I am building my day trading system with open source Tradelink and need math/stats theories/algorithms for brainstorming my trading strategy. Any good book recommendation?
haha, new to trading eh? quant trading by ernie chan. check out his blog, tons of info there. in regards to a specific stats book... not sure what to recommend. what kind of system are you looking to build? are you thinking about more advanced concepts than linear regression?
I thought that was a joke I remember I saw this book cover http://www.amazon.com/dp/0470284889...7YF15E&&ref-refURL=http://epchan.blogspot.hk/ I did read books about trading but nothing very deep into math/stats yet. Where should I start with and get into it?
Can try these... http://www.amazon.com/Asset-Price-D...=1366085365&sr=1-1&keywords=Stephen+J.+Taylor ...various stylized asset facts and some common trading methodologies covered (along with excel spread-sheets to repeat). http://www.amazon.com/Evidence-Base...qid=1366085451&sr=1-1&keywords=rules+based+ta ...methods to approach various statistical tests to trading results.
I read parts of Evidence-Based-Technical-Analysis-Scientific-Statistical, basically it focuses on proving common subjective trading method and simple single variable TA/formula don't work. It doesn't talk much about advanced math/stats methods. I saw the real copy of Asset-Price-Dynamics-Volatility-Prediction, it is super thick and look like an university textbook, it is really useful!?
It's not that thick from my perspective; maybe you are thinking of a different text (mine's paperback, or maybe you mean evidence based TA). Considering all of the other qualitative trading books out there, and the fact you are asking for some statistical rigor; I'd say yes. What particular area of math/stats do you want to see? You can try these popular graduate level texts... I've found both useful. http://www.amazon.com/Statistical-M...=statistical+models+and+methods+for+financial (some trading, mostly quantitative finance). http://www.amazon.com/Statistics-An...&sr=1-1-catcorr&keywords=statistics+financial (more financial engineering oriented than trading)
Carol Alexander - Market Risk Analysis, Quantitative Methods in Finance to start. http://www.amazon.com/Market-Analys...id=1366087913&sr=1-1&keywords=carol+alexander