Stats for nerds
4recommend
4mentions
4people
2011–2025years
100% recommend
Mentions per year
What Hacker News says
- Quant finance (let alone finance) is not math, and should not be studied as such.
Browse this excellent & concise book, which starts with a few practical problems to test your math background; if you pass, it'll take from Forwards, to Bermudan Swaptions in only about 150 pages!
Blyth, S.J. (2013), “An Introduction to Quantitative Finance”
Fun factoid - Blyth was the former head of Harvard's Endowment and Stats prof. He taught Stat-123 which was a jr level class at Harvard. He'd put on IR options trades via Bloomberg chat in the middle of his lectures in real time!
- Trading and Exchanges: Market Microstructure for Practitioners, An introduction to quantitative finance by Blyth.
Avoid pop finance books that is light on numbers. If you want to understand the qualitative aspects/culture/history, books like Flash Boys or Flash Boys: Not so fast are more than sufficient. Stay away from "technical" books that are designed for layman and non-technical readers. They will handwave Black Scholes and economic math and you will simply be going through the movements without truly understanding.
Books like Reminiscences of a Stock Operator are great secondary books to supplement your primary readings. You don't give a beginning programmer Pragmatic Programmers/Clean Code/Programmers at Work when he or she can barely write a hello world, let alone a quicksort. You want a intro to programming course followed by something like SICP to lay in the foundations of abstraction and computer science. It is the same for finance. Half of the books in this thread are either financial pop science or has little relevance to somebody who wants a rigorous understanding of how the stock market system works.
Also to note, Buffet and A Random Walk Down Wall Street are books that espouse certain schools of thought on managing portfolio. Judge them by their history and backtest their theories rigorously. It is like Object Oriented Programming, fads wax and wane with time and everyone has their opinion on how trading should work so take things with a grain of salt. Lastly, trading and managing a 10 billion dollar fund is quite different from e.g. 100k in your tax free social security account due to stuff like network effects and doors that can only be opened when you have enough zeroes on your spreadsheet so what's good for the goose is not always great for the gander.
Once you are done with stock markets, get a macroeconomics textbook to understand how it ties into the federal reserve (or central bank) and how government bonds affect liquidity, that sort of thing. Again, avoid pop science books which shows up way too often on HN (this is worse with biology, another subject that this forum has a poor grasp of).
- Hi, apologies for the slow reply. Yes predominately Monte-carlo simulations are used. If you are interested in the field an easy entry point is Paul Wilmotts "Introduction to Quantitative Finance".
- Any of Paul Wilmott's books. Either his single Introduction to Quantitative Finance, or his three volume set. His focus is on knowing where models work and where they break down, and how to avoid using them naively. http://wilmott.com/
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