Resources for Quant Trading/Research
These are resources I have found interesting or helpful in my (currently short) career in finance. This is also my
reading list -- if I haven't explicitly read/vetted the resource linked, I'll flag it in the description.
For the moment, these are ordered arbitrarily and uncategorized.
Blogs:
- Run by a former option trader at SIG who covered oil -- one of the most comprehensive blogs for trading options,
and great for general trading intuition.
- Run by a QR at the Xantium Group. Covers a lot of the math behind options, portfolio construction, and machine
learning techniques.
- Run by Robert Martin, currently a trader at D.E. Shaw. Some interesting pieces on markets/trading, and many
interesting thoughts on his second brain system.
- Run by Robert Carver, who used to work on systemtic macro (AHL) at the MAN Group. A very principled,
first-principles approach to systematic trading.
- Run by a trader at a systematic macro fund in the UK. His articles are generally interesting and nuanced, though
not the most big-picture.
- The articles here are mostly published by a former quant at Graham Capital / UBS AG / Bluecrest. Similar to Rob
Carver's blog, I think the approach is very principled, intuitive, and didactic.
- Run by Jamin Ball, a partner at Altimeter Capital. I don't think this is very quantitative, but his
reasoning is systematic and clear. More importantly, I think these hedge funds tilted long market, long tech,
long momentum have become more popular and are now the marginal buyers and sellers in tech, and by extension,
much of the S&P 500 / NASDAQ 100 incides. It's helpful and interesting to learn how they view the world.
- Run by Byrne Hobert, a former PM at SAC Capital (now Point 72). He writes interesting and insightful articles
focused on general finance and technology. Though broad, I find them helpful for building intuition about the
industry.
- Arguably the most prolific finance writer of late -- following this is table stakes for communicating with people
that work in finance.
- Run by a Nobel Laureate economist and professor. I think this is a particuarly approachable take on economics --
his models are simple and interpretable, and he dedicates a lot of time to building intuition.
- Run by a former Bridgewater employee. Good fundamental macro research.
- Run by a former Bridegater employee. Entertaining, big-picture analysis of commodities and other aspects of
macro.
- Thematic macro research. I do not purchase this, but many coworkers find it insightful.
Books:
- Have not read cover-to-cover, but have consulted the drafts for specific solutions to problems I run into.
Rigorous and well-presented.
- Written by the former head of risk / QR at Millenium, Citadel, and HRT. Currently heads QR at Balyasny. A great
introduction to quantitative portfolio management for beginners or those with a fundamental long-short
background.
- A good introduction to commodities and the massive, under-discussed trading houses that control their flow
(Glencore, Vitol, Cargill, Javelin, etc.).
- Have not read, but have heard fantastic things.
- Read and enjoyed Fooled by Randomness. The prose is light, and the lessons are insightful, though they
have become more widely accepted now than they were when he introduced them.
- I found this interesting, though it has nothing on Rentech's strategies. It extensively covers how Simons
hired people, which is also insightful and hints at Medallion's approach.
- Thorp is probably my favorite hedge fund manager. The book is witty, the stories are clever, and there is a good
amount of philosophy on what creates a successful quantitative strategy. The latter half of the book is
dedicated to advice for the everyday household portfolio manager or risk taker, which was useful. Many of his
inisghts are so beautiful because he spent a lot of time rigorously proving them, but the final product is
incredibly simple.
- Have not read, have heard good things
- Have not read, was recommended by Kris from Moontower
- More of a history than anything else, but interesting and well-written. A close friend got me this for my 19th
birthday, and it's a large reason I wanted to enter trading instead of the conventional IB/PE pipeline from
Penn.
- Written by a former WSOP bracelet holder, covers a robust framework for making decisions when playing games of
incomplete information.
- This book was a mixed bag. I'm not a fan of the philosophy interspersed throughout, largely inspired by
Popper, but Soros' opinions about the market are unique and insightful.
- A book on poker that generalizes well to adversarial environments (like markets). Was curriculum at CitSec.
- Written by Robert Carver, who used to work on systemtic macro (AHL) at the MAN Group.Have not read, but I've
heard that this is the closest to a how-to book for systematic futures trading that there is. I really enjoy his
blog (linked above).
- Have not read, but is one of the dominant textbooks for options.
- Was curriculum at CitSec (and Optiver, unsure about others). A table-stakes book to read if trading options.
- An incredibly dense summary of the history of oil. Insightful, but slow-paced and only partially relevant to
trading.
- Have not read, but was highly recommended by my head of desk.
- Dalio does an incredible job presenting why debt crises happen and the levers that governments have to respond
with. I think this is far superior to economic theory because it is informed by empirical observations.
- A detailed breakdown of an infamous story in finance. I think Lowenstein does a good job presenting what worked
and what didn't work for LTCM.
- I think this is a must-read. Though it mostly presents a framework for evaluating the probability of events and
assessing forecast accuracy, I think these skills generalize well to finance, and particularly fundamental
macro.
- Have not read, have heard good things
- Have not read, have heard good things
- Have not read, have heard good things
- Have not read, have heard good things
- Have not read, have heard good things
- A collection of short essays by Krugman (whose blog I linked above) -- remarkable for their simplicity and
insight. Unlike many theorists, Krugman uses the world to inform his models, not the other way around.
- Have not read, but is highly recommended online (which I'd take with a grain of salt).
- Have not read, but is highly recommended online (which I'd take with a grain of salt).
- My first place to go when I struggle with techniques in classical ML. I think almost every QR I know has read
and understood this.
- I skimmed through a few of Strang's books and found this to be the most quick-and-dirty to apply to quant
research. His talent is building beautiful intuition.
Papers: [#TODO]
Misc:
Repositories:
- An intuitive, performant implementation of a factor model as described in Advanced Portfolio Management
- A didactic implementation of the Black Litterman model. For real applications, I'd recommend building this
yourself with cvxpy, but there aren't many good open-source implementations of an optimizer and this gets
the job done.
- I'm just starting to look through this for personal use, but it seems like there are some valuable lessons
in how to interact with REST endpoints or websockets in a performant way.
Fun, but unhelpful:
I don't recommend these for investing content, though they are interesting
Books:
- I enjoyed this when I read it, but it's an oversimplification and is pretty dated at this point. I think the
opinions on dark pools are particularly one-sided. This video from Kris (Moontower) has a good argument
for why the idea of dark pools existing to pick off investors is incomplete.
- I really enjoyed this book and would recommend it for a rainy weekend, but the focus is on fraud and insider
trading, not finance.