Tag Archives: suggestion

Quant book suggestion for how stock trading order book works

Quant book suggestion for how stock trading order book works

hi quantlabs, can you recommend any good literature or tutorials or anything that explains in detail how the order book works? So things like how trading the order book in an aggressive or passive manner works? How your order is placed in the order book depending on what you do? I basically am really interested in learning how the order book works when you interact with it as a trader of any sort.

I recommend:

Algorithmic Trading and DMA: An introduction to direct access trading strategies

http://www.amazon.com/Algorithmic-Trading-DMA-introduction-strategies/dp/0956399207

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

MATLAB Demystified part 2 book review: My suggestions for successful MATLAB learning for quant analysis

MATLAB Demystified part 2 book review: My suggestions for successful MATLAB learning for quant analysis

I must say this book MAY be a decent choice for learning Matlab. I am sure what I am learning is quite simplified but here are few suggestions:
1. Make sure you know you math. I am finding some of what I am learning from Matlab Demystified becomes useless unless you know the algorithms. If you are an old geezer who has not been in any university lately, you may struggle with these concepts so ensure you got a simple math book available. This includes those concepts for algebra, calculus, and stats. I am sure there is more but I am only half way in the book!
2. Ensure you know the material from either John Hull or Paul Wilmott’s books. It is best to know what to filter out when you learn Matlab. You don’t want to waste your time in learning certain Matlab functionality if you are not going to use it for quant based analysis.
3. By the end of this book MATLAB Demystified, I am sure I will be revisiting these quant books from John Hull and Paul Wilmot for further detailed investigation.
4. Understand the Matlab commands for your quick analysis on certain algorithms. This would include Matlab commands like solve, int, etc.

As I have said, I am really new to Matlab but one I admire about it is the capability to run these M script files. They are no different that a C++ or Java based program for Quant analysis. A little birdie also told me that Matlab has the ability to build C/C++ self contained files to do certain algorithms. That function alone is really appealing for a guy like me trying to blend all three applications of quant analysis and algorithms, C++, and Matlab.

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!