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

  #1 (permalink)
Trading for Fun
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Quantitative Trading - Recommended Books?

Hey everyone,

I have looked through some of the "highly recommended book" thread, but I haven't yet found books dedicated to Quantitative trading specifically.

There are many fantastic books about trading in general, but are there any highly recommended quant books? I'd be interested in picking a couple up!

Thanks in advance.

So far the only book I've found that had a good review was
Algorithmic Trading and DMA: An introduction to direct access trading strategies


Last edited by Limitless100; August 12th, 2014 at 03:40 PM.
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  #3 (permalink)
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I share some books and papers in my custom platform thread.

Try looking at blogs focusing on R, MATLAB or Python.

I'm also bringing in some webinars that focus in this area.

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  #4 (permalink)
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Also check here
@stackQuant: Starting mathematics reading for quants quant.stackexchange.com/q/14297?atw=1 #referencerequest

https://twitter.com/StackQuant/status/496778428230934528

Sent from my LG Optimus G Pro

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #5 (permalink)
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Limitless100 View Post
Hey everyone,

I have looked through some of the "highly recommended book" thread, but I haven't yet found books dedicated to Quantitative trading specifically.

There are many fantastic books about trading in general, but are there any highly recommended quant books? I'd be interested in picking a couple up!

Thanks in advance.

So far the only book I've found that had a good review was
Algorithmic Trading and DMA: An introduction to direct access trading strategies

I own this book. Not sure what you are looking for in a quant book, but this is mostly market micro structure stuff. No real quant topics or common strategies. But when it comes to designing market micro structure code I found myself learning more reading through API documentation than this book...

Low latency FIX Engine - FIX/FAST - Market Data - Trading SDKs : OnixS

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  #6 (permalink)
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@Limitless100

I'd take a look here:


Big Mike View Post
Also check here
@stackQuant: Starting mathematics reading for quants quant.stackexchange.com/q/14297?atw=1 #referencerequest

https://twitter.com/StackQuant/status/496778428230934528

Sent from my LG Optimus G Pro

Amusing coincidence, Maddie works with me. (I asked her to say hi on the SE.)

Two points to add:

The question starter said he has read Oksendal's texts, so Maddie didn't mention introductory material. If you find that you need that before Baxter and Rennie, I would recommend something like Stefanica or Neftci's texts for a gentle introduction.

The other thing to note is that we keep our profit centers pretty closely guarded, so don't expect low-hanging fruit in those books. The truth is, this is a competitive field and there's very little advantage you can extract out of publicly-available reference texts. If any advantage did exist, it would be eroded very quickly. Most Master's of Finance/Financial Engineering graduates have read the books she listed, and they have been hired in bucketloads at firms with the capital to reward them generously for their ideas.

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  #7 (permalink)
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Quant books list from my friend Mike @ The Whole Street:

Books | The Whole Street

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

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  #8 (permalink)
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Big Mike View Post
I share some books and papers in my custom platform thread.

Try looking at blogs focusing on R, MATLAB or Python.

I'm also bringing in some webinars that focus in this area.

Sent from my LG Optimus G Pro

Great I'll check it out. Yes I have looked through various C++ blogs, but it's difficult to find a direct comparison to financial implementation.
I look forward to webinars regarding this topic!



Big Mike View Post
Also check here
@stackQuant: Starting mathematics reading for quants quant.stackexchange.com/q/14297?atw=1 #referencerequest

https://twitter.com/StackQuant/status/496778428230934528

Sent from my LG Optimus G Pro

I will look at that now thank you.



artemiso View Post
@Limitless100

I'd take a look here:



Amusing coincidence, Maddie works with me. (I asked her to say hi on the SE.)

Two points to add:

The question starter said he has read Oksendal's texts, so Maddie didn't mention introductory material. If you find that you need that before Baxter and Rennie, I would recommend something like Stefanica or Neftci's texts for a gentle introduction.

Great I will look into Stefanica / Neftci

The other thing to note is that we keep our profit centers pretty closely guarded, so don't expect low-hanging fruit in those books. The truth is, this is a competitive field and there's very little advantage you can extract out of publicly-available reference texts. If any advantage did exist, it would be eroded very quickly. Most Master's of Finance/Financial Engineering graduates have read the books she listed, and they have been hired in bucketloads at firms with the capital to reward them generously for their ideas.

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.

Do you feel the best way to go would be to simply read books similar to that referred in the SE post rather than picking up books that simply "talk" about quantitate finance? For ex. the book I referenced above is an author who seems to be referencing Quant finance / trading, yet doesn't actually specifically go over anything.

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?



Big Mike View Post
Quant books list from my friend Mike @ The Whole Street:

Books | The Whole Street

Mike

Thank I'll take a look at this as well, seems like a good selection. I will refer my above question to artemiso towards you.
The books in the above link are books talking about Quant trading, or simply referencing it.

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.

Thanks again!

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  #9 (permalink)
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Hi @Limitless100,

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

Nicolas

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baywolf View Post
I own this book. Not sure what you are looking for in a quant book, but this is mostly market micro structure stuff. No real quant topics or common strategies. But when it comes to designing market micro structure code I found myself learning more reading through API documentation than this book...

Low latency FIX Engine - FIX/FAST - Market Data - Trading SDKs : OnixS

Thank you for your input! That is the type of answer I was looking for.

Now sure exactly what you are referring me to within that link. But I'm assuming there is something I'm missing.

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