macrocephalopod on Twitter: "Hmm, Trading and Exchanges is not a quant book. Useful info but not what I'm going for here. The MLdP book ... let's just say that I think about as highly of that as I do of its author.… https://t.co/fYWNBsm3Dr"

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macrocephalopod‏ @macrocephalopod 15 Jun 2021

"Expected Returns" by Antti Ilmanen is a great overview of an important area that is neglected by most other quant books -- how to model and forecast expected returns. It has in depth overviews of at least a dozen quant strategies, with data analysishttps://www.amazon.com/Expected-Returns-Investors-Harvesting-Rewards/dp/1119990726/ref=sr_1_1?dchild=1&keywords=expected+returns&qid=1623790245&s=books&sr=1-1 …

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macrocephalopod‏ @macrocephalopod 15 Jun 2021

"Active Portfolio Management" by Grinold and Kahn is dated now but still a classic. Contains the basic framework for quantitative management of risk and return in a portfolio, including factor models and portfolio optimizationhttps://www.amazon.com/Active-Portfolio-Management-Quantitative-Controlling/dp/0070248826/ref=sr_1_1?dchild=1&keywords=active+portfolio+management&qid=1623790436&s=books&sr=1-1 …

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macrocephalopod‏ @macrocephalopod 15 Jun 2021

"Quantitative Equity Portfolio Management" by Chincarini and Kim is the next book to go to for quant equity strategies. It contains all the info from G&K but goes into a lot more detailhttps://www.amazon.com/Quantitative-Equity-Portfolio-Management-Construction/dp/0071459391/ref=sr_1_1?dchild=1&keywords=quantitative+equity+portfolio+management&qid=1623790567&s=books&sr=1-1 …

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macrocephalopod‏ @macrocephalopod 15 Jun 2021

(Many people instead recommend the similarly named book by Qian, Hua and Sorensen, which I haven't read but I am told is very good)https://www.amazon.com/Quantitative-Equity-Portfolio-Management-Applications/dp/1584885580/ref=sr_1_2?dchild=1&keywords=quantitative+equity+portfolio+management&qid=1623790668&s=books&sr=1-2 …

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macrocephalopod‏ @macrocephalopod 15 Jun 2021

If you are going to be doing anything related to fixed income then "Interest Rate Markets" by Siddhartha Jha is a great place to start, it covers bonds, futures and swaps and the basics of carry trades, hedging and relative valuehttps://www.amazon.com/Interest-Rate-Markets-Practical-Approach/dp/0470932201/ref=sr_1_1?crid=2ALX5VKQQH3BS&dchild=1&keywords=interest+rate+markets&qid=1623790757&sprefix=interest+rate+markets%2Cstripbooks-intl-ship%2C230&sr=8-1 …

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macrocephalopod‏ @macrocephalopod 15 Jun 2021

These days you will inevitably need to know some ML and "Elements of Statistical Learning" by Hastie & Tibshirani is still as good an introduction as any other book I can recommend on the subjecthttps://www.amazon.com/Elements-Statistical-Learning-Prediction-Statistics/dp/0387848576/ref=sr_1_1?crid=27T4L33K4H5DN&dchild=1&keywords=hastie+tibshirani&qid=1623791053&sprefix=hastie+tib%2Caps%2C238&sr=8-1 …

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macrocephalopod‏ @macrocephalopod 15 Jun 2021

Finally, not a book, but if you read and understand the ~100 page overview of the Barra risk model, you will have a better understanding of equity factor models than most professional quants (thanks to @mediocrequant for the tip) http://www.alacra.com/alacra/help/barra_handbook_US.pdf …

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macrocephalopod‏ @macrocephalopod 15 Jun 2021

Obviously this is biased to my experiences and preferences. It also assumes a decent knowledge of linear algebra, calculus, statistics and probability so if you don't have that, you probably won't get much out of this.

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macrocephalopod‏ @macrocephalopod 15 Jun 2021

Finally it is geared towards quants who are going to work on strategies with a multi-day time horizon. I simply don't think that there are any good books covering HFT or mid-frequency, although very happy to be corrected.

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Will Dearden‏ @_wdearden 15 Jun 2021

Replying to @macrocephalopod

None really hit the spot. Best I know are Harris's Trading and Exchanges and de Prado's financial ml book. Cris Doloc's Comp. Intell. book has good references. Ait-Sahalia's HF Fin. Econometrics book is way too mathy and focused on fitting vol models.

1 reply 0 retweets 2 likes

macrocephalopod‏ @macrocephalopod 15 Jun 2021

Replying to @_wdearden

Hmm, Trading and Exchanges is not a quant book. Useful info but not what I'm going for here. The MLdP book ... let's just say that I think about as highly of that as I do of its author.

2:27 PM - 15 Jun 2021

1 reply 0 retweets 1 like

1. Will Dearden‏ @_wdearden 15 Jun 2021
  Replying to @macrocephalopod
  
  The code is poor in that book. He points at some useful features and transformations. I ignored areas where he was clearly inventing stuff.
  
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