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If anyone is interested in more reading on the history of algorithmic trading, I've posted a screen grab of the top half of one of my book shelves. Some of thi
by chollida1 11y ago
If anyone is interested in more reading on the history of algorithmic trading, I've posted a screen grab of the top half of one of my book shelves.
Some of this maybe a repeat to people as I often get asked for recommendations on how to get into algorithmic trading.
http://imgur.com/OdzB4aW http://imgur.com/OdzB4aW
http://www.amazon.ca/Fortunes-Formula-Scientific-Betting-Casinos/dp/0809045990 http://www.amazon.ca/Fortunes-Formula-Scientific-Betting-Cas... The history of hte first real quant
http://www.amazon.ca/Dark-Pools-Machine-Traders-Rigging-ebook/dp/B006OFHLG6/ http://www.amazon.ca/Dark-Pools-Machine-Traders-Rigging-eboo... The history of the rise of algorithmic trading
The phyisics of wall street was mentioned by someone else, great book
http://www.amazon.ca/Quants-Whizzes-Conquered-Street-Destroyed-ebook/dp/B0036894XC http://www.amazon.ca/Quants-Whizzes-Conquered-Street-Destroy... This profiles 4 famous traders including Simons, alos a great book
http://www.amazon.ca/Heard-Street-Quantitative-Questions-Interviews/dp/0970055234 http://www.amazon.ca/Heard-Street-Quantitative-Questions-Int... A must read if you want to get into quantitative finance.
As always, email if you'd like to chat.
- splike 11y agoDo any of the books go into detail explaining how and why successful strategies worked? Historically that is. I wouldn't expect any strategies outlined in a book to be profitable today, but I would be interested in how a strategy was formalised.
- gbersac 11y agoTotally agree. A description of his model and how he created it would be awesome ! By the I really enjoyed dark pools. No practical knowledge, but a pleasure to read.
- evanpw 11y agoI've found this blog to be really excellent: https://mechanicalmarkets.wordpress.com https://mechanicalmarkets.wordpress.com. Example: https://mechanicalmarkets.wordpress.com/2015/04/30/market-data-patterns-order-anticipation-and-an-example-trading-strategy/ https://mechanicalmarkets.wordpress.com/2015/04/30/market-da...
- darkmighty 11y agoI prefer to pick that sort of thing up from mathematical texts or a textbook. The principles are pretty simple from a probabilistic perspective: it's just a matter of making inferences from the available information and choosing an optimal course of action from that. Information theory provides a nice framework for this basis, imo. You can find this introduction (including topics like Kelly's criterion etc) in Cover's Elements of Information Theory, a good introduction to information theory in general if you like. https://en.wikipedia.org/wiki/Gambling_and_information_theory https://en.wikipedia.org/wiki/Gambling_and_information_theor...
- Havoc 11y ago>screen grab of the top half of one of my book shelves. aka a photo? Pretty cool regardless of name. :)
- jason_slack 11y agoI have some of those same books. Is there anything interesting on the bottom half of your bookshelf?
- chollida1 11y agoSure, here you go http://imgur.com/zdLSEek http://imgur.com/zdLSEek
- jason_slack 11y agoI am going to ping you via e-mail too. I'd love to talk about trading..