Book recommendations for quantitative trading strategies
Book recommendations for quantitative trading strategies
A few book recommendations to get started with quantitative trading strategies.
Use these books to create personal projects and impress your interviewers.
1. Algorithmic Trading
This is the best book for beginners to get started with quantitative trading strategies. Dr Ernest P. Chan is highly renown in the industry. The book walks through simple strategies such as mean-reversion and momentum. It is the first quant book that I read and I highly recommend it.
2. High-Frequency Trading
Great book which provides an insight on the mysteries of high-frequency trading and market making. One of my key takeaways from this book is that high-frequency trading strategies can have a Sharpe ratio greater than 12. The reasoning is as follows:
Suppose you have a strategy with +EV returns distribution. The more trades you make (i.e HFT), the more your PnL distribution will converge to the +EV returns distribution. Simply the Law of Large Numbers.
3. Inside the Black Box
This book is highly recommended by everyone in the industry. It is less technical but it gives a great insight on the process of research to implementation of a trading strategy.
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