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Successful
Algorithmic Trading
How to &nd new trading strategy
ideas and objectively assess them
for your portfolio using a Python-
based backtesting engine.
Find Out More
Advanced
Algorithmic Trading
How to implement advanced
trading strategies using time series
analysis, machine learning and
Bayesian statistics with R and
Python.
Find Out More
General Quant Finance Reading
Interview Preparation
Quantitative Trading
Econometrics
Mathematical Finance
Interest Rate Derivatives
C++
Python
MATLAB
R
Excel/VBA
General Quant Finance Reading
One area that routinely catches out prospective quants at interview is
their lack of basic financial markets knowledge. It's all well and good
being the best mathematician and programmer on the globe, but if you
can't tell your stock from your bond, or your bank from your fund, you'll
find it a lot harder to pass those HR screenings.
These books also make much better bedtime reading than graduate texts
on stochastic calculus...
The Big Short: Inside the Doomsday Machine
- Michael Lewis
Liar's Poker
- Michael Lewis
When Genius Failed: The Rise and Fall of Long-Term Capital
Management
- Roger Lowenstein
More Money Than God: Hedge Funds and the Making of a New Elite
(Council on Foreign Relations Books (Penguin Press))
 - Sebastian Mallaby

How I Became a Quant: Insights from 25 of Wall Street's Elite

- Richard Lindsey, Barry Schachter

My Life as a Quant: Reflections on Physics and Finance

- Emanuel Derman

Financial Engineering: The Evolution of a Profession (Robert W. Kolb

Series)
- Tanya Beder, Cara Marshall

The Quants: How a New Breed of Math Whizzes Conquered Wall

Street and Nearly Destroyed It
- Scott Patterson

Nerds on Wall Street: Math, Machines and Wired Markets

- David Leinweber

Physicists on Wall Street and Other Essays on Science and Society

- Jeremey Bernstein

The Complete Guide to Capital Markets for Quantitative Professionals

(McGraw-Hill Library of Investment and Finance)
- Alex Kuznetsov

Models.Behaving.Badly.: Why Confusing Illusion with Reality Can Lead

to Disaster, on Wall Street and in Life
- Emanuel Derman

Interview Preparation
On top of needing to be aware of capital markets and how they function,
the mathematics of derivatives pricing and quantitative trading methods,
being able to program in C++ and possibly Python, you also need to study
how to ace that quant interview!

The following books are fantastic resources for getting you prepared.
Make sure you study not only the content of the brainteasers, but also try
deconstructing how they're put together and what you're really being
asked.

Heard on The Street: Quantitative Questions from Wall Street Job

Interviews
- Timothy Crack
 Frequently Asked Questions in Quantitative Finance
- Paul Wilmott

Quant Job Interview Questions And Answers

- Mark Joshi, Nick Denson, Andrew Downes

A Practical Guide To Quantitative Finance Interviews

- Xinfeng Zhou

Starting Your Career as a Wall Street Quant: A Practical, No-BS Guide

to Getting a Job in Quantitative Finance
- Brett Jiu

Cracking the Coding Interview: 150 Programming Questions and

Solutions
- Gayle McDowell

Bank Of America, Canary Wharf, via Harshil.Shah

Quantitative/High-Frequency Trading
The career paths for quants have shifted recently towards direct
quantitative trading and away from derivatives pricing.

Although Black-Scholes theory is still immensely important for hedging

and exotic option pricing purposes, it is now necessary to be intimately
familiar with systematic trading and the firms that employ it.
It is difficult to get hold of information from funds about their trading
strategies (no surprise there!), but these books provide an in-depth
overview into how the "black box" operates.

Successful Algorithmic Trading - Michael Halls-Moore (my book!)

Inside the Black Box: The Simple Truth About Quantitative Trading
(Wiley Finance)
- Rishi Narang

Quantitative Trading: How to Build Your Own Algorithmic Trading

Business (Wiley Trading)
- Ernie Chan

Trading Systems: A New Approach to System Development and

Portfolio Optimisation
- Emilio Tomasini, Urban Jaekle

All About High-Frequency Trading (All About Series)

- Michael Durbin

Quantitative Trading and Money Management, Revised Edition

- Fred Gehm

Algorithmic Trading and DMA: An introduction to direct access trading

strategies
- Barry Johnson

Dynamic Hedging: Managing Vanilla and Exotic Options

- Nassim Nicholas Taleb

Option Volatility & Pricing: Advanced Trading Strategies and

Techniques
- Sheldon Natenberg

Volatility Trading
- Euan Sinclair

Trading and Exchanges: Market Microstructure for Practitioners - Larry

Harris

Econometrics
Financial econometrics is a key component of modern algorithmic trading.
Cutting edge algorithms make extensive use of time-series analysis
techniques for forecasting purposes. Thus, if you wish someday to become
a skilled quantitative trader, it is necessary to have an extensive knowledge
of econometrics.

You can read more about the recommended texts in my article on the Top
10 Essential Resources for Learning Financial Econometrics.

Schaum's Outline of Statistics and Econometrics, 2nd Edition -

Dominick Salvatore, Derrick Reagle

Introductory Econometrics for Finance - Chris Brooks

A Guide to Econometrics, 6th Edition - Peter Kennedy

Basic Econometrics - Damodar Gujarati, Dawn Porter

Econometric Analysis - William Greene

Time Series Analysis - James Douglas Hamilton

Analysis of Financial Time Series - Ruey S. Tsay

Mathematical Finance
This would more accurately be described as financial engineering as the
books listed below relate to derivatives pricing theory.

Although you don't need to read every book below, they are all good. Each
provides a different perspective or emphasis on options pricing theory.

If you know you are definitely going to become a derivatives pricing

quant then you should aim to study as many books from the following list
as possible.

Options, Futures, and Other Derivatives and DerivaGem CD Package

(8th Edition)
- John Hull

A Primer For The Mathematics Of Financial Engineering, Second

Edition
- Dan Stefanica

Solutions Manual - A Primer For The Mathematics Of Financial

Engineering, Second Edition
- Dan Stefanica

Paul Wilmott Introduces Quantitative Finance (The Wiley Finance

Series)
- Paul Wilmott

Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition)

- Paul Wilmott

The Concepts and Practice of Mathematical Finance (Mathematics,

Finance and Risk)
- Mark Joshi

More mathematical finance

- Mark Joshi

Financial Calculus: An Introduction to Derivative Pricing

- Martin Baxter, Andrew Rennie

An Introduction to the Mathematics of Financial Derivatives, Second

Edition (Academic Press Advanced Finance)
- Salih Neftci

Principles of Financial Engineering, Second Edition (Academic Press

Advanced Finance)
- Salih Neftci

Mathematics for Finance: An Introduction to Financial Engineering

(Springer Undergraduate Mathematics Series)
- Marek Capiski, Tomasz Zastawniak

Arbitrage Theory in Continuous Time (Oxford Finance)

- Tomas Bjork

The Complete Guide to Option Pricing Formulas

- Espen Haug
Gherkin and Lloyds Building, London, via Duncan Harris

Interest Rate Derivatives

Interest Rate Models - Theory and Practice: With Smile, Inflation and
Credit (Springer Finance)
- Damiano Brigo, Fabio Mercurio

Interest Rate Modeling. Volume 1: Foundations and Vanilla Models

- Leif B.G. Andersen, Vladimir V. Piterbarg

Interest Rate Modeling. Volume 2: Term Structure Models

- Leif B.G. Andersen, Vladimir V. Piterbarg

Interest Rate Modeling. Volume 3: Products and Risk Management

- Leif B.G. Andersen, Vladimir V. Piterbarg

The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for

Complex Interest-Rate Derivatives
- Riccardo Rebonato, Kenneth McKay, Richard White

Discounting, Libor, CVA and Funding: Interest Rate and Credit Pricing
(Applied Quantitative Finance)
- Chris Kenyon, Roland Stamm

Interest Rate Swaps and Their Derivatives: A Practitioner's Guide

(Wiley Finance)
 - Amir Sadr

Term-Structure Models: A Graduate Course (Springer Finance /

Springer Finance Textbooks)
- Damir Filipovic

C++
C++ is one of the hardest areas for beginning quants to get to grips with.

Since it is such a large programming language, and may in fact be a quant's

first taste of programming, it can be extremely daunting.

The first five books on the list, if understood properly, would make you a
competent C++ programmer. By reading the remainder, you will become
an expert and probably the best in your peer group.

C++ for Quantitative Finance - Michael Halls-Moore (my book!)

Sams Teach Yourself C++ in One Hour a Day (7th Edition)

- Jesse Liberty, Rogers Cadenhead

C++: A Beginner's Guide, Second Edition

- Herbert Schildt

Accelerated C++: Practical Programming by Example

- Andrew Koenig, Barbara Moo

Effective C++: 55 Specific Ways to Improve Your Programs and Designs

(3rd Edition)
- Scott Meyers

Introduction to C++ for Financial Engineers: An Object-Oriented

Approach (The Wiley Finance Series)
- Daniel Duffy

More Effective C++: 35 New Ways to Improve Your Programs and

Designs
- Scott Meyers

Exceptional C++: 47 Engineering Puzzles, Programming Problems, and

Solutions
- Herb Sutter

More Exceptional C++: 40 New Engineering Puzzles, Programming

Problems, and Solutions
- Herb Sutter

Exceptional C++ Style: 40 New Engineering Puzzles, Programming

Problems, and Solutions
- Herb Sutter

C++ Coding Standards: 101 Rules, Guidelines, and Best Practices

- Herb Sutter, Andrei Alexandrescu

API Design for C++

- Martin Reddy

Effective STL: 50 Specific Ways to Improve Your Use of the Standard

Template Library
- Scott Meyers

The C++ Standard Library: A Tutorial and Reference (2nd Edition)

- Nicolai Josuttis

C++ Templates: The Complete Guide

- David Vandevoorde, Nicolai Josuttis

Modern C++ Design: Generic Programming and Design Patterns

Applied
- Andrei Alexandrescu

C++ Template Metaprogramming: Concepts, Tools, and Techniques

from Boost and Beyond
- David Abrahams, Aleksey Gurtovoy

The Boost C++ Libraries

- Boris Schäling

Beyond the C++ Standard Library: An Introduction to Boost

- Björn Karlsson

Introduction to the Boost C++ Libraries; Volume I - Foundations

- Robert Demming, Daniel Duffy

Introduction to the Boost C++ Libraries; Volume II - Advanced Libraries

- Robert Demming, Daniel Duffy

C++ Concurrency in Action: Practical Multithreading

- Anthony Williams

Programming with POSIX Threads

- David Butenhof

Advanced Linux Programming

 - Mark Mitchell, Alex Samuel, Jeffrey Oldham

Advanced Programming in the UNIX Environment (2nd Edition)

- W. Richard Stevens, Stephen Rago

Advanced UNIX Programming (2nd Edition)

- Marc Rochkind

Design Patterns: Elements of Reusable Object-Oriented Software

- Erich Gamma, Richard Helm, Ralph Johnson, John Vlissides

Head First Design Patterns

- Elisabeth Freeman, Eric Freeman, Bert Bates, Kathy Sierra, Elisabeth
Robson

The C++ Programming Language, 4th Edition

- Bjarne Stroustrup

C++: The Complete Reference, 4th Edition

- Herbert Schildt

C++ Pocket Reference

- Kyle Loudon

STL Pocket Reference (Pocket Reference (O'Reilly))

- Ray Lischner

C++ Cookbook (Cookbooks (O'Reilly))

- D. Ryan Stephens, Christopher Diggins, Jonathan Turkanis, Jeff
Cogswell

Python
In recent years Python has rapidly become a staple in the quantitative
finance world.

I personally know of many funds that employ it as the end-to-end

computational infrastructure for carrying out systematic trading.

It is an easy language to learn, but it is harder to master, because it has

many useful libraries. Regardless of which type of quant you wish to
become, I would suggest learning Python, as it is only going to become
more widely adopted as time goes on.

Learning Python: Powerful Object-Oriented Programming - Mark Lutz

Programming Python - Mark Lutz

Python Cookbook - David Beazley, Brian K. Jones

Think Python - Allen B. Downey

Python for Data Analysis - Wes McKinney

Beginning Python: From Novice to Professional - Magnus Lie Hetland

Python Programming for the Absolute Beginner, 3rd Edition - Michael

Dawson

More Python Programming for the Absolute Beginner - Jonathan S.

Harbour

Python Programming: An Introduction to Computer Science 2nd

Edition - John Zelle

Python Algorithms: Mastering Basic Algorithms in the Python

Language - Magnus Lie Hetland

Foundations of Python Network Programming - John Goerzan,

Brandon Rhodes

Beginning Python Visualization: Crafting Visual Transformation Scripts

- Shai Vaingast

Pro Python System Administration - Rytis Sileika

Python 3 Object Oriented Programming - Dusty Phillips

Learn Python the Hard Way - Zed Shaw

MySQL for Python - Albert Lukaszewski

Python Testing: Beginner's Guide - Daniel Arbuckle

Python Testing Cookbook - Greg L. Turnquist

Python Essential Reference (4th Edition) - David M. Beazley

Expert Python Programming - Tarek Ziade

City of London, via Duncan Harris

MATLAB
Although Python is rapidly gaining ground in the hedge fund space, many
exceptional individuals were trained up on MatLab in academia and took
that expertise to the financial markets. You will still see a substantial usage
of MatLab within funds.

If you have been applying for jobs with MatLab in the job description, the
following books will help you impress your interviwer.

Matlab, Second Edition: A Practical Introduction to Programming and

Problem Solving - Stormy Attaway

Numerical Methods in Finance and Economics: A MATLAB-Based

Introduction - Paolo Brandimarte

Stochastic Simulation and Applications in Finance with MATLAB

Programs - Huu Tue Huynh, Van Son Lai, Issouf Soumare

Simulation and Optimization in Finance + Website: Modeling with

MATLAB, @Risk, or VBA - Dessislava Pachamanova, Frank J. Fabozzi

Numerical Methods with MATLAB - Amos Gilat, Vish Subramaniam

The Mathematics of Derivatives Securities with Applications in

 MATLAB - Mario Cerrato

Financial Modelling: Theory, Implementation and Practice with

MATLAB Source - Joerg Kienitz, Daniel Wetterau

MATLAB: An Introduction with Applications - Amos Gilat

Getting Started with MATLAB: A Quick Introduction for Scientists and

Engineers - Rudra Pratap

An Engineers Guide to MATLAB (3rd Edition) - Edward B. Magrab,

Shapour Azarm, Balakumar Balachandran, James Duncan, Keith
Herold, Gregory Walsh

Modeling Derivatives Applications in Matlab, C++, and Excel - Justin

London

Financial Risk Forecasting: The Theory and Practice of Forecasting

Market Risk with Implementation in R and Matlab - Jon Danielsson

R
As with MatLab, R is extensively used within systematic funds as it is a
natural language with which to carry out advanced statistical analysis.

A great way to learn R is to pair the following books with an online course
in statistics (which will often make use of R anyway). This will really help
you get to grips with the methods of quantitative trading.

A Beginner's Guide to R - Alain F. Zuur, Elena N. Ieno, Erik Meesters

Introductory Statistics with R - Peter Dalgaard

Introductory Time Series with R - Paul S.P. Cowpertwait, Andrew V.

Metcalfe

Data Manipulation with R - Phil Spector

Data Mining with R: Learning with Case Studies - Luis Torgo

R in Action - Robert Kabacoff

R in a Nutshell - Joseph Adler

The Art of R Programming: A Tour of Statistical Software Design -

Norman Matloff

R Graphics, Second Edition - Paul Murrell

An R Companion to Applied Regression - An R Companion to Applied

 Regression

R Cookbook - Paul Teetor

The R Book - Michael J. Crawley

The Essential R Reference - Mark Gardener

R Graphics Cookbook - Winston Chang

Excel/VBA
Although not possessing the computational horsepower of C++ or Python,
Excel is probably the most widely used software in the financial world.

If you are working on an investment banking prop trading desk as a quant,

you will almost certainly be asked to implement functions in Excel for the
traders at some stage. Having a working knowledge of Excel prior to
interview will give you yet another edge over your peers when applying for
that exciting quant role.

Advanced modelling in finance using Excel and VBA - Mary Jackson,

Mike Staunton

Excel 2010 Power Programming with VBA - John Walkenbach

Credit Risk Modeling using Excel and VBA - Gunter Löeffler, Peter N.
Posch

Next Generation Excel: Modeling in Excel for Analysts and MBAs - Isaac
Gottlieb

Financial Analysis and Modeling Using Excel and VBA - Chandan

Sengupta

Microsoft Excel for Stock and Option Traders: Build Your Own
Analytical Tools for Higher Returns - Jeff Augen

Financial Modelling in Practice: A Concise Guide for Intermediate and

Advanced Level - Michael Rees

Option Pricing Models and Volatility Using Excel-VBA - Fabrice

Douglas Rouah, Gregory Vainberg

Professional Financial Computing Using Excel and VBA - Donny C. F.

Lai, Humphrey K. K. Tung, Michael C. S. Wong, Stephen Ng
 Phew! That was quite an extensive list. Congratulations if you have made it
this far...

Please send me any suggestions of great quant books you've read that
have helped you on your way. I am always willing to add more to this list.
You can contact me by sending an email to mike@quantstart.com.

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