This post is for the aspiring Quantitative Trader looking to "start in the right place", but also equally useful for experienced traders looking to add to their knowledge / trading arsenal.
The teachings in these books are "asset-class independent", i.e. applicable to Forex, Equities, Options, Indices, Commodities/Futures.
READING LIST: --
Level: Basic -- 1) The Truth About High-Frequency Trading: What Is It, How Does It Work, and Is It a Problem?
2) Inside the Black Box: A Simple Guide to Quantitative and High Frequency Trading (Wiley Finance)
New edition of book that demystifies quant and algo trading In this updated edition of his bestselling book, Rishi K Narang offers in a straightforward, nontechnical style—supplemented by real-world e ...
3) The Art of Execution: How the world's best investors get it wrong and still make millions by Lee Freeman-Shor
4) Quantitative Trading: How to Build Your Own Algorithmic Trading Business, by Ernie Chan (contributed by
Level: Intermediate -- 1) The Science of Algorithmic Trading and Portfolio Management, by Robert Kissell
2) The Evaluation and Optimization of Trading Strategies, by Robert Pardo (contributed by
A newly expanded and updated edition of the trading classic, Design, Testing, and Optimization of Trading Systems Trading systems expert Robert Pardo is back, and in The Evaluation and Optimization of ...
3) Trading Systems: A new approach to system development and portfolio optimisation, by Tomasini and Jaekle (contributed by
Level: Advanced -- 1) Time Series Analysis, by James Douglas Hamilton
2) Analysis of Financial Time Series, by Ruey S. Tsay
"Analysis of financial time series, third edition, is an ideal book for introductory courses on time series at the graduate level and a valuable supplement for statistics courses in time series at the ...
3) Forecasting: Principles & Practice, by Hyndman and Athanasopoulos (a free online book, great resource to learn statistical forecasting with the R programming language)
4) Python for Finance: Analyze Big Financial Data, by Yves Hilpisch.
5) Learn R in a Day (Amazon Kindle)
'Learn R in a Day' provides the reader with key programming skills through an examples-oriented approach and is ideally suited for academics, scientists, mathematicians and engineers. The book assumes ...
6) R Cookbook: Proven Recipes for Data Analysis, Statistics, and Graphics (O'Reilly Cookbooks) by Paul Teetor
7) Machine Learning with R - Second Edition - Deliver Data Insights with R and Predictive Analytics by Brett Lantz
8) Introductory Time Series with R, by Paul S. P. Cowpertwait & Andrew V. Metcalfe
9) Mastering R for Quantitative Finance, by Edina Berlinger
10) Machine Trading - Deploying Computer Algorithms to Conquer the Markets, by Ernest P. Chan.
Following up on his widely popular algorithmic trading guides, Quantitative Trading and Algorithmic Trading, this third installment is written for quant traders and investors ready for more advanced e ...
11) Python Data Science Handbook: Essential Tools for Working with Data, by Jake Vanderplas (reference contributed by
For many researchers, Python is a first-class tool mainly because of its libraries for storing, manipulating, and gaining insight from data. Several resources exist for individual pieces of this data ...
12) Mastering Python for Finance, by Michael Heydt (reference contributed by
Master pandas, an open source Python Data Analysis Library, for financial data analysis About This Book A single source for learning how to use the features of pandas for financial and quantitative an ...
.. list above will be updated periodically ..