algorithmic trading books
- Algorithmic Trading: Winning Strategies and Their Rationale – Ernie Chan
Publication Date: May 28, 2013 · Wiley
Amazon LinkChan, a seasoned quant trader and ex-hedge funder, provides hands-on strategies—mean reversion, momentum, risk management—with code examples and backtests. Aimed at serious retail or institutional quants, the book emphasizes building robust, scientifically grounded systems, covering regime shifts and execution pitfalls.
- Quantitative Trading: How to Build Your Own Algorithmic Trading Business – Ernie Chan
Publication Date: July 29, 2008 · Wiley
Amazon LinkFocuses on setting up an algorithmic trading shop—data, infrastructure, brokerage. Offers case studies in equities, FX, futures; discusses scaling, risk, costs, and team structure. Popular with quants who want practical system rollout.
- Inside the Black Box: A Simple Guide to Quantitative and High-Frequency Trading – Rishi K. Narang
Publication Date: April 1, 2009 · Wiley
Amazon LinkExplains how quant funds operate—including signal generation, alpha models, execution—without overwhelming math. Great for insiders and non‑tech readers to peek into quant engine details.
- High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems – Irene Aldridge
Publication Date: April 4, 2013 · Wiley
Amazon LinkTargeted at HFT practitioners. Covers latency, co-location, order types, execution, risk, and low-latency system design. A solid desk manual with real-world examples and flowcharts.
- Advances in Financial Machine Learning – Marcos López de Prado
Publication Date: February 28, 2018 · Wiley
Amazon LinkBridges ML and finance, presenting frameworks for labeling, model validation, feature importance, backtest failure detection, and portfolio optimization. Written by a Cornell professor, influential in quant research.
- Algorithmic Trading and DMA: An Introduction to Direct Access Trading Strategies – Barry Johnson
Publication Date: October 13, 2010 · FT Press
Amazon LinkDelves into DMA, order routing, microstructure, depth-of-book strategies, filtering, and trend/delay arbitrage. Ideal for traders and developers building low-level execution systems.
- The Quants: How a New Breed of Math Whizzes Conquered Wall Street – Scott Patterson
Publication Date: February 2, 2010 · Crown Business
Amazon LinkA narrative history of quants like Simons, Griffin, Thorp. Frames quant evolution and the 2007 crash, revealing how mathematical models reshaped markets. A compelling storyteller’s chronicle.
- Trend Following: Learn to Make Millions in Up or Down Markets – Michael Covel
Publication Date: May 20, 2016 · Financial Times Press (Expanded ed.)
Amazon LinkSurveys trend-following strategies across commodities, currencies, equities. Blends academic research, fund interviews, and psychological insights. Ideal for systematic allocators and managed futures fans.
- The Speed Traders: An Insider’s Look at the New High-Frequency Trading Phenomenon – Edgar Perez
Publication Date: 2011 · McGraw-Hill
Amazon LinkExplores the 2010 Flash Crash via trader profiles, infrastructure wars, regulatory shocks, and tech challenges. A journalistic yet detailed overview of the HFT world.
- Flash Boys: A Wall Street Revolt – Michael Lewis
Publication Date: March 31, 2014 · W. W. Norton & Company
Amazon LinkA bestseller exposing how HFT rigs markets, follows Brad Katsuyama and IEX’s efforts to reform trading. Combines narrative power and investigative reporting; sparked regulatory scrutiny and public awareness.