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Quantitative Finance Reading List
- niggler 14y agoThis was asked on HN more than a year ago: https://news.ycombinator.com/item?id=3177815 https://news.ycombinator.com/item?id=3177815
- kevincrane 14y agoI like the topic, but I have no idea where to start on these books. Can anyone recommend one or two sources that would be good entry points for learning this kind of stuff?
- niggler 14y agoI always recommend "Trading and Exchanges" by Larry Harris. If you want a slower mathematical introduction, I recommend the Stochastic Calculus for Finance books by Steven Shreve.
- strongvigilance 14y agoI'd second the Harris book - very good intro to trading and markets.
- larsonf 14y agoI couldn't tell from your comments, strongvigilance, but do you code as well? I'm interested finding who on HN code but also show a deeper understanding of finance beyond just passing interest.
- strongvigilance 14y agoTo an extent - I'm a trader first, programmer second - learnt the latter to help with the former.
- minimax 14y agoAnother endorsement of the Harris Book here. The technology is all out of date (hello SuperDot), but otherwise it's a great introduction to modern financial markets.
- fixxer 14y agoThose that know don't write books. If you'd like more of a live view into what is going on in the markets (strategy-wise), check out nuclearphynance.com. As for technical books, I prefer Maureen O'Hara's structural approach over continuous time finance. Beyond providing more of a "trader's view", she is also a lovely person. I don't much care for continuous time finance.
- wtvanhest 14y agoThe first book on the list, The Big Short is an easy read that is interesting and will get you started. Start there and move down the list.
- avenger123 14y agoA good corporate finance book is going to give you the foundation of all this. If you read a corporate finance book and then start going through the book list, it will make a lot more sense. A lot of the books in his book list assume a foundation in graduate level understanding of finance. One I would recommend is: http://www.amazon.com/Corporate-Finance-3rd-Pearson/dp/0132992477/ http://www.amazon.com/Corporate-Finance-3rd-Pearson/dp/01329... This will go into some level of detail into all areas. Once you are comfortable with this material, you can branch into more deeper study in each area. A lot of trading systems attempt to exploit arbitrage opportunities (however time limited) in the market place. A book like the above will give you a deeper understanding of the stock market and the different financial instruments that are used in the market. It will also provide real insight into how companies manage their capital budgeting (I have $100 million dollars, how do I decide what to spend this money on this year). Not every company will follow the same approach, but the fundamental concept of net present value is very common. Once you have a good understanding of the basics then you can delve further into derivatives. It would be hard to get into derivatives without a solid background in what a MBA/graduate level corporate finance book gives you. As an aside, anyone in IT that wants to expand their business know-how would gain quite a bit by reading a corporate finance book. If you want to know what the executive team spends their time on, the knowledge around capital budgeting and understanding how projects are assessed (ie. using WACC and NPV) is very valuable.
- niggler 14y agoUndoubtedly the best corporate finance book is Brealey and Myers (http://www.amazon.com/Principles-Corporate-Mcgraw-Hill-Insurance-Insureance/dp/0078034760/ref=pd_sim_sbs_b_4 http://www.amazon.com/Principles-Corporate-Mcgraw-Hill-Insur...) -- amazon ranks it at #205890 versus #249565 for your proposal
- avenger123 14y agoI used the book I referenced for a course so that's what I am basing my recommendation on. Your suggestion also seems like a good choice but I don't have any direct experience with it.
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- n00b101 14y ago"Options, Futures, and Other Derivatives" (John Hull) is the definitive newbie handbook in quant finance. If you are interested in Quantitative Finance, you should understand this book, cover-to-cover. "Principals of Corporate Finance" (Brealey & Myers) is the definitive newbie handbook for Corporate Finance, which is not the same subject as Quant Finance.
- strongvigilance 14y agoA couple of years old, but this is (IMO) a much better list: http://quantivity.wordpress.com/2010/01/10/how-to-learn-algorithmic-trading/ http://quantivity.wordpress.com/2010/01/10/how-to-learn-algo... The 30+ generic C++ books in the posted list says a lot, and many of the more finance-oriented books on the list are very low on signal-to-noise.
- mesozoic 14y agoCould you point me to quant analyst job salary listing on glassdoor. I couldn't find what the job title typically is.
- fatjokes 14y ago"Quantitative Researcher" As for salary, it varies a lot. For a large hedge fund, you might look at $200K base, for smaller shops maybe $150K. Of course, most people are more interested in the bonus. Also, it varies a lot based on experience.
- bearmf 14y agoNo one without experience will command a $150k base, let alone $200k. These are VP-level base salaries.
- rgovind 14y agoExperience in programming or experience in Finance?
- bearmf 14y agoFresh out of school.
- fatjokes 14y agoI personally beg to differ. I'm not willing to give much more identifiable info, so if you want to call me a liar, feel free to.
- bearmf 14y agoWhich companies can pay someone fresh out of school 150-200k base? Maybe DE Shaw, RenTech, a handful of other large funds. Banks just don't do it.
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- chrisaycock 14y agoQuantNet maintains a Master Reading List as well: https://www.quantnet.com/threads/master-reading-list-for-quants-mfe-financial-engineering-students.535/ https://www.quantnet.com/threads/master-reading-list-for-qua... A few words of advice for anyone interested in this field as a career: 1. I would caution anyone on speculatively learning a new programming language in the hopes of getting a job. Your boss will tell you what to learn when you get hired. Don't ask strangers on the Internet for how to allocate your time. 2. "Quantitative Finance" is a broad field. High-frequency trading and exotic options trading have no overlap. So putting together a list of what-to-learn-to-be-a-quant is really foolish. It's like creating a master knowledge base for all of programming without narrowing the field to web, embedded, gaming, etc. 3. The best way to learn is to get a job in the field. I'm surprised at how often I have to repeat this.
- wcgortel 14y agoWhat do you think about the CQF?
- niggler 14y agoGarbage. Many hedge funds only require a BS from a top school. Others, of course, are only looking for PhDs. These exams and certificates, IMHO, are money-making machines (if you need those certs for your job -- like Series exams -- your firm will sponsor it)
- oddthink 14y ago#3. Definitely #3. I mostly model mortgage prepayments and defaults, the housing market, and do econometrics-style forecasts. That's not in any of those books.
- siavosh 14y agoIt seems like the topic of QF is appearing more frequently these days on HN. I guess it's a sign of the times after an absence after the implosion of 2008. There also seems to be general leveling off of posts on how awesome working for startups are compared to 2008/9 and the exodus of talent from wall street. Sign of the times I guess. Makes me think we're headed back to the 'good old days.' This is all a bit depressing cause I feel like the conclusion a lot of society had reached in 2008 was that finance should be boring, simple, and shouldn't attract too much brain power from other fields.
- niggler 14y agoI think most of the easy money in startups has been made (and from here on out the dumb ideas that raised millions of dollars won't see as much money), so people are jumping back to finance. There was never a real exodus of talent. The really talented people weathered the storm, and it seemed as if a whole bunch of B-people switched over and are now considering switching back.
- freyr 14y agoYeah, it's been weeks since anybody's purchased a useless half-baked app for $30M. The bubble must be over.
- niggler 14y agoIt's been more than a year since anybody's purchased an app with zero revenue for $1B. I should clarify that I don't think the bubble is over yet, but the euphoria stage has passed
- deleted 14y ago[deleted]
- freyr 14y agoI've noticed it too. I think many of us believe that the size of the financial sector is extremely disproportionate to the value it adds. It drains talent by offering smart people salaries that other industries can't afford. It gambles with the economy recklessly, but the public pays the debt when their gambles turn sour. And on, and on. But let's face facts. I'd love to think everybody's really here to "change the world" and "create value." But the biggest stories in tech entrepreneurship focus on silly, time-wasting apps that are sold for millions. Does that really make any more sense than giving a guy a million dollar bonus for designing a high frequency trading algorithm? If we don't expect more from our community, we can't really criticize theirs.
- bayesianhorse 14y agoDon't forget the Coursera courses on finance, econometrics and financial engineering. They might not cover everything, but they should be enough for getting you interested or bored. I'm not in a Finance field, but I like these courses a lot.
- tdees40 14y agoSaying "I want to learn Quant Finance" is like saying "I want to learn programming," in that it really all just depends. There's an impossible number of fields and sub-fields, and many people know one field intimately but may not know another at all (high-frequency trading and derivative pricing, for instance, have little overlap). Also, some of these jobs (i.e. high-frequency trading) are about 90% programming, whereas other jobs tend to be significantly more mathematical. If you can't narrow your interests beyond just the exceptionally broad category of quant finance, then learn enough to figure out what subcategory you want to jump into, and then let me know and I'll give you a reading list, if I know anything about it.
- tdees40 14y agoTo get it started, subcategories include: 1) High-frequency trading. Very programming oriented as trade latency is everything. You'll need to be really good at making C/C++ code really fast. Math is somewhat less important than other fields. 2) Derivatives pricing. Usually working for banks/hedge funds, and use various methods (Monte Carlo, PDE, transform) to price options. Will need to know C/C++ and/or probably Matlab, C# (Excel is king here, so MSFT languages is a big deal), and Python is on the up and up. Will need to have a serious math background. This is more or less what I do. 3) Algo trading. Uses mathematical techniques to find patterns and execute trades. Probably works for a hedge fund. Programming languages vary by fund and include Matlab, Python, C/C++, Java (one uses Ocaml). Less theoretical, lots of playing around with data. 4) Quant risk. Usually works for a bank or hedge fund in the risk department. Responsible for things like building VaR models. Usually requires light programming (VBA, although serious languages help), and some lightweight math.
- kasey_junk 14y agoI'd add that if you are truly interested in HFT the time when you could make C/C++ software fast enough is either gone or very short lived. Much more valuable would be FPGA programming or other similar skills.
- rgovind 14y ago
- bearmf 14y agoI get a feeling that people somehow do not want to believe that quant finance is in very bad shape right now. It is very hard to get a job, especially without experience. Salaries are not growing, might be even decreasing. Starting base salaries are around 100k. You might get a bonus, but it all depends on firm performance. Before VP level the pay is not much greater than in tech. You will likely need a PhD to get a job at all. Maybe a top MFE, but most MFE graduates are perceived to have very shallow knowledge, which has a grain of truth to it.
- leoplct 14y agoI've been wondering if Quant trading really works? I mean that are really someone who earns money with this? It's just a "gold rush"?
- Mikeb85 14y agoAbsolutely it does. Just about every hedge fund, trader, proprietary trading firm, etc..., uses it. But it doesn't guarantee success. Your algorithms, programs and analysis have to be better than the next guy, otherwise you'll just lose money very quickly. This is simply the evolution of trading, another tool to help traders. And someone will always make a ton of money, while someone else will always lose. That's how trading works.
- JacobIrwin 14y agosee also: http://quant.stackexchange.com/questions/2391/what-books-should-any-quantitative-portfolio-manager-or-risk-manager-have-as-ref http://quant.stackexchange.com/questions/2391/what-books-sho... http://quant.stackexchange.com/questions/431/video-lectures-and-presentations-on-quantitative-finance http://quant.stackexchange.com/questions/431/video-lectures-... http://quant.stackexchange.com/questions/1985/what-papers-have-progressed-the-field-of-quantitative-finance-in-recent-years-p http://quant.stackexchange.com/questions/1985/what-papers-ha...
- dia80 14y agoWhy learn C++? It's used because of A) history or B) it's speed is useful in HFT that isn't UHFT yet with microwave links and ASICs. I work in python. I'm staggered by the range and quality of the libraries. Numpy/Scipy + Pandas + ipython = instant productivity.
- radikalus 14y agoYup -- this is the most common stack for quant nerdotry
- rgovind 14y agoMany people say its too late to enter HFT..Is it true for developed world or is it true for ALL countries? (India/China/etc). For example, I am not sure if Indian stock markets have so much of HFT.
- brotchie 14y agoHere's a list I wrote up for a friend when he asked for a few "non mathematically hardcore" finance books to read. http://brotchie.github.io/favourite-finance-books.html http://brotchie.github.io/favourite-finance-books.html It overlaps somewhat with the OP's list, but I have a tiny bit of commentary on each book.
- Cakez0r 14y agoDon't suppose anybody knows of any service that provides historical market pricing data available to download en masse? The only services I can find just allow you to view data for a specific company, whereas I'd like to just dump the data for as many companies as possible.