Any good math/stats books suggestion for trading?

Discussion in 'Strategy Development' started by j2ee, Apr 15, 2013.

  1. j2ee

    j2ee

    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?
     
  2. etfarb

    etfarb

    ernie chans book?
     
  3. j2ee

    j2ee

  4. etfarb

    etfarb

    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?
     
  5. j2ee

    j2ee

    I thought that was a joke:D 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?
     
  6. j2ee

    j2ee

    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!?
     
  7. 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)
     
  8. gtor514

    gtor514

    #10     Apr 16, 2013