual with a PHD in mathematics from a big five school doesn't grasp an automatic advantage to someone without the degree when it comes to success and making money. Am I aiming to become an award winning mathematician, no I am not. I do not desire to directly compete and walk to same road that those who have devoted their life to math have walked. My desire to learn quantitative mathematics in reference to trading is because I feel that it is a subject in which I have a natural gravitation towards and can possibly apply that strategy to a profitable trading portfolio.

I thank you for your time and responses!

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artemiso View Post
Interesting, doesn't Jason own the school?

He does not, I am very close with the owner, his name is Joseph Puelio, Jason is a student.

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Limitless100 View Post
He does not, I am very close with the owner, his name is Joseph Puelio, Jason is a student.

I see, interesting.


Limitless100 View Post
Thank you. Is it wrong that I read manifold and thought of an engine?
Yes, it would take an incredible amount of time and effort to surpass them, but at the same time, many market related successes did not come from sheer genius. Unless, of course, we are talking about full fledged HFT type mathematical quant trading, in which case, the firm with nobel and fields winners, along with the largest budget for infrastructure will win most of the time.

Even an individual with a PHD in mathematics from a big five school doesn't grasp an automatic advantage to someone without the degree when it comes to success and making money. Am I aiming to become an award winning mathematician, no I am not. I do not desire to directly compete and walk to same road that those who have devoted their life to math have walked. My desire to learn quantitative mathematics in reference to trading is because I feel that it is a subject in which I have a natural gravitation towards and can possibly apply that strategy to a profitable trading portfolio.

Very well, you have my best wishes. Let me know how things go, I will do what I can to help if it's within my means.

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artemiso View Post
I see, interesting.



Very well, you have my best wishes. Let me know how things go, I will do what I can to help if it's within my means.

I very much appreciate that, thank you!

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