Algorithmic Trading Books

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As the financial markets become increasingly driven by technology, the need for a sophisticated understanding of algorithmic trading has never been greater. Algorithmic trading books play a crucial role in educating traders and finance professionals on the automated processes that dominate stock exchanges around the world. These books offer insights into the strategies, technologies, and mathematical models that underpin successful trading algorithms.

Why Read an Algorithmic Trading Book?

Deepen Understanding

An algorithmic trading book dives deep into the complexities of market strategies, data analysis, and the use of statistical models to make profitable trades automatically.

Strategy Development

Readers can learn to develop and refine their trading strategies, enhancing their ability to execute trades effectively and manage risk.

Technological Insights

These books often cover the latest technological advancements in trading, including machine learning and artificial intelligence, providing readers with up-to-date knowledge of the field.

Features of a Great Algorithmic Trading Book

Comprehensive Content

The best books offer not only theories but also practical advice and examples, making complex concepts accessible to readers at all levels.

Author Expertise

Books written by experienced traders or academics with a track record in finance provide invaluable insights into the realities of the trading world.

Advanced Techniques

Include discussions on the latest advancements in trading technology and strategy, offering readers strategies that can be adapted to changing markets.

Top Picks for Algorithmic Trading Books

“Algorithmic Trading: Winning Strategies and Their Rationale” by Ernest P. Chan

This book is a favorite among practitioners for its clear explanation of how various trading strategies work and how to implement them.

“High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems” by Irene Aldridge

A detailed exploration of high-frequency trading that includes both the theoretical foundations and practical implementation of high-speed trading strategies.

“The Science of Algorithmic Trading and Portfolio Management” by Robert Kissell

This book provides a detailed, scientific approach to algorithmic trading and covers a broad spectrum of trading-related topics, including algorithmic development and trade execution.

How to Leverage Algorithmic Trading Books

Supplement Learning with Practice

While books provide a solid theoretical foundation, supplementing reading with practical experience, like simulation trading, can enhance understanding.

Join Online Forums

Engage with communities and forums where trading strategies are discussed. This can provide new insights and clarification of concepts found in books.

Continuous Education

The field of algorithmic trading is constantly evolving. Continuously seek out new books and resources to stay current with technological and methodological advancements.

Conclusion

Algorithmic trading books are essential for anyone serious about mastering the art and science of automated trading. They provide the knowledge necessary to navigate complex markets and develop sophisticated trading algorithms. Whether you’re a novice looking to get started or a seasoned professional aiming to enhance your skills, these books are invaluable resources.

Frequently Asked Questions about Algo Trading Books

1. What are the best algo trading books for beginners?

For those new to algo trading, “Trading Systems and Methods” by Perry J. Kaufman provides a comprehensive introduction. Another excellent start is “Quantitative Trading” by Ernest P. Chan, which breaks down the basics of algorithmic trading in an accessible manner.

2. Are there any algo trading books that focus on Python programming?

Yes, “Python for Finance” by Yves Hilpisch is highly recommended as it specifically covers how to use Python for financial analysis and algorithmic trading. “Mastering Python for Finance” by James Ma Weiming also offers detailed insights into implementing complex financial models and algorithms using Python.

3. Can algo trading books help me to create my own trading algorithms?

Absolutely. Many algo trading books are designed to provide readers with the knowledge and tools to develop their own trading algorithms. Books like “Algorithmic Trading: Winning Strategies and Their Rationale” by Ernest P. Chan focus on the strategies behind successful algorithms and how to implement them effectively.

4. What books delve into advanced topics like machine learning or artificial intelligence in trading?

“Advances in Financial Machine Learning” by Marcos Lopez de Prado explores complex topics such as machine learning and how it can be applied to algorithmic trading. Additionally, “Machine Learning for Algorithmic Trading” by Stefan Jansen specifically targets the integration of machine learning techniques in trading strategies.

5. How often should I refer to algo trading books to stay current with market changes?

While the fundamental principles in these books remain valuable, it’s crucial to supplement your reading with current research and articles to keep abreast of new technologies and market trends. Regular updates every few months or attending webinars and online courses can also help in staying updated.

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John Chen

John joined ExtractAlpha in 2023 as the Director of Partnerships & Customer Success. He has extensive experience in the financial information services industry, having previously served as a Director of Client Specialist at Refinitiv. John holds dual Bachelor’s degrees in Commerce and Architecture (Design) from The University of Melbourne.

Chloe Miao

Chloe joined ExtractAlpha in 2023. Prior to joining, she was an associate director at Value Search Asia Limited. She earned her Masters of Arts in Global Communications from the Chinese University of Hong Kong.

Matija Ratkovic

Matija is a specialist in software sales and customer success, bringing experience from various industries. His career, before sales, includes tech support, software development, and managerial roles. He earned his BSc and Specialist Degree in Electrical Engineering at the University of Montenegro.

Jack Kim

Jack joined ExtractAlpha in 2022. Previously, he spent 20+ years supporting pre- and after-sales activities to drive sales in the Asia Pacific market. He has worked in many different industries including, technology, financial services, and manufacturing, where he developed excellent customer relationship management skills. He received his Bachelor of Business in Operations Management from the University of Technology Sydney.

Perry Stupp

Perry brings more than 20 years of Enterprise Software development, sales and customer engagement experience focused on Fortune 1000 customers. Prior to joining ExtractAlpha as a Technical Consultant, Perry was the founder, President and Chief Customer Officer at Solution Labs Inc. a data analytics company that specialized in the analysis of very large-scale computing infrastructures in place at some of the largest corporate data centers in the world.

Perry Stupp

Perry brings more than 20 years of Enterprise Software development, sales and customer engagement experience focused on Fortune 1000 customers. Prior to joining ExtractAlpha as a Technical Consultant, Perry was the founder, President and Chief Customer Officer at Solution Labs Inc. a data analytics company that specialized in the analysis of very large-scale computing infrastructures in place at some of the largest corporate data centers in the world.

Janette Ho

Janette has 22+ years of leadership and management experience in FinTech and analytics sales and business development in the Asia Pacific region. In addition to expertise in quantitative models, she has worked on risk management, portfolio attribution, fund accounting, and custodian services. Janette is currently head of relationship management at Moody’s Analytics in the Asia-Pacific region, and was formerly Managing Director at State Street, head of sales for APAC Asset Management at Thomson Reuters, and head of Asia for StarMine. She is also a board member at Human Financial, a FinTech firm focused on the Australian superannuation industry.

Leigh Drogen

Leigh founded Estimize in 2011. Prior to Estimize, Leigh ran Surfview Capital, a New York based quantitative investment management firm trading medium frequency momentum strategies. He was also an early member of the team at StockTwits where he worked on product and business development.  Leigh is now the CEO of StarKiller Capital, an institutional investment management firm in the digital asset space.

Andrew Barry

Andrew is the CEO of Human Financial, a technology innovator that is pioneering consumer-led solutions for the superannuation industry. Andrew was previously CEO of Alpha Beta, a global quant hedge fund business. Prior to Alpha Beta he held senior roles in a number of hedge funds globally.

Natallia Brui

Natallia has 7+ years experience as an IT professional. She currently manages our Estimize platform. Natallia earned a BS in Computer & Information Science in Baruch College and BS in Economics from BSEU in Belarus. She has a background in finance, cybersecurity and data analytics.

June Cook

June has a background in B2B sales, market research, and analytics. She has 10 years of sales experience in healthcare, private equity M&A, and the tech industry. She holds a B.B.A. from Temple University and an M.S. in Management and Leadership from Western Governors University.

Steven Barrett

Steve worked as a trader at hedge funds and prop desks in Hong Kong and London for 15+ years. He also held roles in management consultancy, internal audit and business management. He holds a BA in Business Studies from Oxford Brookes University and an MBA from Hong Kong University of Science & Technology.

Jenny Zhou, PhD

Jenny joined ExtractAlpha in 2023. Prior to that, she worked as a quantitative researcher for Chorus, a hedge fund under AXA Investment Managers. Jenny received her PhD in finance from the University of Hong Kong in 2023. Her research covers ESG, natural language processing, and market microstructure. Jenny received her Bachelor degree in Finance from The Chinese University of Hong Kong in 2019. Her research has been published in the Journal of Financial Markets.

Kristen Gavazzi

Kristen joined ExtractAlpha in 2021 as a Sales Director. As a past employee of StarMine, Kristen has extensive experience in analyst performance analytics and helped to build out the sell-side solution, StarMine Monitor. She received her BS in Business Management from Cornell University.

Triloke Rajbhandary

Triloke has 10+ years experience in designing and developing software systems in the financial services industry. He joined ExtractAlpha in 2016. Prior to that, he worked as a senior software engineer at HSBC Global Technologies. He holds a Master of Applied Science degree from Ryerson University specializing in signal processing.

Jackie Cheng, PhD

Jackie joined ExtractAlpha in 2018 as a quantitative researcher. He received his PhD in the field of optoelectronic physics from The University of Hong Kong in 2017. He published 17 journal papers and holds a US patent, and has 500 citations with an h-index of 13. Prior to joining ExtractAlpha, he worked with a Shenzhen-based CTA researching trading strategies on Chinese futures. Jackie received his Bachelor’s degree in engineering from Zhejiang University in 2013.

Yunan Liu, PhD

Yunan joined ExtractAlpha in 2019 as a quantitative researcher. Prior to that, he worked as a research analyst at ICBC, covering the macro economy and the Asian bond market. Yunan received his PhD in Economics & Finance from The University of Hong Kong in 2018. His research fields cover Empirical Asset Pricing, Mergers & Acquisitions, and Intellectual Property. His research outputs have been presented at major conferences such as AFA, FMA and FMA (Asia). Yunan received his Masters degree in Operations Research from London School of Economics in 2013 and his Bachelor degree in International Business from Nottingham University in 2012.

Willett Bird, CFA

Prior to joining ExtractAlpha in 2022, Willett was a sales director for Vidrio Financial. Willett was based in Hong Kong for nearly two decades where he oversaw FIS Global’s Asset Management and Commercial Banking efforts. Willett worked at FactSet, where he built the Asian Portfolio and Quantitative Analytics team and oversaw FactSet’s Southeast Asian operations. Willett completed his undergraduate studies at Georgetown University and finished a joint degree MBA from the Northwestern Kellogg School and the Hong Kong University of Science and Technology in 2010. Willett also holds the Chartered Financial Analyst (CFA) designation.

Julie Craig

Julie Craig is a senior marketing executive with decades of experience marketing high tech, fintech, and financial services offerings. She joined ExtractAlpha in 2022. She was formerly with AlphaSense, where she led marketing at a startup now valued at $1.7B. Prior to that, she was with Interactive Data where she led marketing initiatives and a multi-million dollar budget for an award-winning product line for individual and institutional investors.

Jeff Geisenheimer

Jeff is the CFO and COO of ExtractAlpha and directs our financial, strategic, and general management operations. He previously held the role of CFO at Estimize and two publicly traded firms, Multex and Market Guide. Jeff also served as CFO at private-equity backed companies, including Coleman Research, Ford Models, Instant Information, and Moneyline Telerate. He’s also held roles as advisor, partner, and board member at Total Reliance, CreditRiskMonitor, Mochidoki, and Resurge.

Vinesh Jha

Vinesh founded ExtractAlpha in 2013 with the mission of bringing analytical rigor to the analysis and marketing of new datasets for the capital markets. Since ExtractAlpha’s merger with Estimize in early 2021, he has served as the CEO of both entities. From 1999 to 2005, Vinesh was the Director of Quantitative Research at StarMine in San Francisco, where he developed industry leading metrics of sell side analyst performance as well as successful commercial alpha signals and products based on analyst, fundamental, and other data sources. Subsequently, he developed systematic trading strategies for proprietary trading desks at Merrill Lynch and Morgan Stanley in New York. Most recently he was Executive Director at PDT Partners, a spinoff of Morgan Stanley’s premiere quant prop trading group, where in addition to research, he also applied his experience in the communication of complex quantitative concepts to investor relations. Vinesh holds an undergraduate degree from the University of Chicago and a graduate degree from the University of Cambridge, both in mathematics.

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