Good books for hackers interested in quant finance?

#1

Post by cioc » Mon, Oct 31, 2011, 3:55 PM UTC

What are some good books/papers to read for someone who knows little about quantitative finance but would like to know more. More specifically, what are good books for those who have a solid math and cs background.

Re: Good books for hackers interested in quant finance?

#2

Post by reverend_gonzo » Mon, Oct 31, 2011, 4:30 PM UTC

Check out the quant.stackexchange.com site. There's a bunch of similar questions there with good answers: http://quant.stackexchange.com/search?q=books

Also, http://quant.ly/ is essentially Hacker News for quants and often has interesting articles.

Re: Good books for hackers interested in quant finance?

#3

Post by hugh3 » Mon, Oct 31, 2011, 4:32 PM UTC

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)

Re: Good books for hackers interested in quant finance?

#4

Post by b_emery » Mon, Oct 31, 2011, 4:40 PM UTC

There is a great list here:

http://blog.hiremebecauseimsmart.com/post/2860511335/design-...

Note, scroll way down to see the content, the formatting is screwy. Note 2, I'm not a quant but the math I do overlaps tremendously.

edit: previous HN discussion: http://news.ycombinator.com/item?id=2130508

Re: Good books for hackers interested in quant finance?

#5

Post by notyourwork » Mon, Oct 31, 2011, 4:43 PM UTC

reverend_gonzo wrote: post #2

Check out the quant.stackexchange.com site. There's a bunch of similar questions there with good answers: http://quant.stackexchange.com/search?q=books Also, http://quant.ly/ is essentially Hacker News for quants and often has interesting articles.

Thanks, I did not realize this SE existed!

Re: Good books for hackers interested in quant finance?

#6

Post by dangerboysteve » Mon, Oct 31, 2011, 4:45 PM UTC

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.

Re: Good books for hackers interested in quant finance?

#7

Post by king_magic » Mon, Oct 31, 2011, 4:45 PM UTC

The Complete Guide to Capital Markets for Quantitative Professionals

http://www.amazon.com/Complete-Quantitative-Professionals-Mc...

Great book. It's what I recommend to my new developers when we hire them without previous financial services experience.

Re: Good books for hackers interested in quant finance?

#8

Post by SkyMarshal » Mon, Oct 31, 2011, 4:47 PM UTC

Any of Paul Wilmott's books. Either his single Introduction to Quantitative Finance, or his three volume set. His focus is on knowing where models work and where they break down, and how to avoid using them naively. http://wilmott.com/

Re: Good books for hackers interested in quant finance?

#9

Post by JabavuAdams » Mon, Oct 31, 2011, 4:51 PM UTC

Trading and Exchanges: Market Microstructure for Practitioners.

http://www.amazon.com/Trading-Exchanges-Market-Microstructur...

I'm finding this a more interesting and detailed read than _Capital Markets for Quantitative Professionals_. For instance, the book traces through everything that happens when placing, executing, and settling typical trades.

On the other hand, I've taken the Canadian Securities Course, so perhaps Capital Markets is a better introduction for total beginners.

Re: Good books for hackers interested in quant finance?

#10

Post by nhebb » Mon, Oct 31, 2011, 4:59 PM UTC

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.

Disclaimer: I'm not a quant and don't know where to source data on this topic.

But from what I'e read, the size of the derivatives market was approximately 5-6X global GDP in the mid 00's. Now, it's over 20X global GDP. If that market ever crashed, we'd be looking back at the crash of '08 as 'good times'.