There doesn't seem to already be a thread specific to automated trading books. So I thought i'd start one in the hope that people will post their reviews on these books (both good and bad).
I recently read:
Amazon.com: Inside the Black Box: The Simple Truth About Quantitative Trading (Wiley Finance) (9780470432068): Rishi K Narang: Books (
I found this book to be good high level introduction to what goes into what the author refers to as a black box system. He goes through all the various components that should be included ie: Alpha model, Transaction cost model and the Portfolio construction model. However the book is definitly just an overview and doesn't go into any significant detail. There are also no specific trading systems and rules discussed since that's not the aim of this book.
Personally I would recommend this to readers looking for insight into how black boxes are created, but without going into the nuts and bolts of it.
Below are a few more books on the subject which im considering reading:
Amazon.com: The Evaluation and Optimization of Trading Strategies (Wiley Trading) (9780470128015): Robert Pardo: Books (
Amazon.com: Trading Systems: A New Approach to System Development and Portfolio Optimisation (9781905641796): Emilio Tomasini, Urban Jaekle: Books (
Amazon.com: Quantitative Trading: How to Build Your Own Algorithmic Trading Business (Wiley Trading) (9780470284889): Ernie Chan: Books (
Has anyone read any of the above? Or any other books worth reviewing?
Are there any books out there that give more than an overview on the subject?