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Algorithmic Trading Basics

Top 5 Books for Algorithmic Traders

Alpaca Team
Alpaca Team

There are countless books available for algorithmic traders nowadays focusing on topics ranging from strategy development all the way to infrastructure design. Traders of all backgrounds and interests can benefit from reading and reviewing the literature on trading algorithms. At first glance, however, the vast amount of options one can choose from can be overwhelming, so our team wanted to highlight 5 books on algorithmic trading. By no means is this list exhaustive.

1. Algorithmic Trading: Winning Strategies and Their Rationale by Ernest P. Chan (2013)


Algorithmic Trading: Winning Strategies and Their Rationale
Algorithmic Trading: Winning Strategies and Their Rationale

Algorithmic Trading: Winning Strategies and Their Rationale , written by Ernest P. Chan  discusses mean reversion and momentum trading strategies and the workflow for implementing such strategies algorithmically. As Chan vividly describes each part of the process with real-life examples and potential mistakes, many new traders might find this book as a good starting point. However, this book is not just limited to newbies as traders of all levels can benefit from the insight provided. In addition to Algorithmic Trading: Winning Strategies and Their Rationale, Chan authored multiple other books on the subject, including but not limited to Quantitative Trading: How to Build Your Own Algorithmic Trading Business and Machine Trading: Deploying Computer Algorithms to Conquer the Markets.


2. Inside the Black Box: The Simple Truth About Quantitative Trading and High-Frequency Trading by Rishi K. Narang (2013)

Inside the Black Box: The Simple Truth About Quantitative Trading and High-Frequency Trading
Inside the Black Box: The Simple Truth About Quantitative Trading and High-Frequency Trading

Inside the Black Box: The Simple Truth About Quantitative Trading and High-Frequency Trading is written by Rishi K. Narang. Aimed to explain the common belief that algorithmic trading strategies are black boxes, Narang describes the process by which algorithms are designed, created, and implemented in practice. Also by discussing common quant strategies along with more generally the responsibilities of quants readers can get a better viewpoint of the quantitative and algorithmic trading industry.



3. Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris (2002)

Trading and Exchanges: Market Microstructure for Practitioners
Trading and Exchanges: Market Microstructure for Practitioners

Trading and Exchanges: Market Microstructure for Practitioners is written by Larry Harris. As this book includes information on everything from the parties involved in U.S. securities transactions to the classifications of traders, Trading and Exchanges is a great resource for traders of all backgrounds and interests. Moreover, Harris includes material on varying trade types and practices, including algorithmic trading. Another book Harris has written that might be of interest is Regulated Exchanges: Dynamic Agents of Economic Growth.


4. After the Trade Is Made: Processing Securities Transactions by David Weiss (2006)

After the Trade Is Made: Processing Securities Transactions
After the Trade Is Made: Processing Securities Transactions

After the Trade Is Made: Processing Securities Transactions is written by David Weiss. Focusing on the infrastructure  to process U.S. securities, Weiss discusses topics ranging from the role of a broker and market-maker to the matching of orders at  exchanges. By explaining the internal structure of the markets, readers can apply this information to better understand how trades are processed and executed. Other books of interest by David Weiss include Derivatives: A Guide to Alternative Investments and Financial Instruments: Equities, Debt, Derivatives, and Alternative Investments


5. The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution by Gregory Zuckerman (2019)

The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution
The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution

The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution written by Gregory Zuckerman. The book is organized as an expository on mathematician Jim Simons and his experience creating and managing the famed hedge fund Renaissance Technologies. As Zuckerman touches on aspects of trading, mathematics, computer science, and all in between, readers of various interests can find this book helpful and resourceful. In addition to The Man Who Solved the Market Gregory Zuckerman authored The Greatest Trade Ever .

Hopefully, you learned about a new book or two on algorithmic trading and until next time. ✌


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Algorithmic Trading Basics

Alpaca Team

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