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by alehul 2995 days ago
The combination of algorithmic trading and Chinese makes me really curious about your work environment; sounds awesome!

Could you share your favorite books on algorithmic trading? I've been interested in it for a while.

2 comments

I have been learning Chinese for a few years now :-) I was sick of translating e-mails and documents and not being in on the "inside office humor and wechats". Plus learning Chinese is a stress release for me as I spend time practicing writing with a pen and paper.
I can agree that learning Chinese is a stress release. Just learning the characters by itself is very calming and stress-relieving.

Also, all that Chinese Internet humor is a reward :-D

My guess is he has "Algorithmic Trading & DMA" and "Trading and Exchanges". Both are excellent.
I have the Ernest Chan books.

"Options, Futures, and Other Derivatives (10th Edition)"

and a few other Economics and Finance books. Happy to share a complete list if anyone really wants it.

Here are the books on my desk:

C++:

"The C++ Programming Language", Stroustrup

"Programming: Principles and Practice Using C++", Stroustrup

Quant:

"Quantitative Trading", Dr. Ernest Chan

"Algorithmic Trading", Dr. Ernest Chan

"Machine Trading: Deploying Computer Algorithms to Conquer the Markets", Dr. Ernest Chan

"Advances in Financial Machine Learning", Marcos Lopez de Prado

"Options, Futures and Other Derivatives (10th edition)", John C. Hull

Buddhism:

"Open Heart, Clear Mind", Thubten Chodron

"Buddhism For Beginners", Thubten Chodron

"Working with Anger", Thubten Chodron

Reading For Pleasure:

"Naked Statistics", Charles Wheelan

"Algorithms to Live By", Brian Christian and Tom Griffiths

"Dark Pools"

"The Quants", Scott Patterson

"The Physics Of Wall Street", James Owen Weatherall

Plus some Chinese books, I wont bore with the details, unless anyone wants to know. Fun Fact, while I was in China for 8 weeks in late 2017 I bought 60 Chinese books and stuffed them in a suitcase. It cost me $4,000RMB (~$604 USD) to check all of my stuff and purchases home :-)

The Math books are:

"Discrete math", Susan Epp

"Discrete with Ducks"

various Calc books. If you want to learn math, find books that work for you. We all learn differently here.

My opinion: The Chan books are just amazing. Thought provoking and motivational. I am still reading the Prado book.

My opinion 2: If you ever want to slow down in life and learn what you are about, read about Buddhism. I'm not trying to start a flame war. It just works for me. It isn't being told what to believe because that is the way it is. I feel Buddhism lets me explore myself to find the right answers that work for me. Since studying my anger levels are in check. I am a better Husband. My wife comes first always.

I would be interested to know if there was a 'gold standard'/'bible' of finance books for someone who knows very little, but doesn't mind a technical read.
This isn't general finance, but 'The Intelligent Investor' by Benjamin Graham is recommended a lot - some of it's uninteresting, but there are a few really useful/interesting sections!
In terms of Company Valuation (for cash flowing companies, not startups), the bible in that world is "Valuation (McKinsey & Co)"

https://www.mckinsey.com/business-functions/strategy-and-cor...

I would like to hear the complete list :)
See above.
yes can you share the complete list for finance and math books?
See above.