A complex area for the beginners, algorithmic trading, covers a vast range of disciplines. However, there should be certain aspects required for a significant degree of statistical and mathematical maturity. In the real world, the overall concept of algorithm and trading are very straightforward for gasping. However, the details can be learned in an ongoing and iterative way.
Its beauty is that there’s no requirement for testing the knowledge on the real capital, for brokerages offer realistic market simulators. There are, however, certain caveats associated with systems. But they only offer an environment for fostering a great level of understanding sans capital risks.
Studying it requires getting some detailed information. To get the best help here’s presenting the best books.
1. Quantitative Trading
It happens to be one of the most popular finance books as of now. Chan has provided an amazing overview of the setting-up process of the “retail” quantitative trading method. Dr. Chan makes this subject amazingly approachable by giving the impression anyone to do it instantly.
However, this book comes with inclusive detailing. But these can be skipped over, thus making it one of the great introductions to the working procedure of algorithmic trading.
The writer also explains about the alpha generation, automated execution systems, certain strategies, and risk management. If you’re someone to initiate with the subject, this books is the best bet.
2. Inside the Black Box
This book explains the details about how the professional quantitative hedge fund actually proceeds with its operation. The book is pitched at the savvy investor considering whether or not to invest in the ‘black box’.
Despite apparent insignificance of the retail trader, this particular book contains information on the proper quant trading system and how that should be carried forward brilliantly.
3. Algorithmic Trading & DMA
In the industry of finance, the term refers to execution algorithms utilized by the banks as well as brokers for executing effective trades. The book primarily focuses on quantitative software development. And you would require possessing an in-depth understanding of the working process of exchanges.
You would also require knowing how the ‘market microstructure’ aids the profitability of the retail strategies immensely. The language might sound a heavy tome, but picking it up is worth your investment.
4. Algorithmic Trading
It happens to be the second book by famous Dr. Chan that is in this particular list. He eluded to mean reversion, high-frequency strategies, and momentum in his first book. However, in this book, he explains strategies deeply and gives details on significant implementation with more complexity on the mathematical front.
These strategies make the best use of MatLab. However, the code might get easily modified to Python or pandas, C++, or R for the ones having enough programming experiences. The book, moreover, sheds lights on the updates on the latest behavior of the market.
5. Trading and Exchanges
This book solely concentrates more on the market microstructure. This particularly is an essential area to give more importance for learning, even if you’re a beginner in quant trading. Talking about market microstructure, it happens to be a “science” of how the market participants proceed further with the interactions and how dynamics occur.
The book is also related to the exchanges function and what happens when the placement of trade is made. While the book is a bit lesser about the strategies included in trading, it explains how to be aware of the systems of designing execution.
Wrap up
Thus, this comprises everything to know about the best books related to algorithmic trading.
