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Some highly recommended books


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Some highly recommended books

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  #511 (permalink)
 Sandpaddict 
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corpraider View Post
New book on HFT out on Amazon yesterday, called Trading at the Speed of Light. Written by an academic guy, so I bought the audiobook immediately hoping he'd approach it from less of a "pop finance" perspective as many of these books tend to do. However, he's a social science guy so he keeps going on these tirades tying HFT to all of these social science concepts and it's weird. Still good listening because he actually interviewed actual HFT shops and isn't trying to stretch a book out by referencing Bloomberg articles like many do.

I've listened to 40 audiobooks so far in 2021 and my general assumption is that 99% of books that are also published as audiobooks are mostly fluff. Especially in finance, so many of them are "pop finance," and go over the same Kahneman/Traversky findings over and over again at the most basic level, etc. One that has stood out from the pack is Drobny's The Invisible Hands, a book of interviews with global macro traders. Touches a lot on how 2008 changed the "real money" world (pension funds, endowments) and whatnot. Another is Scott Paterson's Dark Pools. So good that I've read it twice.

Thank you for those recommendations. It's so hard to find good books these days. You are right... moslty just old rehashed ideas.

Reading "Noise" by Daniel Kahneman and even it kinda goes over old ground too. But no too bad.

Another great groundbreaking book is "The Trading Game by Jared Tendler. Simply brilliant.

We've all heard Douglas and Steinburger for years. It's already IN the collective consciousness.

Reading Mandelbrot's Misbehavior of Markets again too.

Thanks again.


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  #512 (permalink)
 SMCJB 
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The World For Sale: Money, Power, and the Traders Who Barter the Earth's Resources
https://www.amazon.com/World-Sale-Javier-Blas/dp/0190078952

This isn't about trading in terms of futures, charts & indicators but about the massive Commodity Trading Houses (ADM, Cargill, Glencore, Marc Rich, Trafigura, Vitol etc) trading the underlying physical commodities. Details the massive risks they took in developing countries to develop relationships that then went on to make them fortunes!

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  #513 (permalink)
 corpraider 
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Sandpaddict View Post
Thank you for those recommendations. It's so hard to find good books these days. You are right... moslty just old rehashed ideas.

Reading "Noise" by Daniel Kahneman and even it kinda goes over old ground too. But no too bad.

Another great groundbreaking book is "The Trading Game by Jared Tendler. Simply brilliant.

We've all heard Douglas and Steinburger for years. It's already IN the collective consciousness.

Reading Mandelbrot's Misbehavior of Markets again too.

Thanks again.


Sent using the futures.io mobile app

Currently reading Tendler's new book The Mental Game of Trading. Agree, that Tendler with his poker background has a fresh outlook compared to Douglas and Steenbab.

Finished Trading at the Speed of Light. Pretty good book. Guy did a ton of primary research for the book and really respect the effort. He talked to tons of people in the industry and he's been researching HFT/electronic trading for like 20 years. Gets deeply into the fight for latency and how far these firms will go. What I liked most is how rooted in reality the book was. HFT isn't a great business. Most HFT firms fail, contrary to what the Flash Boys readers will tell you, getting the right infrastructure in place is not a license to print money, far from it. Even the best firms have pretty unimpressive stats relative to you'd think.

Of course, being an interviewer, he wasn't given too much insight into the more advanced strategies that modern HFT firms use, but he concluded that much of the edge that these firms have is the same as it was 20 years ago; front running upticks in ES futures on less active equities, picking off stale quotes, and writing algos that are really good at reading the order book to spot orders to lean on. Really no different than what the hyper-active prop traders did in the 1990s.

Tons of good info in the book, but light on narrative. It felt like a long essay or blog post, just a big info dump. I think the book would have best seller status had the author collaborated with a writer that can spice everything up and make it interesting. Maybe that's my fault for looking for something fun, rather than raw info, but my instinct is that very few people have a practical reason for reading this book outside of pure interest in what the secretive HFT firms really do.


SMCJB View Post
The World For Sale: Money, Power, and the Traders Who Barter the Earth's Resources
https://www.amazon.com/World-Sale-Javier-Blas/dp/0190078952

This isn't about trading in terms of futures, charts & indicators but about the massive Commodity Trading Houses (ADM, Cargill, Glencore, Marc Rich, Trafigura, Vitol etc) trading the underlying physical commodities. Details the massive risks they took in developing countries to develop relationships that then went on to make them fortunes!

I like reading the Wall Street Oasis forums to see what the high finance world is up to. Lots of the guys in Sales & Trading are looking into these physical shops nowadays because S&T is kind of a dying industry in the delta-one space. Apparently this is where a lot of traders are making the big money. I don't speak from experience or knowledge, though, just reading forums. It seems to be the space all those guys are interested in right now. Lots of inefficiencies to exploit.

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  #514 (permalink)
 SMCJB 
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corpraider View Post
It seems to be the space all those guys are interested in right now. Lots of inefficiencies to exploit.

Inefficiencies that exist because they are very difficult and labor intensive inefficiencies to capture. There's a reason companies like Glencore and Vitol have offices in 40* odd countries around the world.

*https://en.wikipedia.org/wiki/Vitol.

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