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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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macrocephalopod‏ @macrocephalopod 15 Jun 2021

I really have to add the two books that convinced me to go into quant finance when I read them back in ~2006. First "My Life as a Quant" by @EmanuelDerman which blends descriptions of options pricing models with great autobiographical colorhttps://www.amazon.com/My-Life-Quant-Reflections-Physics/dp/0470192739/ref=tmm_pap_swatch_0?_encoding=UTF8&qid=1623793070&sr=8-1 …

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Choubris‏ @choubris 16 Jun 2021

Replying to @macrocephalopod

Thanks for sharing this list. Very interesting for someone like me with a software background. What were the alternative options you considered when you made the choice in 2006?

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macrocephalopod‏ @macrocephalopod 16 Jun 2021

Replying to @choubris

Academia, management consulting, non-quant finance (eg sell-side derivatives trader). Back when all those things were still prestigious…

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macrocephalopod‏ @macrocephalopod 16 Jun 2021

Replying to @macrocephalopod @choubris

I couldn’t really code (background was applied math and physics) or I would have been considering software too — but remember this was ~5 years after the dot com crash and just ~2 years after Facebook was founded, “tech” wasn’t such an obvious career choice back then

1:34 AM - 16 Jun 2021

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1. Choubris‏ @choubris 16 Jun 2021
  Replying to @macrocephalopod
  
  Thank you very much for explaining!
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