Top Books for Quants, plus HFT and Flash Crash Freebies

Quantnet just published their list of best selling books, and it was good to see "Nerds on Wall Street" on there, along with some classics like 'Liar's Poker".

Two authors were there twice, Dan Stefanica and Steve Shreve, who wrote on the Mathematics of Financial Enginneering, and Stochastic Calculus. If I was a bragging kind of guy, I'd say I was in third place, since "How I Became a Quant" is on there along with NOWS, and while HIBQ is credited to the editors, I wrote the first chapter of 24 in the book, so I can say I'm on the Quantnet list 1.04167 times.

I got the first chapter slot because the editor's charming and literate wife thought it had more laughs than the others and might sell a few books. Who knows? I hear Snooki gets $50K to show up and pass out.

Very technical stuff for the most part. Lots on what John O'Brien calls "financial engineering, with a small 'f' & small 'e'", i.e., option and derivative pricing.

 

Here are a few more volumes to add to the list for a broader set of topics:

Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk - Grinold & Kahn

    An owner's manual for quantitative equity portfolios. A standard reference.

The Econometrics of Financial Markets - Campbell, Lo & MacKinlay

    Many of us like to try the new new thing - neural nets, wavelets, genetic programs, machine learning and the rest. I'm certainly part of that group, but it's always a good idea to know the math. Lots of the latest often turns out to be statistical. One neural net researcher says he knows it's statistics, but "I create artificial neural nets" is so much better at cocktail parties.

All About High Frequency Trading - Durbin

High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems - Aldridge

    HFT is mostly in the "Those that know, don't tell. Those that tell, don't know." phase of its life, so there are no texts like the two above. These two books tell some.

SEC/CFTC Flash Crash Reports

A May report on Preliminary Findings Regarding the Market Events of May 6, 2010

And September's FINDINGS REGARDING THE MARKET EVENTS OF MAY 6, 2010

By far the best values on these lists (free). A detailed and illustrated look at the stangest minutes in market history. Sample below shows Accenture trading at $30 and a penny in the same second. Can't blame Tiger for this money shot.

 

(SEC/CFTC Preliminary report, page 35)

 

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For those with more space on the bookshelf, Quantnet also published a list of 150 or so books on the Goldman Sachs reading list

Thanks to Bernard Donefer, a professor at CUNY’s Baruch College in New York City for sending the list

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