40 books and educational resources for studying the stock market and algorithmic trading / ITI Capital Blog

The stock market is a large-scale and complex field of knowledge. In the last couple of decades, various technologies of exchange trading have been actively developing. To understand the structure of the stock market, the laws and principles that work on it, as well as the technologies used by various players, is not easy.

Our material today contains a selection of 40 books and educational books that will help you better prepare for getting started on the stock market and writing mechanical trading systems.

Note: In preparing the material, recommendations of Russian and foreign experts working in the stock market were used. Among them - Michael Halls-Moore (expert on Quantitative trading and author of the blog QuantStart.com ), Andrey Gorkovenko (developer of the SmartX terminal), Alexey Afanasevsky (co-founder of the Quantum Parity Algorithmic Fund ).

Stock market device

• Fooled by chance. The hidden role of chance in markets and in life - Nassim Talleb - a cult book in the financial environment is useful for forming the right attitude to the stock market (and to life in general);
• Reminiscences of a stock-market speculator - Edwin Lefebvre - a classic work that tells about the life of a stock-market trader in colors;
• Stock Trading. The classic formula for timing, money management and emotions - Jesse Livermore - the book provides a "Livermore formula" with an example of its application;
• Investor dancer. How I earned $ 2,000,000 in the stock market - Nicholas Darvas - the story of a professional dancer who managed to develop a method of efficient selection of stocks for trading, ideal for beginners;
• New magicians of the market. Conversations with America's best traders - Jack D. Schwager - Conversations with leading portfolio managers and traders who have achieved outstanding success in trading on the exchange;
• How to predict the collapse of financial markets. Critical events in complex financial systems - Didier Sornette - the author has developed a scientific method for predicting market failures based on information about past crises;
• Long-term secrets of short-term trading - Larry Williams - a description of trading methods and tips to improve its effectiveness;
• Chaos and order in capital markets. A new analytical look at the cycles, prices and market volatility - Edgar Peters - describes the problems of modern nonlinear economic dynamics;
• Quantums. Like math wizards have earned billions and nearly brought down the stock market, Scott Patterson is a bestseller about the life of quantum merchants, which many consider to be the cause of the 2007 stock market crisis;
• Sand Castles Wall Street. The History of Greatest Fraud - Kurt Eichenwald - A description of the instructive history of fraud at Prudential-Bashe;
• Trading and Exchanges, Larry Harris - a book about the structure of the stock market, the laws acting on it, the types of exchanges and players on them;
• Secrets of exchange trading - Vladimir Tvardovsky, Sergey Parshikov - a theoretical and practical textbook on Internet trading in the Russian stock market;
• The list of literature on derivatives on the Moscow Exchange website is a detailed list compiled by the Exchange’s specialists, in which beginners and experienced investors will find useful resources for themselves.

Math training

• Financial engineering. Tools and methods of financial risk management - L. Galits - the book clearly defines all the tools used in financial engineering;
• “Methods and algorithms of financial mathematics” - Yu-Dau Liu - a fundamental monograph in which the concepts of financial mathematics are presented in an accessible language;
• Buying and Selling Volatility — Mikhail Chekulaev and Kevin B. Connolly — a detailed explanation of the “volatility trading” strategy;
• Lectures by Grigory Kantorovich from the Higher School of Economics ;
• High-frequency trading in a limit order book, Marco Avellaneda and Sasha Stoikov - one of the most famous articles of financial experts and mathematicians;
• The Complete Guide to Capital Markets for Quantitative Professionals, Alex Kuznetsov - a book for people with experience in science and technology who want to better understand the field of finance;
• A Guide to Econometrics, 6th Edition - Peter Kennedy is an excellent book that can serve as a good complement and extension of university courses in econometrics.

Algorithmic and automated trading

• Quantitative Trading, Ernest Chan - a book for individual investors engaged in automated trading;
• Algorithmic Trading, Ernest Chan is another Ernest Chan book that describes strategies for automated and algorithmic trading;
• Inside the Black Box, Rishi K. Narang - a book for beginner HFT-traders who are creating their own trading system.
• Algorithmic Trading & DMA, Barry Johnson - a book for developers of automatic "trading engines" (rather than algorithmic systems);
• The Evaluation and Optimization of Trading Strategies, 2nd Edition, Robert Pardo - a book about the development of trading systems, their testing and use;
• An Introduction to Algorithmic Trading: Basic to Advanced Strategies, Leshik, Cralle - a book on automated and algorithmic trading, various algorithms are considered (including brokerage trading systems);
• Building Algorithmic Trading Systems: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading, Kevin J. Davey - the author shares his best practices in creating automated systems for online trading;
• Statistical Arbitrage: Algorithmic Trading Insights and Techniques, Andrew Pole - a book about statistical arbitrage and automated trading based on it;
• High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems, 2nd Ed, Irene Aldridge - a useful book on high-frequency trading (HFT, high frequency trading);
• The Science of Algorithmic Trading and Portfolio Management, Robert Kissell - a book on algorithmic trading and portfolio management, suitable for readers with advanced knowledge of mathematics;
• The Practical Guide to Wall Street: Equities and Derivatives, Matthew Tagliani - a book written by an experienced trader is designed for those who want to not only understand the financial market, but also find work in this area;
• Practical .NET for Financial Markets, Yogesh Shetty, Samir Jayaswal - a good introduction to the development of trading systems (whose code is written in .NET);
• C ++ for Quantitative Finance - Michael Halls-Moore's book on the use of C ++ in creating financial applications.

Educational and informational resources

• The course on creating mechanical trading systems in WealthLab environment - a course from ITinvest partners, developers of the StockSharp trading system;
• A course on working directly with the StockSharp platform - includes techniques for writing robots in C #;
• MFD Information Edition - latest economic information;
• ITinvest experts analytical materials - analysis of current events in the economy;
• ITinvest blog on Habré - creation of trading robots and technology of online trading;
• ITinvest Blog at Geektimes - the impact of online trading on the economy; device; stock market;
• Smart-Lab.ru Trader Community - stock market discussions and expert publications.

That's all for today, thanks for watching. Do not forget to subscribe to our blog ! Share links to other useful books and educational resources in the comments.