Recommended Books

Here's a short list of books with insights into quantitative investing that we have read and keep handy on our shelf.

Essays On Trading Strategy

by Graham L. Giller

This book focuses on practical trading strategies and combines them with a solid theoretical foundation for solving trading strategy problems. It provides real-world solutions suitable for traders with different risk profiles and objectives in markets with significant tail risk. The Markowitz approach's tendency toward excessive risk-taking and trader underperformance is discussed, highlighting the deficiencies of the Sharpe Ratio. The book also covers Utility Theory, critiques the Sharpe Ratio as a statistic, and introduces an optimal decision theory with detailed examples for both "normal" and leptokurtotic distributions.

The Laws of Trading: A Trader's Guide to Better Decision-Making for Everyone

by Agustin Lebron

The Laws of Trading offers a unique perspective on decision-making, guided by a professional prop trader. Unlike other trading books, it provides practical insights for profitable trades and real-life applications. Exploring the flaws in human decision-making, the book teaches skills applicable to day-to-day choices, drawing on the trader's experience in various market conditions. It emphasizes mastering decision-making for success in both trading and life, introducing and applying one law per chapter. The book covers finding your "special edge" and navigating interactions with AI. Ideal for those seeking tools for rational decision-making in a competitive environment.

Little Book That Beats The Market

by Joel Greenblatt

In The Little Book That Beats the Market, Joel Greenblatt, with a track record of 40% annualized returns, offers a magic formula for stock market success. He breaks down the formula using simple language and humor, making it accessible with 6th-grade math. The book teaches a low-risk method to beat the market and professional managers significantly, providing insights into viewing the stock market, explaining why success is elusive for many investors, and why the formula remains effective despite widespread awareness.

Advanced Portfolio Management

by Giuseppe A. Paleologo

As a quant have you ever done your best to try and teach what you know to the fundamental stock picker in your life? Then this book is for them! It is relatively light on the mathematics but provides good portfolio construction heuristics for them to follow and get on the straight and narrow.