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If anyone is interested in more reading on the history of algorithmic trading, I've posted a screen grab of the top half of one of my book shelves.

Some of this maybe a repeat to people as I often get asked for recommendations on how to get into algorithmic trading.

http://imgur.com/OdzB4aW

http://www.amazon.ca/Fortunes-Formula-Scientific-Betting-Cas... The history of hte first real quant

http://www.amazon.ca/Dark-Pools-Machine-Traders-Rigging-eboo... The history of the rise of algorithmic trading

The phyisics of wall street was mentioned by someone else, great book

http://www.amazon.ca/Quants-Whizzes-Conquered-Street-Destroy... This profiles 4 famous traders including Simons, alos a great book

http://www.amazon.ca/Heard-Street-Quantitative-Questions-Int... A must read if you want to get into quantitative finance.

As always, email if you'd like to chat.




Do any of the books go into detail explaining how and why successful strategies worked? Historically that is. I wouldn't expect any strategies outlined in a book to be profitable today, but I would be interested in how a strategy was formalised.



I prefer to pick that sort of thing up from mathematical texts or a textbook.

The principles are pretty simple from a probabilistic perspective: it's just a matter of making inferences from the available information and choosing an optimal course of action from that. Information theory provides a nice framework for this basis, imo.

You can find this introduction (including topics like Kelly's criterion etc) in Cover's Elements of Information Theory, a good introduction to information theory in general if you like.

https://en.wikipedia.org/wiki/Gambling_and_information_theor...


Totally agree. A description of his model and how he created it would be awesome !

By the I really enjoyed dark pools. No practical knowledge, but a pleasure to read.


>screen grab of the top half of one of my book shelves.

aka a photo?

Pretty cool regardless of name. :)


I have some of those same books. Is there anything interesting on the bottom half of your bookshelf?


Sure, here you go http://imgur.com/zdLSEek


I am going to ping you via e-mail too. I'd love to talk about trading..




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