Best books for quantitative trading and algorithmic
Hello everyone, I'm here to ask you for advice on what is the best book or list of books to read on quantitative trading. I would like to know more about indicators to use, methods for quantitative trading, for algorithmic strategy, how to choose stocks and create a portfolio from scratch. I therefore wanted some advice on the best books to read to have deep knowledge on these topics, especially on the indicators to be used (eg Sharpe index) and on everything related to the quantitative trading. Thank you so much for your advice.
LearnToInvest, bummer your thread hasn't had a response yet. Sometimes bots are smarter than humans anyways:
I hope those threads give you a bit more insight.
Honestly... quantative finance for dummies was actually a great book. Definately worth the money. Probably like 25 bucks at Barnes and nobles. Being in finance, I thought it was going to be too elementary but surprising, it brushed up alot on intro to quant finance and trading
Also interested to hear recommendations
Algorithmic Trading by Chan is good. In today's world the strategies probably will not work any more, but the insights in potential strategy design and portfolio allocation are very useful.
Algorithmic Trading & DMA: An Introduction to Direct Access Trading Strategies - Barry Johnson
Really useful book! Talks about microstructures, execution algorithms, routers, etc. Helped me get the big picture
Trading and Exchanges - Harris
Quantitative Trading, Algorithmic Trading, Machine Trading all by E.P. Chan Strategy examples probably won't work exactly but great places to start
Inside the Black Box - Narang (very useful non-technical overview)
What Works on Wall St - O'Shaughnessey (this is probably more what you're looking for in terms of stock picking signals/factors)
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Start with Active Portfolio Management by Grinold and Kahn. Then Quantitative Equity Portfolio Management by Sorensen. If you read and understand both of these books you will have the requisite theoretical background for buyside quant.
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