40 books and educational resources for the study of the stock market and algorithmic trading

The stock market is a large and complex area of ​​expertise. In the past couple of decades, various technologies of stock trading have been actively developing. Understanding the structure of the stock market, the laws and principles working on it, as well as the technologies used by various players, is not at all easy.

In our today's material - a selection of 40 books and educational, which will help you better prepare for the beginning of the work on the stock market and the writing of mechanical trading systems.
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Note: In preparing the material, the recommendations of Russian and foreign experts involved in work in the stock market were used. Among them is Michael Halls-Moore (expert at Quantitative trading and the author of the blog QuantStart.com ), Andrey Gorkovenko (developer of the SmartX terminal), Alexey Afanasyevsky (co-founder of the algorithmic fund Quantum Parity ).

Stock market device

• Fooled by randomness. The hidden role of a chance in the markets and in life - Nassim Talleb - a cult book in the financial environment is useful for forming the correct attitude to the stock market (and to life in general);
• Memoirs of a stock speculator - Edwin Lefevre is a classic piece, in paints telling about the life of a stock trader;
• Stock Trading. The classic formula for timing, money and emotion management - Jesse Livermore - the book contains the “Livermore formula” with an example of its use;
• Investor dancer. How I earned $ 2,000,000 in the stock market - Nicholas Darvas - the story of a professional dancer who managed to develop an effective stock selection method for trading that is perfect for beginners;
• New market mages. Conversations with the best traders of America - Jack D. Schwager - conversations with leading portfolio managers and traders who have achieved outstanding success in trading on the stock exchange;
• How to predict the collapse of financial markets. Critical events in complex financial systems - Didier Sornette - the author has developed a scientific method for predicting market crashes based on information about past crises;
• Long-term secrets of short-term trading - Larry Williams - a description of trading methods and tips to improve its effectiveness;
• Chaos and order in the markets of the Capital. A new analytical look at the cycles, prices and market volatility - Edgar Peters - describes the problems of modern nonlinear economic dynamics;
• Kvanty.Kak wizards from mathematics earned billions and almost collapsed the stock market - Scott Patterson - a bestseller about the life of quanta traders, which many consider the cause of the stock exchange crisis of 2007;
• Sand Castles Wall Street. The story of the greatest fraud - Kurt Eichenwald - a description of the instructive history of fraud in the company Prudential-Bashe;
• Trading and Exchanges, Larry Harris - a book about the structure of the stock market, the laws in force on it, the types of exchanges and the players on them;
• The secrets of stock trading - Vladimir Tvardovsky, Sergey Parshikov - theoretical and practical textbook on online trading on the Russian stock market;
• The bibliography on derivatives on the Moscow Exchange website is a detailed list compiled by Exchange specialists, in which both beginners and experienced investors will find useful resources.

Mathematical preparation

• Financial engineering. Tools and ways to manage financial risk - L. Galits - the book clearly defines all the tools used in financial engineering;
• “Methods and algorithms of financial mathematics” - Yu-Dau Liu - a fundamental monograph in which the concepts of financial mathematics are expounded in an accessible language;
• Buying and selling volatility— Mikhail Chekulaev and Kevin B. Connolly - a detailed explanation of the strategy of “trading volatility”;
• Lectures of Gregory Kantorovich from the Higher School of Economics ;
• High-frequency trading in a limit order book, Marco Avellaneda and Sasha Stoikov - one of the most famous articles of financial experts in mathematics;
• Alex Kuznetsov , The Complete Guide to Capital Markets for Quantitative Professionals, is a book for people with experience in science and technology who want a deeper understanding of the field of finance;
• A Guide to Econometrics, 6th Edition - Peter Kennedy is an excellent book that can serve as a good complement and extension to university econometrics courses.

Algorithmic and automated trading

• Quantitative Trading, Ernest Chan - a book for individual investors engaged in automated trading;
• Algorithmic Trading, Ernest Chan - another book by Ernest Chan, describing the strategies of automated and algorithmic trading;
• Inside the Black Box, Rishi K. Narang - a book for beginner HFT traders involved in creating their own trading system.
• Algorithmic Trading & DMA, Barry Johnson - a book for developers of automatic "trading engines" (and not algorithmic systems);
• Robert Pardo - The Evaluation and Optimization of Trading Strategies, 2nd Edition, Robert R. Pardo - a book about the development of trading systems, their testing and use;
• An Introduction to Algorithmic Trading: Basic to Advanced Strategies, Leshik, Cralle - a book about automated and algorithmic trading, various algorithms are considered (including brokerage trading systems);
• Building by Albertmic Trading Systems: Kevin J. Davey - the author shares his best practices in creating automated systems for online trading;
• Statistical Arbitrage: Algorithmic Trading Insights and Techniques, Andrew Pole - a book about statistical arbitration and automated trading based on it;
• High Frequency Trading: A Secondary, Irene Aldridge - a useful book on high frequency trading (HFT, high frequency trading);
• Robert Kissell , The Science of Algorithmic Trading and Portfolio Management, is a book about algorithmic trading and portfolio management that will suit readers with advanced knowledge of mathematics;
• The Practical Guide to Wall Street: Equities and Derivatives, Matthew Tagliani - written by an experienced trader, the book is designed for those who want not only to deal with the financial market, but also to find work in this area;
• Practical .NET for Financial Markets, Yogesh Shetty, Samir Jayaswal - a good introduction to the development of trading systems (whose code is written in .NET);
• C ++ for Quantitative Finance is a book by Michael Halls-Moore about using C ++ in creating financial applications.

Educational and informational resources

• The course on the creation of mechanical trading systems in the environment of WealthLab - a course from ITinvest partners, developers of the StockSharp trading system;
• The course on working directly with the StockSharp platform - includes techniques for writing robots in C #;
• MFD Information Edition - up-to-date economic information;
• Analytical materials of experts ITinvest - analysis of current events in the economy;
• ITinvest blog on Habré - the creation of trading robots and online trading technology;
• ITinvest blog on Geektimes - the impact of online trading on the economy; device; stock market;
• The community of traders Smart-Lab.ru - discussion of work in the stock market and expert publications.

That's all, thank you for your attention. Do not forget to subscribe to our blog ! Share links to other useful books and educational resources in the comments.