Master reading list for Quants, MFE (Financial Engineering) students


I couldn't get the file via Firefox or IE. Not sure whether it's the limitation in China. Could you please send a copy to my email: Appreciate it. :).

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For those seeking to learn more about Algo+Electronic trading. This book provides an general overview and is a bit outdated yet informative enough to empower the reader to carry sensible conversations with seasoned professionals.


The Complete Guide
To order this title, and for more information, click here

Kendall Kim, Kendall Kim consults as a Business Analyst and lives in Greenwich, CT. He has consulted and worked for firms such as UBS Investment Bank, Deutsche Bank, and Goldman Sachs.

Electronic and algorithmic trading has become part of a mainstream response to buy-side traders? need to move large blocks of shares with minimum market impact in today?s complex institutional trading environment. This book illustrates an overview of key providers in the marketplace. With electronic trading platforms becoming increasingly sophisticated, more cost effective measures handling larger order flow is becoming a reality. The higher reliance on electronic trading has had profound implications for vendors and users of information and trading products. Broker dealers providing solutions through their products are facing changes in their business models such as: relationships with sellside customers, relationships with buyside customers, the importance of broker neutrality, the role of direct market access, and the relationship with prime brokers. Electronic and Algorithmic Trading Technology: The Complete Guide is the ultimate guide to managers, institutional investors, broker dealers, and software vendors to better understand innovative technologies that can cut transaction costs, eliminate human error, boost trading efficiency and supplement productivity. As economic and regulatory pressures are driving financial institutions to seek efficiency gains by improving the quality of software systems, firms are devoting increasing amounts of financial and human capital to maintaining their competitive edge. This book is written to aid the management and development of IT systems for financial institutions. Although the book focuses on the securities industry, its solution framework can be applied to satisfy complex automation requirements within very different sectors of financial services - from payments and cash management, to insurance and securities. Electronic and Algorithmic Trading: The Complete Guide is geared toward all levels of technology, investment management and the financial service professionals responsible for developing and implementing cutting-edge technology. It outlines a complete framework for successfully building a software system that provides the functionalities required by the business model. It is revolutionary as the first guide to cover everything from the technologies to how to evaluate tools to best practices for IT management.

Primary audience: CEOs, CTOs, IT professionals, investment managers as well as traders in the financial industry who desire to understand the evolving landscape of trade technology. The objective of this book is to help readers gain a competitive advantage for best price execution, understand inhouse techonology solutions or software vendor products, and to inform readers regarding the effects of regulatory intervention.

CHAPTER 1 Overview of Electronic and Algorithmic Trading CHAPTER 2 Automating Trade and Order Flow CHAPTER 3 The Growth of Program and Algorithmic Trading CHAPTER 4 Alternative Execution Venues CHAPTER 5 Algorithmic Strategies CHAPTER 6 Algorithmic Feasibility and Limitations CHAPTER 7 Electronic Trading Networks CHAPTER 8 Effective Data Management CHAPTER 9 Minimizing Execution Costs CHAPTER 10 Transaction Cost Research (TCR) CHAPTER 11 Electronic and Algorithmic Trading for Different Asset Classes CHAPTER 12 Regulation NMS and other Regulatory Challenges CHAPTER 13 Build vs. Buy CHAPTER 14 Trading Technology and Prime Brokerage CHAPTER 15 Profiling The Leading Vendors Appendix Implementation of Trading Systems
I'm surprised no-one mentioned the book by Elliott & Kopp, "Mathematics of Financial Markets"
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</TD><TD style="WIDTH: 386px" vAlign=top>Mathematics of Financial Markets

Series: Springer Finance
Elliott, Series: Springer Finance
Elliott, Robert J., Kopp, P. Ekkehard

2nd ed., 2005, XI, 352 p. 7 illus., Hardcover
ISBN: 978-0-387-21292-0

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What about adding Thomas Björks "Arbitrage Theory in Continuous Time" ??? It is IMO far better than Shreve and Hull (the level is somewhere in between I think). It was the book I learned introductory stochastic calculus from, and the insights it has given me has helped me througout my time in Goldman!


Older and Wiser
I found Bjorks' book over the weekend. How does it compare to Shreve II? From your post, being somewhere in the middle between Shreve and Hull doesn't help much because, IMHO, they are at different ends of the spectrum.

Bastian Gross

German Mathquant
A book for finance with Matlab:

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A book for finance with Matlab:

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A beautiful book and one of my favorites.
Which one of those C++ books are best for beginners? I see that they are textbooks, would I be wasting my time trying to learn a 1000 page text book on my own or are those books reasonably straightforward?
Which one of those C++ books are best for beginners? I see that they are textbooks, would I be wasting my time trying to learn a 1000 page text book on my own or are those books reasonably straightforward?

Bruce Eckel's Thinking in C++ is a good book to start learning C++ from, although it might be difficult for someone who's never programmed at all.

Sanket Patel

i do stuff
Thanks. Do you recommend reading more than one of those books for C++?

Of course. The more the merrier. 1 book isn't likely to teach you all that you need to know. After working though an introductory book, move on a more advanced one such as Joshi or Duffy.
I also recommend Walter Savitch book for beginner. Go to the first page and it's under C++
It worked well for me as a beginner. It's not too dumb-down or jumping around too much like most of the C++ out there. I had his first edition in 97 when i learned C++ so I figure his book covers much more ground now.
In fact, Savitch is one of the books the Baruch MFE program uses for this Fall 08 for the programming course.
I may just pick up Savitch latest book to replace my well used first edition.
I found Bjorks' book over the weekend. How does it compare to Shreve II? From your post, being somewhere in the middle between Shreve and Hull doesn't help much because, IMHO, they are at different ends of the spectrum.

The level of mathematics is just a slight notch below Shreve II I guess. The main difference is, IMO, that the number of topics is lower, and the many Shreve topics on Itô, Girsanov etc. etc. is somewhat more condensed. Normally I like things to be mathematically concise and so, but in Shreve I find it somewhat disturbing.

So for me, the optimal way of learning mathematical finance would be to do Shreve I, then Björk and then Shreve II, spread out over 3 or 4 semesters, depending on the level of detail. A potential substitute for Shreve I, which was used in my first finance course at undergrad level would be lecture notes by two Copenhagen professors, David Lando and Rolf Poulsen - those are great notes, and are available free online!
Wow...what a bunch of books.

If someone were to go out and start reading these, by when do you expect that they'd actually be able to marry and enjoy their money, Andy ?:X

That said, if I can't no matter what get into stoch calc in my university, I'm going to pick up some of this stuff. Especially savitch.


New female quant here:)

Hi guys, I am a undergraduate student at Baruch majoring in Mathematics on the concentration of Finance. I hope I can get in MFE after graduation. Thanks for all the information. :dance::dance: