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Good books for hackers interested in quant finance?

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Re: Good books for hackers interested in quant finance?

#41

Post by apparatchik »

crasshopper wrote: post #37
hugh3 wrote: post #3

Mark Joshi's (markjoshi.com) site has a pretty good set of information for aspiring quants (in particular, see the "advice for aspiring quants" bit). The "careers" forum on nuclearphynance.com is also pretty good, and might also shatter some preconceptions about how easy it is to waltz into the industry. (note: nuclearphynance seems to be down at the time of writing)

Here is a reddit link that collects a few quants (from nuclear phynance mostly) saying that the labour market, especially the junior labour market, is tight and not likely to expand any time soon: http://www.reddit.com/r/quantfinance/comments/jl5ea/there_ar... If there's a SE, discussions on HN, thousands of MFE's being minted, and so many books on quant finance topics, you really have to wonder if the quant labour m…

If this is true (and I agree with you somewhat) what are the new MFE graduates from Asia and here in the USA doing with their expensive degrees if they can't find a job as quant?

Re: Good books for hackers interested in quant finance?

#42

Post by pg_bot »

The best resource for mastering probability, and financial mathematics are Yufeng Guo's guides to passing actuarial exams. He takes the hacker approach to teaching fairly difficult concepts so you can focus on solving problems quickly. Most of the books recommended here are too traditional in their approach,(boring) this is a true hacker guide to learning how to frame problems correctly and then the math needed to solve them. If you are a decent programmer you can figure out the application afterward. I used them to pass the introductory actuarial exams and they are awesome.

Here is his page on actex, take a look at some of the previews and I think you will be sold. http://www.actexmadriver.com/contributorinfo.cfm?ContribID=8...

Re: Good books for hackers interested in quant finance?

#43

Post by justnoise »

joshu wrote: post #31

People think all quant finance is the same as HFT. It's not. A big part of algorithmic trading and stat arb is portfolio management, including deriving alpha, building risk models, etc. The bible is: http://www.amazon.com/Active-Portfolio-Management-Quantitati...

Exactly. Where I used to work, anyone without a quant background would be urged to buy a copy of Grinold and Kahn the bible you suggested above or "Quantitative Equity Portfolio Management" by Chincarini and Kim.

Re: Good books for hackers interested in quant finance?

#44

Post by hugh3 »

apparatchik wrote: post #41
crasshopper wrote: post #37

Earlier quoted context omitted.

Here is a reddit link that collects a few quants (from nuclear phynance mostly) saying that the labour market, especially the junior labour market, is tight and not likely to expand any time soon: http://www.reddit.com/r/quantfinance/comments/jl5ea/there_ar... If there's a SE, discussions on HN, thousands of MFE's being minted, and so many books on quant finance topics, you really have to wonder if the quant labour m…

If this is true (and I agree with you somewhat) what are the new MFE graduates from Asia and here in the USA doing with their expensive degrees if they can't find a job as quant?

I'm sure the idea that there are no jobs out there is exaggerated. A MFE graduate can still find a position somewhere in a bank doing something vaguely related to finance. But the days when anyone vaguely familiar with PDEs could waltz into a bank and quickly start earning $300K may be drawing to a close.

There will, however, always be lucrative jobs for those who are truly brilliant and willing to work on stuff which is kinda boring.

Re: Good books for hackers interested in quant finance?

#45

Post by hugh3 »

apparatchik wrote: post #41
crasshopper wrote: post #37

Earlier quoted context omitted.

Here is a reddit link that collects a few quants (from nuclear phynance mostly) saying that the labour market, especially the junior labour market, is tight and not likely to expand any time soon: http://www.reddit.com/r/quantfinance/comments/jl5ea/there_ar... If there's a SE, discussions on HN, thousands of MFE's being minted, and so many books on quant finance topics, you really have to wonder if the quant labour m…

If this is true (and I agree with you somewhat) what are the new MFE graduates from Asia and here in the USA doing with their expensive degrees if they can't find a job as quant?

I'm sure the idea that there are no jobs out there is exaggerated. A MFE graduate can still find a position somewhere in a bank doing something vaguely related to finance. But the days when anyone vaguely familiar with PDEs could waltz into a bank and quickly start earning $300K may be drawing to a close.

There will, however, always be lucrative jobs for those who are truly brilliant and willing to work on stuff which is kinda boring.

Re: Good books for hackers interested in quant finance?

#48

Post by jcardente »

Ernie Chan's book, "Quantitative Trading: How to Build Your Own Algorithmic Trading Business ", is a good starting point. It's a nice blend of theory and pragmatic practice. Chan provides example implementations in Matlab to help readers get started.

http://www.amazon.com/Quantitative-Trading-Build-Algorithmic...

Chan's blog is informative as well,

http://epchan.blogspot.com/

Re: Good books for hackers interested in quant finance?

#49

Post by dxbydt »

I am a quant. I work at a bank. We do a fair amount of portfolio optimization & price-analytics, in Scala, Matlab,C++, CPLEX. Its not hard to get your feet wet with financial modeling, though reasoning about the models does take an MFE or comparable education.

For example, here's a tiny scala pricer I coded up in 5 minutes to spit out the price of a google at-the-money call expiring 47 days from now, on Dec 17 using a 10k Monte-Carlo simulation.

--

val risk = 0.28 // google has a 28% implied vol

val T = 47.0/365 // 47 days annualized

println((1 to 10000).toList.map(_=>Random.nextGaussian).map(x=>595 * exp((-risk * risk/2) * T + risk * sqrt(T) * x)).map(x=>max(0,(x-595))).sum/10000)

--

Output: $23 & change ( its selling at about $23 right now )

To veyron's excellent list, I'd add Brandimarte's "Numerical Methods in Finance".

Re: Good books for hackers interested in quant finance?

#50

Post by joncooper »

veyron wrote: post #25

You need to be a little more specific regarding your interests and background. If you are interested in theory, there are plenty of books discussing specific models. However, most practical or buzzword (e.g. HFT) books are rubbish (think about it: if you have a profitable operation, why would you write a book? Unless, like me, you have a screw loose :P ) If you want some practical discussions, "Trading and Exchanges"…

John Hull is canon. Read it, live it, love it, keep it under your pillow. It is truly superb.

Nassim Taleb's "Dynamic Hedging" is the finest book I'm aware of on the subject of actually trading/managing vol portfolios. It's REALLY good. And dense.

"Paul Wilmott on Quantitative Finance" vol 1-3 are worth having as a reference, perhaps.

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