(Part 2) Top products from r/quant

• Hull's Derivatives is the bible
  
• Stigum's Money Market is a legitimately enjoyable read and taught me SO MUCH
  
• Fabozzi's Fixed Income Handbook is a good general overview of the FI market. (More widely known than, but not as good as Stigum's.)
  
• I don't know where your programming skills are, but try to model out anything that you find interesting in the books above using Jupyter. This will help a great deal with internalizing what's happening mechanically underneath the concepts you're learning.
  
• How I Became A Quant for easy train/bed reading.
  
• Mandlebrot for a dose of realism. Models are always wrong.
  
• The Medium of Contingency for a glimpse into the mind of a practitioner. It's... weird.
  
• Cliff's blog because he's humble (and also my idol). His chapter in How I Became A Quant is the best, imo.
  
  disclaimer: Not a quant, never went to school for it nor worked in finance. I just like reading. This list is more than enough for the summer, but let me know if you want material focused on anything in particular. (Structured products, history, etc.)

I have a similar academic background as you (math / econ) and am a largely self-taught quant. For books, I recommend Active Portfolio Management and Quantitative Equity Portfolio Management. I also recommend academic papers to get a feel for the empirical side in addition to theory that you will read in the books. Great papers to start with are Fama / French (1992) and Avellaneda / Lee (2008). As mentioned, Quantopian is also great for the user forum and pre-baked back-testing engine. You would also find a lot of value in building your own simple back-testing engine in python or matlab or whatever. I wrote mine in python.

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Don't feel intimidated. When I first picked up academic papers, I understood 10% of it on first read. Now, I'm able to breeze through many of them, depending on how esoteric the math / symbology is. Feel free to message me any specific questions you need and I can try to point you in the right direction.

A book from 2005:

Quantitative Finance for Physicists: An Introduction. Anatoly B. Schmidt. ISBN 0-12-088464

I don't know anything about the book or author but the title stuck in my mind and it seems like it might be appropriate for you. Good luck!

"Y'all"? Ha you remind me of my friend from da South.

Anyway, getting fixated on a specific journal will not be effective, especially when you are not familiar with the fundamentals. I suggest reading some introductory texts (Hull, Baxter). Then maybe you can move on to Wilmott magazine (school library might have it). Then perhaps you will know enough to search for relevant papers on http://www.ssrn.com/en/.


Hope that helps.

I haven't read this, but it may be of interest to you.

I'm assuming that the classics are O'Hara's market microstructure theory and Hasbrouck's Empirical Market Microstructure.

You could take a look at High-frequency Trading
, a compilation of relatively recent papers (chapters are available online somewhere, don't pay for it). I thought that the chapter by Michael Kearns and Yuriy Nevmyvaka "Machine Learning for Market Microstructure
and High Frequency Trading" was interesting, though not very useful from a practical perspective.

I also found this book to be interesting: https://www.amazon.com/Financial-Markets-Trading-Introduction-Microstructure/dp/0470924128.

Otherwise, I would just pay attention to recent papers posted to SSRN and Arxiv

Edit: Article with several books on c++

not free but heres a book.