UK
Trading in investment banks is foundering due to the Volcker Rule. Hedge funds are having a bad year due to bad markets. But high speed trading is expected to grow.
Even though this week’s leaked MiFid II document suggests high speed trading will be regulated in future, high speed trading remains a growth market. A report this week from the Tabb Group predicted it will shake up the options trading market in the same way that’s transformed equities trading.
If you know nothing about predatory algorithms and latency arbitrage you can start by reading this from Tradeworx.
Anyone else may want to pay a long visit to Amazon.
Leading high frequency trading companies are keen on providing extensive reading lists for their potential employees. These are the books advocated by DRW, and Allston. Digest them all and you will know about high frequency trading. You may even get a job.
· Option Volatility & Pricing: Advanced Trading Strategies and Techniques by Sheldon Natenberg
· Options Markets by John C. Cox and Mark Rubinstein
· Options, Futures, & Other Derivatives by John C. Hull
· The Bond Market by Christina I. Ray
· The Treasury Bond Basis: An in-Depth Analysis for Hedgers, Speculators, and Arbitrageurs by Galen Burghardt and Terry Belton
· The Eurodollar Futures and Options Handbook by Galen Burghardt
· Volatility Trading by Euan Sinclair
· The Business of Options: Time-Tested Principles and Practices by Martin O’Connell
· The Visual Display of Quantitative Information by Edward R. Tufte
· The Pragmatic Programmer by Andrew Hunt and David Thomas
· Design Patterns by Erich Gamma
· Refactoring by Martin Fowler
· Clean Code: A Handbook of Agile Software Craftsmanship by Robert C. Martin
· Pragmatic Thinking and Learning: Refactor Your Wetware (Pragmatic Programmers) by Andy Hunt
· Elements of Programming by Alexander Stepanov and Paul McJones
· The C++ Programming Language by Bjarne Stroustrup
· Effective C++ by Scott Meyers
· Programming Pearls by Jon Bentley
· Beautiful Code by Andy Oram and Greg Wilson
· Coders at Work by Peter Seibel
· Structure and Interpretation of Computer Programs by Harold Abelson, Gerald Jay Sussman and Julie Sussman
· Concepts, Techniques and Models of Computer Programming by Peter Van Roy and Seif Haridi
· The Art of Computer Programming Donald Knuth (1998)
· Code Complete Steve McConnell (2004)
· Coders at Work Peter Seibel (2009)
· The Mythical Man-MonthFrederick P. Brooks (1995)
· Refactoring Martin Fowler & Kent Beck (1999)
Productive and socially uselful career path ……
SICP? the lisp text? Good book but about as relevant to high frequency trading as Jane Eyre, my friends.
With all these IT books I would have expected at least one on multithreading.
That’s rich coming from a banker….
This list of books looks suspicious.
“Digest them all and you will know about high frequency trading”
What does “digest” mean in the above sentence?
It cannot be “attain a high level of proficiency”: I challenge anybody to state they are proficient in all the subjects treated by the long list above…
Any high frequency trader out there who can confirm/deny this?
@Sarah
The list is seems to be highly skewed towards programming. Perhaps this misunderstanding comes from my limited knowledge of this type of trading (i.e. high concentration of IT / Research working close to desk).
Can you confirm this is for trading roles only, or does it include trade support functions, research, quant developers etc?
AQD
@AQD – this is for all roles in high frequency trading, including developers.
Taken straight from an Australian prop trading firms website, the name of which has slipped my mind. Must be tough compiling lists in efinancial.
@Lovelists – the article explains that the reading list is derived from two trading firms. There’s even a link to them in the article if you look very closely.
Just noticed “The Art of Computer Programming” in the list – has anybody actually ever *read* all of it?
Nassim Taleb “Fooled by Randomness” to realise it is all a scam