Any good math/stats books suggestion for trading?

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

  1. spd

    spd

    Its not light reading by any means.
     
    #21     Apr 16, 2013
  2. j2ee

    j2ee

    well I did carefully look at financial engineering master courses structure, and I don't think it would help a lot for developing a trading system since its purpose is training a person for financial math/stats in general instead of focusing on only trading system/strategy.
     
    #22     Apr 16, 2013
  3. j2ee

    j2ee

    I just wonder any recent update in this post but unfortunately nothing yet.
     
    #23     Apr 17, 2013
  4. etfarb

    etfarb

    any papers in particular that you would recommend?
     
    #24     Apr 17, 2013
  5. #25     Apr 18, 2013
  6. LOL
     
    #26     Apr 18, 2013
  7. Let's make a distinction,

    quant finance is about calculating prices of derivatives and it's based on the assumption that prices of underlying assets (stocks, bonds, currencies) are moving randomly. It uses stochastic calculus, that's Black-Scholes. Large banks started to use q. finance to price derivatives they are selling, and to price derivatives to hedge positions in underlying assets.

    Prop trading & retail say the price movements are not random but have some patterns which they are trying to capture. They use statistics, time series analysis, machine learning, AI, something else.

    Hence, quant finance is not what OP is looking, unless s/he has a large position in an asset and wants to hedge it using derivatives.
     
    #27     Apr 18, 2013
  8. j2ee

    j2ee

    Very cool, what is OP?
     
    #28     Apr 18, 2013
  9. OP - that's you - Original Poster.
     
    #29     Apr 18, 2013
  10. Very nice distinction. Thanks!

    IMO a caveat might be that QF is perhaps also about developing an understanding of drift, volatility, and the distinction between them...

    ... and about portfolio theory, and numerical methods (a la Monte Carlo, etc), and other areas, too ...

    ... and a systematic trader could do worse than get to grips with the above to develop a better understanding of the terrain.
     
    #30     Apr 18, 2013