You are using an out of date browser. It may not display this or other websites correctly.
You should upgrade or use an alternative browser.
You should upgrade or use an alternative browser.
Any good math/stats books suggestion for trading?
- Thread starter j2ee
- Start date
Quote from Nab:
Don't waste your time reading books ...
Take a look into papers in
http://arxiv.org/archive/q-fin
to get some rough idea what math can be applied and then cherry-pick math lecture notes for the topics you are interested in. (Fortunately, the math used in q.finance is rather primitive ...)
well I did carefully look at financial engineering master courses structure, and I don't think it would help a lot for developing a trading system since its purpose is training a person for financial math/stats in general instead of focusing on only trading system/strategy.
Quote from Nab:
Don't waste your time reading books ...
Take a look into papers in
http://arxiv.org/archive/q-fin
to get some rough idea what math can be applied and then cherry-pick math lecture notes for the topics you are interested in. (Fortunately, the math used in q.finance is rather primitive ...)
any papers in particular that you would recommend?
Someone has already mentioned book by Tsay:
http://www.amazon.com/Analysis-Fina...s&ie=UTF8&qid=1366289256&sr=1-1&keywords=tsay
Also, Hamilton - is very theoretical, you use this book if you write a Ph.D thesis, otherwise you're better served by Tsay.
http://www.amazon.com/Time-Analysis...sr=1-1&keywords=hamilton+time+series+analysis
http://www.amazon.com/Analysis-Fina...s&ie=UTF8&qid=1366289256&sr=1-1&keywords=tsay
Also, Hamilton - is very theoretical, you use this book if you write a Ph.D thesis, otherwise you're better served by Tsay.
http://www.amazon.com/Time-Analysis...sr=1-1&keywords=hamilton+time+series+analysis
Let's make a distinction,
quant finance is about calculating prices of derivatives and it's based on the assumption that prices of underlying assets (stocks, bonds, currencies) are moving randomly. It uses stochastic calculus, that's Black-Scholes. Large banks started to use q. finance to price derivatives they are selling, and to price derivatives to hedge positions in underlying assets.
Prop trading & retail say the price movements are not random but have some patterns which they are trying to capture. They use statistics, time series analysis, machine learning, AI, something else.
Hence, quant finance is not what OP is looking, unless s/he has a large position in an asset and wants to hedge it using derivatives.
quant finance is about calculating prices of derivatives and it's based on the assumption that prices of underlying assets (stocks, bonds, currencies) are moving randomly. It uses stochastic calculus, that's Black-Scholes. Large banks started to use q. finance to price derivatives they are selling, and to price derivatives to hedge positions in underlying assets.
Prop trading & retail say the price movements are not random but have some patterns which they are trying to capture. They use statistics, time series analysis, machine learning, AI, something else.
Hence, quant finance is not what OP is looking, unless s/he has a large position in an asset and wants to hedge it using derivatives.
Quote from vincegata:
Let's make a distinction,
quant finance is about calculating prices of derivatives and it's based on the assumption that prices of underlying assets (stocks, bonds, currencies) are moving randomly. It uses stochastic calculus, that's Black-Scholes. Large banks started to use q. finance to price derivatives they are selling, and to price derivatives to hedge positions in underlying assets.
Prop trading & retail say the price movements are not random but have some patterns which they are trying to capture. They use statistics, time series analysis, machine learning, AI, something else.
Hence, quant finance is not what OP is looking, unless s/he has a large position in an asset and wants to hedge it using derivatives.
Very cool, what is OP?
Quote from vincegata:
Let's make a distinction,
quant finance is about calculating prices of derivatives and it's based on the assumption that prices of underlying assets (stocks, bonds, currencies) are moving randomly. It uses stochastic calculus, that's Black-Scholes. Large banks started to use q. finance to price derivatives they are selling, and to price derivatives to hedge positions in underlying assets.
Prop trading & retail say the price movements are not random but have some patterns which they are trying to capture. They use statistics, time series analysis, machine learning, AI, something else.
Hence, quant finance is not what OP is looking, unless s/he has a large position in an asset and wants to hedge it using derivatives.
Very nice distinction. Thanks!
IMO a caveat might be that QF is perhaps also about developing an understanding of drift, volatility, and the distinction between them...
... and about portfolio theory, and numerical methods (a la Monte Carlo, etc), and other areas, too ...
... and a systematic trader could do worse than get to grips with the above to develop a better understanding of the terrain.