Essential Resources for Quantitative Trading and Research
Core Texts
Option Volatility and Pricing (Natenberg). The standard reference for derivatives risk management. https://amzn.to/3MmU6tI
Trading and Exchanges (Harris). Practical mechanics of market microstructure, bids, and spreads. https://amzn.to/4aCh2PD
Quantitative Trading (Chan). Methodology for strategy construction and backtesting. https://amzn.to/4a4vKPm
The Elements of Statistical Learning (Hastie et al.). Mathematical foundations for learning algorithms. https://amzn.to/4rEnImB
Active Portfolio Management (Grinold & Kahn). Frameworks for alpha generation and portfolio construction. https://amzn.to/4aDlNIF
Advances in Financial Machine Learning (Marcos Lopez de Prado). Modern techniques for non-linear return forecasting. https://amzn.to/4pW0RBk
Technical Infrastructure
EODHD APIs. API for historical, fundamental, and macroeconomic data. https://eodhd.com/
Quantpedia.com. Database of quantitative trading strategies sourced from academic papers. https://quantpedia.com/
Seeking Alpha. Institutional-grade news and equity research. https://seekingalpha.com/
Interview Preparation
Heard on the Street. Collection of quantitative and logical brain teasers used by firms like Jane Street and Susquehanna International Group. https://amzn.to/4iGJnpX
Tradermath. Testing environment for mental arithmetic and quantitative assessments. https://lnkd.in/d6zZduam
Full resource list including libraries, data APIs, and mathematical courses: https://lnkd.in/d6Je9-jn
Reference
@RiskPy
@RiskPyLib
