Here’s a short selection of books or other information sources that might be useful to those new to trading or algorithmic trading in particular. I’ve included amazon links, but some of these you can find online with some googling as well.
- Trading and Exchanges If you only read one book, read this. It is a textbook-length treatment of different types of market structure and participants. It might sound basic, but most high-frequency strategies come down to understanding market structure better than others. Pretty much every strategy class is derived from principles you can find in this book.
Quantitative Finance & Strategy Design¶
- Algorithmic Trading The most approachable, specific, book of potential strategy ideas I’ve read. It’s not all there, you have to take techniques and apply them creatively, but there’s a lot to use. The same author has a follow-up book I haven’t read which you can find on amazon.
- Analysis of Financial Time Series is an appendix of dozens of forecasting methods that can be used in all sorts of strategy types. It’s pretty math-y, probably at a high-undergrad level, but can be understood by a motivated individual.
- ML is a super-popular technique for forecasting right now. There isn’t a lot of literature out there on it’s use in finance, but a good intro to the topic in general is Andrew Ng’s Coursera course.
It’s really important to know this stuff, as it positions what is happening today in cryptocurrency markets as an echo of what has happened in other markets 5-20 years ago. There’s a lot of mistakes you can avoid, and even guesses you can make about the future, if you know your history.
- Flashboys Michael Lewis’ (The Big Short) treatment of HFT. Good history and anecdotes, and approachable to the layman. Lewis’ original book Liar’s Poker is a good tone-poem on the world of Wall Street too.
- When Genius Failed is a post-mortem on the most famous hedge-fund blow-up ever, Long Term Capital Management. A dream team of traders and nobel-laureates set out to build the smartest fund ever, and lost four billion dollars in just the span of a few years. I think this is a brilliant examination on the types of mistakes that “smart” people make. Intelligence can be used and misused, and when you put money on the line it’s important to know the difference.
- The Quants In depth work about the early days of the electronic trading world. I don’t love the author of this, he gets some parts wrong, but lots of good anecdotes. He has a follow-up called Dark Pools which is also worth a read.
- Black Swan is a treatise on how to think about rare extreme events, in life, finance, politics, health, etc. It was written by a trader who has made his career about having positive upside on such events (like Black Monday in the 80s, or the 2008 crash). Given that cryptocurrency markets are 100x more volatile than the economy at large, if you don’t understand how to think about these risks you will very likely fail in the long-run.