 | Market Wizards: Interviews with Top Traders by Jack D. Schwager
Buy new: $12.21 / Used from: $10.30 Absolutely number one. You just need to read this book. Although its quite old (from time when Trading was less quantitative), it gives you the intuition behind the trading.
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 | The New Market Wizards: Conversations with America's Top Traders by Jack D. Schwager
Buy new: $12.21 / Used from: $3.23 Second part of the famous book.
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 | Fooled by Randomness: The Hidden Role of Chance in Life and in the Markets by Nassim Nicholas Taleb
Buy new: $10.88 / Used from: $6.80 First you need to understand basic probabilistic intuition behind trading.
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 | Foundations of International Macroeconomics by Maurice Obstfeld
Buy new: $67.20 / Used from: $48.95 Understanding Macroeconomics maybe quite important at some point of your carrer of quant trader.
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 | Time Series Analysis by James Douglas Hamilton
Buy new: $84.00 / Used from: $66.73 Time series analysis (cointegration, VARs, state spaces etc). You need to read it before you start to design your statistical arbitrage trading system.
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 | Arbitrage Theory in Continuous Time (Oxford Finance Series) by Tomas Bjork
Buy new: $78.76 / Used from: $76.01 Rigorous introduction to asset pricing.
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 | Stochastic Differential Equations: An Introduction with Applications (Universitext) by Bernt Oksendal
Buy new: $40.56 / Used from: $32.00 You need to understand stochastic calculus to get through advanced asset pricing (Duffie, Musiela and Rutkowski). Bjork contains some intuitive introduction to this topic.
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 | Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics) by Ioannis Karatzas
Buy new: $53.95 / Used from: $35.97 If Oksendal is not enough (very unlikely)
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 | Dynamic Asset Pricing Theory, Third Edition. by Darrell Duffie
Buy new: $80.00 / Used from: $64.83 More advanced than Bjork, but still useful.
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 | Martingale Methods in Financial Modelling (Stochastic Modelling and Applied Probability) by Marek Musiela
Buy new: $95.00 / Used from: $58.49 If you want to write a PhD in asset pricing you will need this book. If you will just trade Bjork is enough. Musiela Rutkowski book is at similar level of difficulty to Darrel Duffie's book.
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 | Financial Instrument Pricing Using C++ (The Wiley Finance Series) by Daniel J. Duffy
Buy new: $108.00 / Used from: $34.99 Now you need to program what you learned. You need C++ for that.
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 | C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk) by Mark S. Joshi
Buy used from: $212.43 If you want to be even more effective in C++ read this book.
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 | Building Automated Trading Systems: With an Introduction to Visual C++.NET 2005 (Financial Market Technology) by Benjamin Van Vliet
Buy new: $63.96 / Used from: $46.89 |
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