The Best Quantitative Trading Books of 2024
Summary of best books on quantitative trading. Includes books that discuss quant trading in relation to mathematics, programming and statistics
Whether you're a professional trader, a hobbyist or anything in between, you will have heard of the concept of quantitative trading. The more knowledgeable you are about how quant trading works, the more likely you'll be able to devise strategies that work well in live market environments.
Quant trading isn't necessarily intuitive. It takes a dedicated effort to learn not just what quant trading entails but also how all the components of this trading method interact with one another. If you're looking for resources to help you learn everything you need to know about quantitative trading methods and techniques, this list of the best quant trading books available in 2024 is useful.
Even if one does not get involved in the technical details of quant trading, it is extremely helpful to understand the high-level concepts, the basics behind different kinds of strategies, and why such strategies have become so relevant today. Most importantly, a working knowledge of quant trading will help traders evaluate whether this is the right strategy for them. After all, every trader has different objectives and time horizons that they are optimizing for.
Types of Quant Trading Books
Books that cover quant trading come in several varieties and cater to folks with differing levels of expertise. This includes books that provide a beginner-friendly overview of quantitative trading and describe what it is and how it works. These books provide a solid foundation for anyone new to the concepts that are integral to this trading method.
You can also find more advanced books, such as those that teach methods for programming automated trading algorithms that quant trading strategy relies upon to be effective. These are often highly detailed and equivalent to the type of coursebooks a computer science major at a college or university would encounter. Books detailing mathematical approaches to quant trading, such as quantitative analysis methods, can be used to inform how an algorithm is written so that these methods can be adapted for automated trading purposes.
Best Quant Trading Books for Beginners
If you're new to the world of automated trading, or if you've been out for a long time and want to get back into quantitative trading, it's best to start with the basics. These quant trading books for beginners offer excellent foundational information for anyone who requires a solid framework.
‘Quantitative Trading: How to Build Your Own Algorithmic Trading Business’ by Ernest P. Chan
Written specifically for people who want to begin learning more about quantitative trading without getting bogged down with overly technical theories or sophisticated analysis methods, “Quantitative Trading” offers insight into the simple tools and techniques necessary to get started. This book serves as a fantastic introduction to quant trading, offering a detailed overview of things like selecting trading strategies, backtesting those strategies and how to build and implement an automated trading system to put that strategy to work.
‘Essentials of Investments’ by Zvi Bodie
If this sounds like the title of an undergraduate investment textbook, that's because it is. “Essentials of Investments” is a fantastic starting point for learning essential aspects of investment like asset allocation without concentrating on the kinds of mathematical details that would cause readers to get lost in the material. The most recent 10th edition of this textbook also includes crucial chapters on new trading technologies like the ones that make quant trading possible. For anyone who wants a solid overview of how investment trading works in its entirety, this book is an excellent choice.
‘Algorithmic Trading and DMA: An Introduction to Direct Access Trading Strategies’ by Barry Johnson
While “Algorithmic Trading and DMA” focuses on the large-scale uses of quant trading that are used by institutional investors, it's still a fantastic resource for anyone looking for foundational information on how quantitative trading works. As an introduction to the subject, the book provides a solid overview of many of the most important aspects of quant trading, such as how to design an overall trading strategy with stop and cancel orders, how transaction costs can impact investment returns, asset class coverage and tactics for order placement and execution.
Best Quant Trading Books on Programming
Quant trading relies on algorithms for best results. Someone has to write the algorithms that traders use. These books provide information on how to program quant trading algorithms effectively.
‘Pattern Recognition and Machine Learning’ by Christopher M. Bishop
It's important to understand the fundamentals of how algorithms work before you begin programming them. “Pattern Recognition and Machine Learning” is an ideal textbook for this, as it offers an easy entry point into the subject matter. This makes it ideal for anyone who has no inkling of where to start when it comes to learning about what machine learning is and how algorithms work on a basic level. No previous knowledge of pattern recognition or machine learning concepts is assumed. More than 400 exercises to practice and fine-tune your understanding of these concepts are included.
‘Modern Computational Finance: AAD and Parallel Simulations’ by Antoine Savine
Focusing on the concept of algorithmic adjoint differentiation (AAD), the technology that informs the majority of automated trading approaches, “Modern Computational Finance” is a keystone book for understanding quantitative trading on a programming level. The book begins with providing an understanding of theoretical approaches before providing detailed guidance on how to implement AAD, taking into account programming issues such as memory management and parallel implementation. For anyone looking for a step-by-step guide on how to build code, this is a good place to start.
‘Mastering Python’ by Michael B. White
While quant trading algorithms are written in a few programming languages, there's none quite as popular as Python. “Mastering Python” offers instructional education on how to understand this programming language. The book is separated into common-sense sections that begin with educating readers about data structures and algorithms, machine learning, programming methods and how to develop and test software written in Python. It's detailed enough for beginners yet also offers plenty for advanced Python programmers to learn as well.
Best Quant Trading Books on Mathematics
Mathematical formulas drive quant trading algorithms. Learning how to program in Python or another programming language is just the first step. Knowing the mathematical formulas to incorporate into those programs is the final one. These books offer advanced theoretical and practical mathematical applications for quant trading.
‘Statistics in a Nutshell: A Desktop Quick Reference’ by Sarah Boslaugh
Statistical analysis is a major component of being able to analyze not just market performance but also the performance of quant trading algorithms. Learning the ins and outs of statistics is often challenging for many, which is why “Statistics in a Nutshell” is an invaluable reference book thanks to its easy-to-follow descriptions, hands-on exercises and ability to teach a wide variety of statistical modeling techniques in ways that won't make your head spin.
‘A Primer for the Mathematics of Financial Engineering’ by Dan Stefanica
If there was ever a place to begin your journey into understanding mathematical finance, “A Primer for the Mathematics of Financial Engineering”is the ideal place to start. Going through the 175 exercises in this book will help build a solid mathematical foundation necessary to understand mathematical finance in ways that will inform quant trading strategies on an integral level. This book emphasizes advanced calculus methods and math foundations with applications in the financial world. This would be strongly recommended to anyone who is interested in quantitative finance and needs to enhance their math knowledge towards that.
‘Mathematics for Economists’ by Carl P. Simon
Not all types of math are the same. Even if you're well-versed in most college-level mathematics concepts, understanding how math is applied to economic theory is crucial for designing effective quantitative trading approaches. “Mathematics for Economists” is not for anyone new to complex mathematical concepts — it requires a solid math background to get the most out of it — but if you're already mathematically minded, this book will increase your understanding of how math and economics interact on a fundamental level.
Of course, this isn't meant to be an exhaustive list. Dozens — if not hundreds — of excellent resources that can help you understand quantitative trading in a more complete and comprehensive manner are out there. Consider our list an excellent starting point, and you'll be in a good position to learn even more, but don't feel these are the only resources you should rely on.
It's important to keep in mind that there are other resources available online, especially when you choose an automated trading platform that has a robust and helpful online community willing to answer your questions. One of the best examples of such a community can be found at Composer, the online quant trading platform that offers so many detailed capabilities for beginners and advanced traders alike.
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