macrocephalopod on Twitter: "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 HFT https://t.co/e4dvzcAshg"

Country	Code	For customers of
United States	40404	(any)
Canada	21212	(any)
United Kingdom	86444	Vodafone, Orange, 3, O2
Brazil	40404	Nextel, TIM
Haiti	40404	Digicel, Voila
Ireland	51210	Vodafone, O2
India	53000	Bharti Airtel, Videocon, Reliance
Indonesia	89887	AXIS, 3, Telkomsel, Indosat, XL Axiata
Italy	4880804	Wind
3424486444	Vodafone
» See SMS short codes for other countries

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 …

4 replies 1 retweet 54 likes

Show this thread

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 …

1 reply 1 retweet 40 likes

Show this thread

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 …

1 reply 0 retweets 41 likes

Show this thread

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 …

3 replies 2 retweets 71 likes

Show this thread

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 …

2 replies 1 retweet 60 likes

Show this thread

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 …

2 replies 13 retweets 149 likes

Show this thread

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.

2 replies 0 retweets 25 likes

Show this thread

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.

10 replies 0 retweets 28 likes

Show this thread

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 …

3 replies 2 retweets 56 likes

Show this thread

macrocephalopod‏ @macrocephalopod 15 Jun 2021

Second "Traders, Guns and Money" by ex-derivatives trader Satyajit Das, which is just a perfect description of the wild west of derivatives markets pre-financial crisishttps://www.amazon.com/Traders-Guns-Money-Unknowns-Derivatives/dp/0273776762/ref=sr_1_1?crid=NKKAGBM3LR10&dchild=1&keywords=traders%2C+guns+%26+money&qid=1623793250&sprefix=traders%2C+gun%2Caps%2C235&sr=8-1 …

8 replies 0 retweets 79 likes

Show this thread

macrocephalopod‏ @macrocephalopod 26 Aug 2021

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 …

11:59 PM - 26 Aug 2021

2 Retweets
33 Likes

1 reply 2 retweets 33 likes

1. Tho Do‏ @thodoha 27 Aug 2021
  Replying to @macrocephalopod
  
  chapter 6 really goes into the strategies stuff in HFT. really eye-opening for me!
  
  1 like
  Thanks. Twitter will use this to make your timeline better. Undo
  
  Undo

Loading seems to be taking a while.

Twitter may be over capacity or experiencing a momentary hiccup. Try again or visit Twitter Status for more information.

Tweets

macrocephalopod