Re-doing my #BookRecommendations for beginners in the world of systematic/quantitative trading and investing as recently received several Qs.
Retweet/Share with anyone who might benefit.
In no particular order -
1. Systematic Trading by Rob Carver
@investingidiocy
Retweet/Share with anyone who might benefit.
In no particular order -
1. Systematic Trading by Rob Carver
@investingidiocy
2. Expected Returns by Antti Ilmanen. This book shares expected sources of returns from past. not that one may find those now. He also featured on @choffstein podcast - "Flirting With Models". Worth a listen.
3. Inside the Black Box - Rishi Narang
This is essentially talking about all moving parts that may be needed for an algo trading set up.
This is essentially talking about all moving parts that may be needed for an algo trading set up.
4. Quantitative Trading by Ernest Chan
@chanep
The two books by Ernie also provides basic foundations on types of strategies and approaches to quant and algo trading.
@chanep
The two books by Ernie also provides basic foundations on types of strategies and approaches to quant and algo trading.
5. Algorithmic Trading by Ernest Chan
@chanep
The two books by Ernie also provides basic foundations on types of strategies and approaches to quant and algo trading.
@chanep
The two books by Ernie also provides basic foundations on types of strategies and approaches to quant and algo trading.
6. Quantitative Momentum (Investing) by Wesley Gray & Jack Vogel
@alphaarchitect
Long Only Portfolio construction in stocks. Robust methods.
@alphaarchitect
Long Only Portfolio construction in stocks. Robust methods.
7. Active Portfolio Management by Grinold and Kahn
This has broader applications than just a simple portfolio. Learn to understand difference between skill and luck and how to quantify that.
This has broader applications than just a simple portfolio. Learn to understand difference between skill and luck and how to quantify that.
8. ML for Algo Trading by Stefan Jansen @ml4trading (Advanced Level Book - not For beginners).
9. Trend Qualification and Trading by LA Little.
Introductory series for those coming from chart reading background.
Introductory series for those coming from chart reading background.
10. Flash Boys by Michael Lewis
To understand how HFT change the markets and how it may change in future.
To understand how HFT change the markets and how it may change in future.
11. The Man who solved the market - Story of Jim Simons
Pure inspiration and background of what it may take to be successful in this business - lots of heartbreaks and failures.
Pure inspiration and background of what it may take to be successful in this business - lots of heartbreaks and failures.
12. Trading and Exchanges - An absolute must for any TRADER. This should ideally have been #1 on my list. But I just remembered it.
13. Adding this recent release to the list.
Advanced Futures Trading by @investingidiocy
Advanced Futures Trading by @investingidiocy
14. This is one of the books that does not have trading systems or methods, but is a very good starter book to create statistically sound indicators for trading.
The algos in this are in C++, yet with modern day Python its fairly trivial to replicate.
Warning: not easy for non-stat/non-quant traders.
Statistically Sound Indicators - Timothy Masters
The algos in this are in C++, yet with modern day Python its fairly trivial to replicate.
Warning: not easy for non-stat/non-quant traders.
Statistically Sound Indicators - Timothy Masters
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