
Ask HN: Whats the best way for a Software Engineer to learn finance? - rupertdev
Hello!<p>I&#x27;m a young software engineer looking to learn enough finance to get started in algorithmic trading.<p>What are some good resources for someone with a programmer&#x27;s mindset to learn finance?<p>Thanks!
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daleholborow
If by trading, you mean high-frequency, then don't. I encourage you to instead
study investing. But if you must learn trading (don't), then Ernie Chan and
Michael Halls-Moore's book (s) might be a good place to start.

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noobly
Why not?

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jason_slack
I think because it is hard to beat the HFT systems that are already co-located
at exchanges. Second, it takes at a minimum $25,000 and probably $50,000
realistically to even get started trading. Most places wont let you jump in
the ring without it. Third, the OP should be prepared to lose all their money
and be ok with that.

~~~
noobly
I've heard this before, but it still seems a fun hobby, especially in domains
that may be less exploited like crypto.

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sjg007
Well crypto is not regulated so be prepared to be fleeced.

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jason_slack
This is so true. I have some friends that are going after the crytpo market
and they are indeed losing every penny.

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baccredited
Hello - fellow software engineer who dabbles in quantitative investing here. I
would start with episode 1 of Meb Faber's podcast:
[http://mebfaber.com/podcast/](http://mebfaber.com/podcast/)

And listen to all the episodes. Take your time, it took me about a year to get
through them all.

One of my favorite guests was Gary Antonacci. I read his book Dual Momentum
Investing after hearing his episode. I now use his algorithm for a sizable
portion of my portfolio.

I believe all of the day-trader focused algorithmic contests like Quantopian
are a joke. Don't waste your time. Quick trading strategies are a race to ZERO
as quality AI systems will crush all the humans in the long term.

I have found it possible to design profitable long-only strategies that only
trade once every 6 months or per year. You may find your own niches. I
backtest my algorithms with homegrown ruby code and data from tradier.com
(free with an account). I trade the good ones at motifinvesting.com which lets
you establish a track record.

Good luck! Please share your twitter handle so I can keep tabs on you. I'm at
@baccredited

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ToddPanai
Thanks for this @baccredited. I found Tradier from your note. I will keep you
posted about my progres.

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jason_slack
I am going through this right now actually. I am learning more math
aggressively, pursuing a degree in Economics and since I am writing my own
tools I am always refining my C++. So far I have 9 apps that make up my
process and each do a different step in my process.

The Chan books are good. I'd recommend staying away from his latest book.
There isn't much new content in my opinion.

E-Mail in profile if you get stuck.

Edit: I am also reading "Options, Futures, and Other Derivatives (10th
Edition)"

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matt_the_bass
Hi. Do you have a strong reason to write your tools in c++ and not python?

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jason_slack
I have 20+ years with c++ so I just default to that for my projects.

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matt_the_bass
You may wish to consider trying out python for this. In my experience it is
likely a better match for this job. It includes simple libraries for: \- Web
hooks \- Plotting \- logging \- text parsing \- unit tests And it can be run
as a simple script.

I understand the “if it ain’t broke don’t fix it” mentality. However if you
are finding any friction using C++ you might want to consider a different
technology.

~~~
jason_slack
Thanks. I am always willing to try new things.

For c++ I just write what I need if I can’t find an api I like.

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tdubhro1
In my experience, studying finance books is almost a complete waste of time.
There are several platforms, such as Interactive Brokers, that provide APIs
and market data feeds that you can get started on writing trading programs
very quickly. Don't think that you are going to invent profitable trading
strategies, at least not for a long time. There are lots of interesting and
useful exercises that are lots of fun and can be executed with very little
capital, for example, try building an algorithm that executes N shares of
stock over the day and executes them at an average price that gets as close as
possible to the volume weighted average price over the day. If you can do
that, you'll have learned as much as most working algo developers, and if
you're trying to break into a job in finance, you'll have a big advantage over
most candidates who have dabbled because you will be about the only one who
has built something useful rather than focusing on some hokey alpha signal.

If you really want to trade your own money for profit, yes, the space is
crowded and HFTs have already found most of the profitable signals that scale,
but it is still possible to find profitable signals if you source data that is
somewhat new or unique and you look for signals that are capacity constrained
and therefore of less interest to HFTs.

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peller
I might suggest you pick up copies of the books in the Market Wizards series.
A good library should have them (or could get them). It's a series of
interviews with some of the best in the field, across all kinds of different
types of finance. They're enjoyable reads, filled with insight, and give a
good broad perspective from which you can dive deeper into areas that you
think might be especially interesting to you.

[1] Market Wizards - [https://www.amazon.com/Market-Wizards-Jack-D-
Schwager/dp/088...](https://www.amazon.com/Market-Wizards-Jack-D-
Schwager/dp/0887306101)

[2] The New Market Wizards - [https://www.amazon.com/New-Market-Wizards-
Conversations-Amer...](https://www.amazon.com/New-Market-Wizards-
Conversations-Americas/dp/0887306675)

[3] Hedge Fund Market Wizards - [https://www.amazon.com/Hedge-Fund-Market-
Wizards-Winning/dp/...](https://www.amazon.com/Hedge-Fund-Market-Wizards-
Winning/dp/1118273044)

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andersamundson
Read Ed Thorp's 'A Man for All Markets'. Fantastic biography of an
extraordinary mind. Godfather of stat arb/market neutral.

It is also very helpful to understand how corporate finance works. Read 10-Ks
from a few company you're interested in. These can be found on the company's
investor relations page or in the Edgar database. (Ideally a consumer driven
company that makes stuff for people vs a bank, energy co, etc). Learn how the
various financial statements interact. While you're looking at this study DCF
valuation.

Get an idea of how non-quants evaluate investments. Particularly good are
Howard Mark's Chairman's Letters and David Einhorn's 'Fooling Some of the
People'.

Read Taleb's 'Fooled by Randomness.'

Read more Taleb.

Completely ignore financial media (eg CNBC).

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finfun234
Learn valuation
[http://pages.stern.nyu.edu/~adamodar/New_Home_Page/equity.ht...](http://pages.stern.nyu.edu/~adamodar/New_Home_Page/equity.html)

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mesozoic
Read some books, study various aspects via books experiments, maybe
take/audit/or watch a few specific finance classes (graduate MBA level finance
will be easy for you) don't do the whole degree.

