"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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Now I’ve read it I’d add Trading at the Speed of Light (MacKenzie) which is amazing background reading for anyone thinking of going into HFThttps://www.amazon.co.uk/dp/0691211388/ref=cm_sw_r_cp_api_glt_fabc_HSYP91NNH409YFB10AR8 …
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When Genius Failed: The Rise and Fall of Long-Term Capital Managementhttps://www.amazon.com/dp/0375758259/ref=cm_sw_r_tw_apa_glt_fabc_Q2AY30GZZ8M9CB854G6B?_encoding=UTF8&psc=1 …
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No Lopez de Prado?
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Hello, please find the unroll here: A while ago I said I'd do a thread of recommended books for people… https://threadreaderapp.com/thread/1404908537835360257.html … Share this if you think it's interesting.
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Frank Portnoy’s “Fiasco: The Inside Story…” was a better read for me.
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Was just looking at
@therobotjames book thread to recommend to someone and went into this. Funny story, at my family home a couple of days ago in my room from when I was at college (so now) I found a hardback of this book. Prob the first or second run. -
Have the same for the big short, greatest trade ever. Along with physical copies of ugly Americans (embarrassing but that was one of the books that got me into the industry). My well read copy of trading and exchanges seems to have gone, that one was a belter.
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