Books on and Related To Quantitative Finance - Part 2
Quantitative Trading, High Frequency Trading and Time Series Analysis
This list arose as a result of research involved in the development of a series of
fairly advance Python, R and C++ courses for those working in the area of Quantitative Finance.
Quantitative finance is a technical subject that encompasses many technical disciplines and areas of applicabipity.
These include e.g. financial markets, time series analysis, risk management, financial engineering, statistical data analysis and machine learning.
The following list of books, though by no means exhaustive represents an attempt to pull together those books that may
be useful, and includes also some books that are more in the nature of "light reading" for when all that maths, computing and theory
becomes too much. Some of the books cover the basic essentials in a given are whilst other are specialised references, and most are
somewhere in between. The list is split up over several sections each made up of sub-sections covering particular areas of interest. The areas on this page - Part 2 - are concerned with Quantitative Trading, High Frequency Trading and Time Series Analysis,
Part - 1 Is concerned with historical, career and interview preparation aspects of Quantitative Finance.
Part - 3 Is concerned with C++ and Python Programming and how it is used in Quantitative Finance
Part - 4 Is concerned with R Programming and how it is used in Quantitative Finance
Part - 5 will be concerned with Java Programming and how it is used in Quantitative Finance
Part - 6 will be concerned with statistics and machine learning and how they can be applied in Quantitative Finance
Part - 7 will be concerned with numerical analytical an modeling methods used in Quantitative Finance
Part - 8 will be concerned with Quantitative Financial aspects of Derivatives
Part - 9 will be concerned with Volatility and Portfolio management aspect of Quantitative Finance
Part - 10 will be concerned with advanced programming and machine learning technologies and frameworks such as Matlab and CUDA
Part - 11 will be concerned with spreadsheets, data mining and data visualisation as they apply to Quantitative Finance
Part - 1 Sections
Funds tend to be quite secretive about their trading strategies, however for most of them the important thing is to have developed a "good enough" trading strategy. There is no "magic silver bullet" when it comes to developing trading strategies, just as there is no "magic silver bullet" when it comes to developing complex software systems. Except for the case of a one-time, single-use project within a business, in most business there should be some kind of process involved in developing and automating trading strategies. No matter whether that process is managed and implemented by humans, AI, or a combination of the two, it has to be designed by a person or persons with a complex enough perspective to ask the right questions. Such a person might, on accasion, step back and say, 'What are we really trying to accomplish here? And is there a different way to look at it?'
The books in this list tend to give an overview, sometimes in considerable depth, as to how "trading black box" operates. In amongst all these writing there are insights and ideas from which to develop an understanding of quantitative, systematic and algorithmic trading, with a view to implementing even better trading strategies. It seems to be accepted that career paths for quants have moved away from derivatives pricing and more towards direct quantitative trading. Understanding and applying the Black-Scholes theory is still very important in the arena of hedging and exotic option pricing purposes. However, these days, it is necessary to be familiar with the details of systematic trading and the firms that make use of it.
- Quantitative Trading: How to Build Your Own Algorithmic Trading Business - Ernie Chan
- Algorithmic Trading: Winning Strategies and Their Rationale - Ernie Chan
- Inside the Black Box: A Simple Guide to Quantitative and High Frequency Trading - Rishi Narang
- The Truth About High-Frequency Trading: What Is It, How Does It Work, and Is It a Problem? - Rishi Narang, Manoj Narang
- Algorithmic and High-Frequency Trading - Álvaro Cartea, Sebastian Jaimungal, José Penalva
- The Science of Algorithmic Trading and Portfolio Management - Robert Kissell
- Algorithmic Trading and DMA: An introduction to direct access trading strategies - Barry Johnson
- Volatility Trading - Euan Sinclair
- Trading and Exchanges: Market Microstructure for Practitioners - Larry Harris
- Algorithmic Trading Complete Self-Assessment Guide - Gerardus Blokdyk
- High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems - Irene Aldridge
- The Problem of HFT: Collected Writings on High Frequency Trading & Stock Market Structure Reform - Haim Bodek
Time series analysis and financial econometrics are key components in modern algorithmic trading. - Time series analysis plays a central role in the prediction and forecasting of asset prices. Time series analysis techniques are widely used in quantitative finance, both in asset management and in quant hedge funds, for forecasting purposes. Understanding the theory and practice of statistical time series analysis financial econometris are essential parts of the skill set of the "compleat" quantitative trader.
The following books include introductory as well as more advanced texts on time series and econometrics all they way through to the mathematical niceties of advanced multivariate time series theory.
- Schaum's Outline of Statistics and Econometrics - Dominick Salvatore, Derrick Reagle
- Introductory Econometrics for Finance - Chris Brooks
- Introduction to Time Series and Forecasting - Peter Brockwell, Richard Davis
- Time Series Analysis: Forecasting and Control - George E. P. Box, Gwilym M. Jenkins, Gregory C. Reinsel, Greta M. Ljung
- Analysis of Financial Time Series (3rd Ed.) - Ruey Tsay
- Multivariate Time Series Analysis: With R and Financial Applications - Ruey Tsay
- Time Series Analysis - James Douglas Hamilton
- The Analysis of Time Series: An Introduction, Sixth Edition - Chris Chatfield
- Time Series Analysis and Forecasting by Example - Søren Bisgaard, Murat Kulahci