A lista a seguir traz alguns títulos interessantes que falam sobre temas relacionados ao Algo Trading. Não se trata de uma seleção absoluta, mas algumas leituras relevantes pelas quais a equipe passou ao longo do caminho. Outras surgirão e a lista assim vai sendo atualizada.
As descrições de cada livro e o respectivo link para a Amazon.com aparecem depois das imagens.
- Quantitative Trading: How to Build Your Own Algorithmic Trading Business, por Ernest P. Chan
While institutional traders continue to implement quantitative (or algorithmic) trading, many independent traders have wondered if they can still challenge powerful industry professionals at their own game? The answer is "yes," and in Quantitative Trading, Dr. Ernest Chan, a respected independent trader and consultant, will show you how. Whether you're an independent "retail" trader looking to start your own quantitative trading business or an individual who aspires to work as a quantitative trader at a major financial institution, this practical guide contains the information you need to succeed.
- Algorithmic Trading: Winning Strategies and Their Rationale, por Ernest P. Chan
Engaging and informative, Algorithmic Trading skillfully covers a wide array of strategies. Broadly divided into the mean-reverting and momentum camps, it lays out standard techniques for trading each category of strategies and, equally important, the fundamental reasons why a strategy should work. The emphasis throughout is on simple and linear strategies, as an antidote to the over-fitting and data-snooping biases that often plague complex strategies.
- Machine Trading: Deploying Computer Algorithms to Conquer the Markets, por Ernest P. Chan
Machine Trading is a practical guide to building your algorithmic trading business. Written by a recognized trader with major institution expertise, this book provides step-by-step instruction on quantitative trading and the latest technologies available even outside the Wall Street sphere. You'll discover the latest platforms that are becoming increasingly easy to use, gain access to new markets, and learn new quantitative strategies that are applicable to stocks, options, futures, currencies, and even bitcoins. The companion website provides downloadable software codes, and you'll learn to design your own proprietary tools using MATLAB. The author's experiences provide deep insight into both the business and human side of systematic trading and money management, and his evolution from proprietary trader to fund manager contains valuable lessons for investors at any level.
- Inside the Black Box: A Simple Guide to Quantitative and High Frequency Trading, por Rishi K. Narang
In this updated edition of his bestselling book, Rishi K Narang offers in a straightforward, nontechnical style—supplemented by real-world examples and informative anecdotes—a reliable resource takes you on a detailed tour through the black box. He skillfully sheds light upon the work that quants do, lifting the veil of mystery around quantitative trading and allowing anyone interested in doing so to understand quants and their strategies.
- Mean Reversion Trading Systems, por Howard B Bandy
Practical and fully disclosed methods for swing trading: Trading frequently and holding a few days. Identifying overbought and oversold conditions. Trading major ETFs and liquid equities.
- Quantitative Technical Analysis: An integrated approach to trading system development and trading management, por Howard B Bandy
This book, the fifth by Dr. Howard Bandy, discusses an integrated approach to trading system development and trading management. It begins with a discussion and quantification of the several aspects of risk. 1.The trader's personal tolerance for risk. 2.The risk inherent in the price fluctuations of the issue to be traded. 3.The risk added by the trading system rules. 4.The trade-by-trade risk experienced during trading.
- Foundations of Trading: Developing Profitable Trading Systems using Scientific Techniques, por Howard B Bandy
This book presents an approach to developing profitable trading systems using scientific techniques, melding together several key aspects: Personal risk tolerance. Profit potential of the financial issue being traded. Data analysis. Adjusting the model to fit the data. Validation to estimate future performance. Comparing alternative use of funds. Determining whether the system is working or broken. Computing a proper position size to maximize account growth while holding drawdown within the trader's tolerance.
- Systematic Trading: A unique new method for designing trading and investing systems, por Robert Carver
Author Robert Carver draws on financial theory, his experience managing systematic hedge fund strategies and his own in-depth research to explain why systematic trading makes sense and demonstrates how it can be done safely and profitably. Every aspect, from creating trading rules to position sizing, is thoroughly explained. The framework described here can be used with all assets, including equities, bonds, forex and commodities.
- Building Winning Algorithmic Trading Systems, + Website: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading, por Kevin Davey
Award-winning trader Kevin Davey shares his secrets for developing trading systems that generate triple-digit returns. With both explanation and demonstration, Davey guides you step-by-step through the entire process of generating and validating an idea, setting entry and exit points, testing systems, and implementing them in live trading. You'll find concrete rules for increasing or decreasing allocation to a system, and rules for when to abandon one. The companion website includes Davey's own Monte Carlo simulator and other tools that will enable you to automate and test your own trading ideas.
- Trading Systems: A New Approach to System Development and Portfolio Optimisation, por Emilio Tomasini
This book explains exactly how you can build a winning trading system. It is an insight into what a trader should know and do in order to achieve success in the markets, and it will show you why you don't need to be a rocket scientist to build a winning trading system. A trader can never really say he was successful, but only that he survived to trade another day; the "black swan" is always just around the corner. Trading Systems will help you find your way through the uncharted waters of systematic trading and show you what it takes to be among those that survive. A new approach to system development.
- The Evaluation and Optimization of Trading Strategies, por Robert Pardo
Trading systems expert Robert Pardo is back, and in The Evaluation and Optimization of Trading Strategies he reveals how he has perfected the programming and testing of trading systems using a successful battery of his own time-proven techniques. With this book, Pardo delivers important information to readers, from the design of workable trading strategies to measuring issues like profit and risk. Written in a straightforward and accessible style, this detailed guide presents traders with a way to develop and verify their trading strategy no matter what form they are currently using–stochastics, moving averages, chart patterns, RSI, or breakout methods.
- Trading Systems and Methods + Website, por Perry J. Kaufman
Presenting an analytical framework for comparing systematic methods and techniques, this new edition offers expanded coverage in nearly all areas, including trends, momentum, arbitrage, integration of fundamental statistics, and risk management. Comprehensive and in-depth, the book describes each technique and how it can be used to a trader's advantage, and shows similarities and variations that may serve as valuable alternatives. The book also walks readers through basic mathematical and statistical concepts of trading system design and methodology, such as how much data to use, how to create an index, risk measurements, and more.
- Trading and Exchanges: Market Microstructure for Practitioners, por Larry Harris
This book is about trading, the people who trade securities and contracts, the marketplaces where they trade, and the rules that govern it. Readers will learn about investors, brokers, dealers, arbitrageurs, retail traders, day traders, rogue traders, and gamblers; exchanges, boards of trade, dealer networks, ECNs (electronic communications networks), crossing markets, and pink sheets. Also covered in this text are single price auctions, open outcry auctions, and brokered markets limit orders, market orders, and stop orders. Finally, the author covers the areas of program trades, block trades, and short trades, price priority, time precedence, public order precedence, and display precedence, insider trading, scalping, and bluffing, and investing, speculating, and gambling.
- Pairs Trading: Quantitative Methods and Analysis, por Ganapathy Vidyamurthy
Pairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) one asset and short (or bearish) another. If properly performed, the investor will gain if the market rises or falls. Pairs Trading reveals the secrets of this rigorous quantitative analysis program to provide individuals and investment houses with the tools they need to successfully implement and profit from this proven trading methodology. Pairs Trading contains specific and tested formulas for identifying and investing in pairs, and answers important questions such as what ratio should be used to construct the pairs properly.
- Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk, por Gary Antonacci
Dual Momentum Investing details the author's own momentum investing method that combines U.S. stock, non-U.S. stock, and aggregate bond indices--in a formula proven to dramatically increase profits while lowering risk. Antonacci reveals how momentum investors could have achieved long-run returns nearly twice as high as the stock market over the past 40 years, while avoiding or minimizing bear market losses--and he provides the information and insight investors need to achieve such success going forward. His methodology, supported by rigorous academic research, is designed to pick up on major changes in relative strength and market trend.
- Quantitative Momentum: A Practitioner's Guide to Building a Momentum-Based Stock Selection System, por Wesley R. Gray
Quantitative Momentum brings momentum investing out of Wall Street and into the hands of individual investors. Author Wes Gray brings momentum investing, the system that has been shown to beat the market and regularly enriches the coffers of Wall Street's most sophisticated investors. First, you'll learn what momentum investing is not: it's not 'growth' investing, nor is it an esoteric academic concept. You may have seen it used for asset allocation, but this book details the ways in which momentum stands on its own as a stock selection strategy, and gives you the expert insight you need to make it work for you.
- Algorithmic and High-Frequency Trading, por Álvaro Cartea, Sebastian Jaimungal e José Penalva
Models are grounded on how the exchanges work, whether the algorithm is trading with better informed traders (adverse selection), and the type of information available to market participants at both ultra-high and low frequency. Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to cutting-edge research and practice. If you need to understand how modern electronic markets operate, what information provides a trading edge, and how other market participants may affect the profitability of the algorithms, then this is the book for you.
- Derivatives Analytics with Python: Data Analysis, Models, Simulation, Calibration and Hedging, por Yves Hilpisch
Derivatives Analytics with Python shows you how to implement market-consistent valuation and hedging approaches using advanced financial models, efficient numerical techniques, and the powerful capabilities of the Python programming language. This unique guide offers detailed explanations of all theory, methods, and processes, giving you the background and tools necessary to value stock index options from a sound foundation. You'll find and use self-contained Python scripts and modules and learn how to apply Python to advanced data and derivatives analytics as you benefit from the 5,000+ lines of code that are provided to help you reproduce the results and graphics presented.