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What are the best book for quant algo traders and those starting out in it?

(Last Updated On: September 17, 2010)

What are the best book for quant algo traders and those starting out in it?

These were reference from Linked In as usual.
Hans Róbert Hlynsson • Execution: http://www.amazon.com/Algorithmic-Trading-DMA-introduction-strategies/dp/0956399207/

Infrastructure: http://www.amazon.com/Inside-Black-Box-Quantitative-Trading/dp/0470432063/

Conceptualization and herding concerns: http://www.amazon.com/Chasing-Same-Signals-Black-Box-Influences/dp/0470824883/
• Ernie Chan, “Quantitative Trading: How to Build Your Own Algorithmic Trading Business” published by Wiley

A great resource from:
http://www.thetradenews.com/trade-handbooks
Some say that Barry Johnson’s book is excellent while Ernie Chan’s is great for beginners. Obvisouly those advanced in the trade think Ernie Chan’s is crap.
Barry Johnson put the reference of Tom Middleton (X-Citi Quant Head – Europe) , I was one of the lucky guy who came across the actual implementations of his strategies. I can not reveal any secret of it ( reason is obvious)
However I can give you the reference of his contribution in this book (http://www.thetradenews.com/trade-handbooks ), the 2005 edition is free. He has contributed couple of chapters in that book

Some opinion on investment banks vs prop shops.
a) Agency Flow – Sell side firms offer couple of strategies (VWAP/TWAP/MOC/IS blah blah) to Mutual funds / Pension funds/ Institutional investors

All the major banks are in this war to get maximum client flow and earn the commission out of it.

B) Prop Trading – I am not expert but I think all the prop traders maintain their portfolio and design some kind of mathematic model to maintain that (Portfolio Analytics).

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