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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?

#51

Post by joncooper »

joncooper wrote: post #50
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.

Let me add also:

"Analysis and Use of Financial Statements" by White, Sondhi and Fried.

It has nothing to do with computational finance but knowing more than nothing about financial statements and how to think about what a company actually IS can only help you in the long run. Also, it's quite interesting.

Re: Good books for hackers interested in quant finance?

#52

Post by veyron »

joncooper wrote: post #51
joncooper wrote: post #50

Earlier quoted context omitted.

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.

Let me add also: "Analysis and Use of Financial Statements" by White, Sondhi and Fried. It has nothing to do with computational finance but knowing more than nothing about financial statements and how to think about what a company actually IS can only help you in the long run. Also, it's quite interesting.

If you are going to go that route, I'd point to Brealey and Myers "Principles of Corporate Finance".

Re: Good books for hackers interested in quant finance?

#54

Post by achompas »

veyron wrote: post #27
achompas wrote: post #11

Isn't veyron a quant (or someone who works in finance)? I'm hoping to see a response from him/her.

I probably should have replied to this post, but I gave some recommendations in a post to the parent

Thanks for the detailed response. Do you mind if I email you a couple of questions?

Re: Good books for hackers interested in quant finance?

#55

Post by veyron »

achompas wrote: post #54
veyron wrote: post #27

Earlier quoted context omitted.

I probably should have replied to this post, but I gave some recommendations in a post to the parent

Thanks for the detailed response. Do you mind if I email you a couple of questions?

go ahead. my email is intransigence123@gmail.com

Re: Good books for hackers interested in quant finance?

#56

Post by crasshopper »

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 saw a bunch of doggie positions at Fidelity for "lower" MFE holders. You can also check up on at least one: Joy Pathak wrote for QuantNet about his experiences doing the Baruch MFE. Jim Liew is running the Alpha Quant Club along with that pack ... those are just a couple people you can stalk.

But I suspect it's just like those who finish a law degree and then can't get a (good enough) job in law: not the university's problem, and they're ashamed they ended up in the bottom 50% of their class.

Re: Good books for hackers interested in quant finance?

#57

Post by crasshopper »

hugh3 wrote: post #44
apparatchik wrote: post #41

Earlier quoted context omitted.

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 whic…

The NP posts don't say there are no jobs -- just that junior quant has 1000+ applicants per position.

Jane Street still jingles its bells up at MIT, but for those who are less than six stdev's IQ or don't live in NYC / London, I would say focus on petroengineering instead of quant finance. (Petroengineering is the highest paying college major.)

Re: Good books for hackers interested in quant finance?

#58

Post by zeta »

eykanal wrote: post #23
zeta wrote: post #22

Causality by Judea Pearl, Probability by Jaynes & Elements of Information Theory by Cover. The above will help you design trading strategies. For modelling derivatives and such, you'll have to check out books on stochastic calculus (not my thing, so can't help there).

I own and have read Pearl's book "Causality", and it does not relate to finance at all. It's a good book otherwise, though.

It doesn't relate to finance directly. But can be very useful for designing trading strategies.

Re: Good books for hackers interested in quant finance?

#60

Post by sambe »

dangerboysteve wrote: post #6

I thought the last crash basically trashed Quants and the idea you can model financial system :) If you are looking into getting into high frequency trading take note that the world's exchanges are changing to crack down on some of the practices.

I think in general it is governments and regulators who are (attempting/pretending to be) cracking down, not exchanges. Exchanges continue to get faster, and offer premium services to those who need it.
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