Algo-trading resources - books
On 25 August 2024 - tagged resources
Starting with algo-trading is hard. As this field is highly competitive and quickly evolving, there are not many quality resources available. Many people are publishing their tips and tricks on Twitter, but many of the people have little real experience in the field and only pretend to be experts to get attention (larpers). You have to be very lucky to find a good account of an experienced algo-trader, who is not shitposting all the time :).
When someone has good insight or actual "alpha", this is very rarely shared. When people share easily actionable insight (eg. AMM pool with good rewards), the opportunity quickly gets overcrowded and disappears. So quant experts often share just their general experience and mental models, without any directly applicable advice.
We believe there is only one way to learn algo-trading: by actually doing it. Either by trading on your account, or, preferrably, in a good trading firm. This way, you can get feedback and learn much faster. As getting into a good firm is hard, you can also read books from renowned authors.
Marcos Lopez de Prado: Advances in Financial Machine Learning #
Great book on machine learning models from 2018. Doesn't cover any latest LLM developments, but it's a great starting point for anyone interested in ML modelling. Contains ideas for features engineering, data preprocessing and model evaluation.
Ernest P. Chan: Quantitative Trading #
Nice introductory book going over backtesting basics, strategy evaluation and execution. The book also goes over a few basic types of strategies such as trend following, mean reversion or HFT.
Ernie Chan: Algorithmic Trading: Winning Strategies and Their Rationale #
This book is mostly about mean-reversion and momentum strategies in greater depth.
Bouchaud et. al: Trades, Quotes and Prices: Financial Markets Under the Microscope #
Very good book on market microstructure. It is quite math heavy and I didn't find all of the mathematical models of the market useful. I would recommend this book for anyone interested in HFT, arbitrage or market-making. For longer timeframe trading, you can skip or skim this book.
Barry Johnson: Algorithmic Trading and DMA #
Pretty deep book on optimal execution and minimizing market impact and execution costs. It focuses on execution strategies like TWAP, VWAP and shortfall variants and covers relevant market microstructure. It also goes over portfolio strategies and new trading. Useful especially for longer timeframe trading with bigger sizing or for anyone having issues with strategy execution.
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