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FROM THE SHARED SHELF · 2006–2026 SAMPLE

Quantitative Trading

Ernest P. Chan

2 readers recommend it across 2 discussions

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Original Hacker News comments, in the readers’ own words.

meifun
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"…
rfurlan
Books I would recommend for beginners: Evidence Based Technical Analysis: http://www.amazon.com/Evidence-Based-Technical-Analysis-Scie... (http://www.amazon.com/Evidence-Based-Technical-Analysis-Scientific-Statistical/dp/0470008741) Pairs Trading: http://www.amazon.com/Pairs-Trading-Quantitative-Methods-Ana... (http://www.amazon.com/Pairs-Trading-Quantitative-Methods-Analysis/dp/0471460672) Quantitative Trading: http://www.amazon.com/Quantitative-Trading-Build-Algorithmic... (http://www.amazon.com/Quantitative-Trading-Build-Algorithmic-Business/dp/0470284889) An Introduction to High Frequency Finance: http://www.amazon.com/Introduction-High-Frequency-Finance-Ra... (http://www.amazon.com/Introduction-High-Frequency-Finance-Ramazan-Dacorogna/dp/0122796713) Trading and Exchanges: Market Microstructure for Practitioners: http://www.amazon.com/Trading-Exchanges-Market-Microstructur... (http://www.amazon.com/Trading-Exchanges-Market-Microstructure-Practitioners/dp/0195144708) I also wrote a couple of very introductory articles, sadly I never got past part #2:…