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Curriculum of study/books
M J K
posted Jul 26, 2013
Finance Theory Getting Started Finance News

Hi,

I've been looking around the forums and I've found a few books to learn as much as I can. The ones I've found so far are

  • Algorithmic Trading: Winning Strategies and Their Rationale
  • Building Reliable Trading Systems: Tradable Strategies That Perform As They Backtest and Meet Your Risk-Reward Goals
  • Inside the Black Box: A Simple Guide to Quantitative and High Frequency Trading

What other ones should I get?

I have a math background (minor in college, got as far as stochastic processes) and do software as a trade.

18 responses
Dan Dunn
Jul 26, 2013

Same author as your first one, Ernie Chan, also wrote Quantitative Trading: How to Build Your Own Algorithmic Trading Business which is excellent.

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

M J K
Jul 27, 2013

Thanks, Dan! I notice in "Algorithmic Trading: Winning Strategies and Their Rationale", there's a lot of talk about momentum algorithms. Are there other strategies?

Jessica Stauth
Jul 28, 2013

Grinold & Kahn - Active Portfolio Management - is widely regarded on the same level as, say the bible. Its > 10 years old, but if you're looking for foundational stuff.

Also QEPM - Chincarini & Kim
Anything by James Montier (e.g. value investing, behavioral investing, little book of behavioral investing etc.)

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

Simon Thornington
Jul 31, 2013

http://quantstart.com/articles/Quantitative-Finance-Reading-List

Jessica Stauth
Aug 1, 2013

Great resource Simon - Fawce also listed QuantStart in his blog post on education from a few weeks ago, its a great post if anyone hasn't come across it yet:
http://blog.quantopian.com/hacking-your-education-the-next-generation-of-students/

Simon Thornington
Aug 1, 2013

Agreed -- Khan academy was invaluable for me to catch up on some differential equations prerequisites.

Daniel Sandberg
Aug 1, 2013

@MJK - the two schools of thought on algorithmic trading are momentum and reversion to the mean. The latter is generally regarded as a longer timeframe.

M J K
Aug 2, 2013

@Daniel, i learn something new everyday. :)

Everyone, thank you so much for these great responses, it's just what I was hoping for! :D

Michael D
Aug 2, 2013

Here is a handy summary of some algo strategies:

http://wallstcheatsheet.wpengine.netdna-cdn.com/wp-content/uploads/2010/07/The-World-of-High-Frequency-Trading.pdf

M J K
Aug 2, 2013

This is helpful, @Michael D

I don't mean to say that the near-infinite field of algorithmic trading can be compressed into books/web pages. I just want to learn. :) Thanks again!

Imthiyaz Sikkander
Aug 5, 2013

Hello Everyone - Wonderful resources. If anyone need helps with building FIX engine with dynamic rules let me know.

Zhuoran Yu
Aug 5, 2013

Hi, all

I am a CS major student and I am interested in algorithm trading. I have some research experience in machine learning, during which time I got familiar with basic numerical mathematical skills. I lack knowledge in trading basics.

Which book do you think should I get start to read?

Thank you very much!

Ken Hersey
Aug 7, 2013

I'm a fan of Ernie Chan's books, and his blog like several others here.

Andreas Clenow's book, Following the Trend, really struck a chord with my financial trading soul. He has also been writing a series of articles in Active Trader, which mirror key parts of his book (and, is actually what got his book to bubble top of my reading list).

Peter Cawthron
Aug 7, 2013

"The Evaluation and Optimization of Trading Strategies" by Robert Pardo - now in 2nd Edition - is quite well respected and easy to read. Pardo was an early promoter of walk forward analysis, for example.

Regards,

Peter

M J K
May 18, 2014

Since I've posted this, I've acquired some skills with various data science software and tools.

So I've gotten more understanding of the math and other data, building models. I've gotten 1 of the books mentioned so far (learning data science was a diversion. :p )

So what skills I've got now should I emphasize to do better algo trading?

David Edwards
May 18, 2014

I found a set of python data science tutorials the other day. It looks pretty cool, there is a github repo of ipython notebooks that you can work through. Learn Data Science

Deleted User
May 19, 2014

Hey,

Welcome to Quantopian! Data science is a great area to study in developing a foundation for algorithmic investing, especially as people seek non-conventional data-driven sources of alpha (sentiment analysis, web scraping, etc.). The statistical and optimization models that data scientists use are much the same as those that are applicable in quantitative finance. The Elements of Statistical Learning is an excellent and comprehensive resource on statistical learning. I would consider math and CS foundations to be more important than resources specifically geared toward trading systems. Renaissance Technologies, arguably the world's most successful quantitative hedge fund, will not hire people with finance backgrounds as it wants people who can produce creative research without priors about conventional approaches, etc.

Best,
Ryan

Delaney Mackenzie
Aug 20, 2015

Hello,

I'm dredging up this post so I can add Quantopian's horse to the race. We just finished the first set of Quantopian Lectures, and will be adding to them regularly. They're based on curriculum from our interactions with professors using our platform to teach. Please feel free to provide feedback and suggest future topics. We're also doing live meetups in Boston and NYC presenting this material. Check on our meetup.com pages for more info:

http://www.meetup.com/Boston-Algorithmic-Trading/
http://www.meetup.com/NYC-Algorithmic-Trading/

Thanks,
Delaney

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.