I've been reading "An Introduction to High-Frequency Finance" as of late to decide whether I need any sort of data-cleansing components for my trading system. The book is very math intense. The good news is that I have -most- of the math background required to understand the book. The bad news is that I forget pieces of information here and there and have been slogging through math books the past two days.
The calculus? I'm decent I remember integrating by parts, most of the basic trig integrals, and integrating with substitution. I remember the basic multi-variable calculus. The matrix math? I mostly remember. The statistics? That's where my knowledge has some gaps. So, the intention, if all works out, is to take a probability and statistics class for a review of the material.
There's two books I'm bouncing back and forth between. "An Introduction to High-Frequency Finance" and "An Introduction to Financial Calculus". There's quite a bit of material and I've read about 25% of each book. The only problem with these books, of course, is that there aren't enough exercises for the reader to work on to really reinforce the mathematics.
As far as the opening system, it's roughly 60% complete as far as signal generation, but it is not complete as far as backtesting. I also need an order management system. Neither of these software components are trivial.
I've decided to spend some time searching for contract work on the side to cover basic living costs and scrap scalping for profit at the time. I'm interviewing right now, so as soon as the interviews are complete and I have secured a solid schedule, I can plan development time ahead in advance.
