I’ve said it before, and I’ll say it again: quantitative trading is a precise, mathematical field that really requires a quantitative mind to excel. Quantitative trading requires human oversight to ensure that the programs fed into automated machines run smoothly. It’s an incredibly complex process that I attempted to break down in my four-part series introducing the topic. However, for those seeking a deeper understanding of the subject, it may be worth your time to check out one of the books written on quant trading. As niche a sector of the stock market as quant trading is, it is incredibly powerful in terms of influencing dealing costs and improving liquidity. Therefore, a surprising number of authors have shared their insight on the subject. Whether you’re an aspiring quantitative trader, an established professional, or just someone with a curious interest to learn more, consider checking out one of these quantitative trading reads!
- The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It by Scott Patterson (2010)
No, this is not a fictional account of a group of quantitative trader friends, as the title might imply. Rather, it tells the true story of four math geniuses who became the new kings of Wall Street in their own rights. This is the story of Peter Muller, Kevin Griffin, Cliff Asness, and Boaz Weinstein who came to represent a new breed of traders and change the face of Wall Street, for better or worse. This story takes on an ominous tone as it recounts how these men lost most of their net worth during the Financial Crisis of 2008 and underscores the volatility of the stock market- how even their “dizzying, indecipherable-to-mere-mortals cocktail of differential calculus, quantum physics, and advanced geometry” that they fed into automated machines could not have predicted the historic economic downturn. Despite its foreboding message, this book is a fascinating look into the inner workings of Wall Street and the geniuses behind the numbers.
2. Algorithmic Trading: Winning Strategies and Their Rationale by Ernie Chan (2013)
This book is a great resource for experienced quantitative traders and beginners alike. Chan, a seasoned expert, provides a lucid, straightforward description of the concepts and strategies that drive quantitative trading using real examples to simplify one’s understanding. According to mathematician and algorithmic trader Roger Hunter, “For serious retail traders, I know of no other book that provides this range of examples and level of detail.”
3. Inside the Black Box: A Simple Guide to Quantitative and High Frequency Trading by Rishi K. Narang (2013)
This simple insight into quantitative trading is great for anyone interested in learning more about the processes that go into quantitative trading without necessarily having an understanding of its complex equations. It demystifies quantitative trading and the work that quant traders do to influence stocks, putting them into layman’s terms. The mechanics of quantitative trading that Narang describes may be common knowledge to already-established quant traders, but consider this book required reading if you’re just getting started as a quantitative trader or are aspiring to this career.
4. Quantitative Trading with R: Understanding Mathematical and Computational Tools from a Quant’s Perspective by Harry Georgakopoulos (2015)
Perfect for programmers, Georgakopoulos’ book gives a step-by-step strategy for understanding complex quantitative trading issues and crafting one’s own programs to solve those problems. Georgakopoulos pours his expert knowledge as a professor and high-frequency trader into his book, guiding readers through the math, data analysis, finance, and programming concepts needed to successfully implement a strategy. By the end of the book, any reader truly dedicated to researching, analyzing, backtesting, and coding their own trading strategies will be able to do so.