
Quantitative Finance Reading List - soneca
http://www.quantstart.com/articles/Quantitative-Finance-Reading-List
======
chrisaycock
QuantNet maintains a _Master Reading List_ as well:

[https://www.quantnet.com/threads/master-reading-list-for-
qua...](https://www.quantnet.com/threads/master-reading-list-for-quants-mfe-
financial-engineering-students.535/)

A few words of advice for anyone interested in this field as a career:

1\. I would caution anyone on speculatively learning a new programming
language in the hopes of getting a job. Your boss will tell you what to learn
when you get hired. Don't ask strangers on the Internet for how to allocate
your time.

2\. "Quantitative Finance" is a broad field. High-frequency trading and exotic
options trading have no overlap. So putting together a list of what-to-learn-
to-be-a-quant is really foolish. It's like creating a master knowledge base
for all of programming without narrowing the field to web, embedded, gaming,
etc.

3\. The best way to learn is to get a job in the field. I'm surprised at how
often I have to repeat this.

~~~
blablabla123
>3\. The best way to learn is to get a job in the field. I'm surprised at how
often I have to repeat this.

But to get one, you need to have worked through a lot of books already, right?
Job descriptions of this field look to me like: PhD in math finance and senior
programming skills.

~~~
minimax
I think the best way to get a tech job in finance is to live in a city where
finance is a big industry (New York, Boston, Chicago, London). If you punch
"C++" into Indeed for Chicago, IL, half the listings that come back are for
positions at trading companies.

~~~
rgovind
I apears that Algorithm trading Firms are slowly moving to SF/Silicon Valley.
I see some postings for SF-jobs in this domain. May be they want to use the
software talent in this area.

------
strongvigilance
A couple of years old, but this is (IMO) a much better list:
[http://quantivity.wordpress.com/2010/01/10/how-to-learn-
algo...](http://quantivity.wordpress.com/2010/01/10/how-to-learn-algorithmic-
trading/)

The 30+ generic C++ books in the posted list says a lot, and many of the more
finance-oriented books on the list are very low on signal-to-noise.

------
siavosh
It seems like the topic of QF is appearing more frequently these days on HN. I
guess it's a sign of the times after an absence after the implosion of 2008.
There also seems to be general leveling off of posts on how awesome working
for startups are compared to 2008/9 and the exodus of talent from wall street.
Sign of the times I guess. Makes me think we're headed back to the 'good old
days.'

This is all a bit depressing cause I feel like the conclusion a lot of society
had reached in 2008 was that finance should be boring, simple, and shouldn't
attract too much brain power from other fields.

~~~
freyr
I've noticed it too. I think many of us believe that the size of the financial
sector is extremely disproportionate to the value it adds. It drains talent by
offering smart people salaries that other industries can't afford. It gambles
with the economy recklessly, but the public pays the debt when their gambles
turn sour. And on, and on.

But let's face facts. I'd love to think everybody's really here to "change the
world" and "create value." But the biggest stories in tech entrepreneurship
focus on silly, time-wasting apps that are sold for millions. Does that really
make any more sense than giving a guy a million dollar bonus for designing a
high frequency trading algorithm?

If we don't expect more from our community, we can't really criticize theirs.

~~~
minimax
"It drains talent by offering smart people salaries that other industries
can't afford."

Bullshit. The difference is that in finance (trading, at least), good
technology is seen as a competitive advantage that makes a meaningful impact
on P&L. When financial companies do well they tend to share the love in the
form of _cash_ bonuses. This is a strategy other industries could adopt but
choose not to.

Also one other nit, there are only a few companies (the megabanks) that are
big enough to have a government backstop if they blow up. There is a whole
world of smaller outfits doing business without any such guarantee.

~~~
freyr
The mean salary in New York City's finance industry rose from $80,000 in 1981
to $360,000 in 2011, while average New York City salaries rose from $40,000 to
$70,000.

You may be right, but I just don't think there are a lot of tech companies
that could offer a mean salary of $360,000 and remain profitable. Especially
small to medium size companies. Compare that to hedge funds, which were
basically printing money and could pay their small staffs extremely large
salaries (and even larger bonuses).

~~~
rayiner
Google and Microsoft are in the same ballpark of profitability per employee as
say Goldman Sachs or Morgan Stanley. The difference is that financial firms
take pride in how much they pay their employees, while tech firms do things
like collude to depress employee wages.

~~~
wtvanhest
This couldn't be more true. I got an offer at Intel after working there for
the summer. A finance company asked what they were paying and decimated
Intel's offer. Upon telling Intel the recruiter at Intel demanded to know
where I was going. Luckily I wasn't going to Apple, Adobe (or one of the other
companies they allegedly had illegal no competes with or I would have no job
at all.

~~~
roel_v
'decimated', as in, paying you ten times less?

~~~
wtvanhest
If you are going to pull out a dictionary, make sure to read both definitions.
:)

decimated:

past participle, past tense of dec·i·mate (Verb) Verb

1) Kill, destroy, or remove a large percentage of.

2) Drastically reduce the strength or effectiveness of (something): "plant
viruses that can decimate yields".

~~~
roel_v
Even under definition 2, it still means 'reduce'. So if the salary was
'reduced', the second offer was less than the first one. It may have
'decimated the attractiveness' of the first salary, sure.

~~~
wtvanhest
Please tell me you are trolling:

Drastically reduce the strength or effectiveness of (something): "plant
viruses that can decimate yields".

decimated Intel's offer.

Drastically reduce the effectiveness of Intel's offer.

It fits exactly. Not only that, but you could also say:

Destroyed Intel's offer. (Def 1)

Decimate is the right word choice and it conveyed the intensity of how badly
Finance Co. beat Intel's offer. Your definition of decimate may be used by
heavy quants but it doesn't fit everyday usage.

------
bearmf
I get a feeling that people somehow do not want to believe that quant finance
is in very bad shape right now. It is very hard to get a job, especially
without experience. Salaries are not growing, might be even decreasing.
Starting base salaries are around 100k. You might get a bonus, but it all
depends on firm performance. Before VP level the pay is not much greater than
in tech.

You will likely need a PhD to get a job at all. Maybe a top MFE, but most MFE
graduates are perceived to have very shallow knowledge, which has a grain of
truth to it.

------
tdees40
Saying "I want to learn Quant Finance" is like saying "I want to learn
programming," in that it really all just depends. There's an impossible number
of fields and sub-fields, and many people know one field intimately but may
not know another at all (high-frequency trading and derivative pricing, for
instance, have little overlap). Also, some of these jobs (i.e. high-frequency
trading) are about 90% programming, whereas other jobs tend to be
significantly more mathematical. If you can't narrow your interests beyond
just the exceptionally broad category of quant finance, then learn enough to
figure out what subcategory you want to jump into, and then let me know and
I'll give you a reading list, if I know anything about it.

~~~
tdees40
To get it started, subcategories include:

1) High-frequency trading. Very programming oriented as trade latency is
everything. You'll need to be really good at making C/C++ code really fast.
Math is somewhat less important than other fields.

2) Derivatives pricing. Usually working for banks/hedge funds, and use various
methods (Monte Carlo, PDE, transform) to price options. Will need to know
C/C++ and/or probably Matlab, C# (Excel is king here, so MSFT languages is a
big deal), and Python is on the up and up. Will need to have a serious math
background. This is more or less what I do.

3) Algo trading. Uses mathematical techniques to find patterns and execute
trades. Probably works for a hedge fund. Programming languages vary by fund
and include Matlab, Python, C/C++, Java (one uses Ocaml). Less theoretical,
lots of playing around with data.

4) Quant risk. Usually works for a bank or hedge fund in the risk department.
Responsible for things like building VaR models. Usually requires light
programming (VBA, although serious languages help), and some lightweight math.

~~~
kasey_junk
I'd add that if you are truly interested in HFT the time when you could make
C/C++ software fast enough is either gone or very short lived. Much more
valuable would be FPGA programming or other similar skills.

~~~
rgovind
For a layman, Can you please explain why FPGA skills are good to have? Some
years, I could understand that processors were not fast enough so FPGA
parallelism was useful...I think modern processors have caught up.

~~~
kasey_junk
FPGA cards are the easiest/cheapest way to get programs into the chip level.
You can bypass OS level operations, memory/cache operations etc.

That said, you probably could build bespoke machines out of modern processors
that perform better (and someone might be doing this), but it would be very
expensive. FPGA's offer a middle ground between that and software.

------
dia80
Why learn C++? It's used because of A) history or B) it's speed is useful in
HFT that isn't UHFT yet with microwave links and ASICs.

I work in python. I'm staggered by the range and quality of the libraries.
Numpy/Scipy + Pandas + ipython = instant productivity.

~~~
radikalus
Yup -- this is the most common stack for quant nerdotry

------
kevincrane
I like the topic, but I have no idea where to start on these books. Can anyone
recommend one or two sources that would be good entry points for learning this
kind of stuff?

~~~
avenger123
A good corporate finance book is going to give you the foundation of all this.
If you read a corporate finance book and then start going through the book
list, it will make a lot more sense. A lot of the books in his book list
assume a foundation in graduate level understanding of finance.

One I would recommend is:

[http://www.amazon.com/Corporate-Finance-3rd-
Pearson/dp/01329...](http://www.amazon.com/Corporate-Finance-3rd-
Pearson/dp/0132992477/)

This will go into some level of detail into all areas.

Once you are comfortable with this material, you can branch into more deeper
study in each area.

A lot of trading systems attempt to exploit arbitrage opportunities (however
time limited) in the market place. A book like the above will give you a
deeper understanding of the stock market and the different financial
instruments that are used in the market.

It will also provide real insight into how companies manage their capital
budgeting (I have $100 million dollars, how do I decide what to spend this
money on this year). Not every company will follow the same approach, but the
fundamental concept of net present value is very common.

Once you have a good understanding of the basics then you can delve further
into derivatives. It would be hard to get into derivatives without a solid
background in what a MBA/graduate level corporate finance book gives you.

As an aside, anyone in IT that wants to expand their business know-how would
gain quite a bit by reading a corporate finance book. If you want to know what
the executive team spends their time on, the knowledge around capital
budgeting and understanding how projects are assessed (ie. using WACC and NPV)
is very valuable.

~~~
nandemo
Hmm, I think that's backwards. If you're going to work in corporate finance,
then you need to know about capital markets, derivatives, etc. But if you're
primarily interested in quantitative trading then you don't need to know all
the stuff in that book.

E.g. there's no need to know all about leasing or taxes or mergers in order to
price derivatives. In fact I doubt that most people working in the area know
much about corporate finance, whether they are math and physics PhDs working
as quant researchers or regular programmers implementing the models.

~~~
avenger123
I agree that one doesn't need to know all that stuff in that book for this
area. You are right that leasing, taxes, mergers, or corporate governance
don't apply. Those chapters in any corporate finance book should be considered
the sandwich for the meat. If you don't like those chapters, be a picky eater
and just go for the meat and leave the sandwich alone.

But if one has no clue about how stock markets work, how risk is quantified,
the intricacies of call and put options, the various types of bonds, etc. than
I would suggest a corporate finance book is a good place to start.

Why? It starts slow and builds the concepts on top of each other. These books
take a long time to put together and they are usually pedagogically well put
together. Just for this along I would recommend such a book. The effort that
has been put together to make sure that students have the best opportunity to
easily pick up the knowledge is really high.

I especially like the above book as it builds the concept of the law of one
price and arbitrage very well.

I have made the assumption that kevincrane is at this starting point.

The reality of all this is that this stuff is _hard_.

It's quite amazing much the study of finance is so complex. A corporate
finance book let's you gaze into the window without actually stepping inside.

As I suggested, its a starting point.

In my opinion, if one can't get their head around the knowledge in a corporate
finance book the rest of the material in the more technical focused books on
that book list will not be very accessible. There is a reason why people in
the field have Masters and PhD's in strong heavy math focused specializations.

------
niggler
This was asked on HN more than a year ago:
<https://news.ycombinator.com/item?id=3177815>

------
bayesianhorse
Don't forget the Coursera courses on finance, econometrics and financial
engineering. They might not cover everything, but they should be enough for
getting you interested or bored. I'm not in a Finance field, but I like these
courses a lot.

------
mesozoic
Could you point me to quant analyst job salary listing on glassdoor. I
couldn't find what the job title typically is.

~~~
fixxer
I know the "pull of the markets" is strong and my words will likely fall on
deaf ears, but here it is:

If you actually qualify for a quant job in today's crappy markets (solid
technical PhD is a start; keep in mind your bonus potential is about half of
what it was 5 years ago for HFT), please do yourself a favor and pick an
industry where you actually get to produce something. You're a decade too
late.

~~~
Stranger2013
"an industry where you actually get to produce something."

an industry where you could actually earn something would be much better!

~~~
fixxer
so true. if i had to go back, i'd (gulp!) actually consider an IT role over
trading.

------
brotchie
Here's a list I wrote up for a friend when he asked for a few "non
mathematically hardcore" finance books to read.

<http://brotchie.github.io/favourite-finance-books.html>

It overlaps somewhat with the OP's list, but I have a tiny bit of commentary
on each book.

------
Cakez0r
Don't suppose anybody knows of any service that provides historical market
pricing data available to download en masse? The only services I can find just
allow you to view data for a specific company, whereas I'd like to just dump
the data for as many companies as possible.

------
JacobIrwin
see also:

[http://quant.stackexchange.com/questions/2391/what-books-
sho...](http://quant.stackexchange.com/questions/2391/what-books-should-any-
quantitative-portfolio-manager-or-risk-manager-have-as-ref)
[http://quant.stackexchange.com/questions/431/video-
lectures-...](http://quant.stackexchange.com/questions/431/video-lectures-and-
presentations-on-quantitative-finance)
[http://quant.stackexchange.com/questions/1985/what-papers-
ha...](http://quant.stackexchange.com/questions/1985/what-papers-have-
progressed-the-field-of-quantitative-finance-in-recent-years-p)

------
rgovind
Many people say its too late to enter HFT..Is it true for developed world or
is it true for ALL countries? (India/China/etc). For example, I am not sure if
Indian stock markets have so much of HFT.

------
leoplct
I've been wondering if Quant trading really works? I mean that are really
someone who earns money with this? It's just a "gold rush"?

~~~
Mikeb85
Absolutely it does. Just about every hedge fund, trader, proprietary trading
firm, etc..., uses it. But it doesn't guarantee success. Your algorithms,
programs and analysis have to be better than the next guy, otherwise you'll
just lose money very quickly.

This is simply the evolution of trading, another tool to help traders. And
someone will always make a ton of money, while someone else will always lose.
That's how trading works.

