Recently I read this article with a quote from Rosh that stuck with me:
https://championship.mql5.com/2010/en/news/23 - Rashid Umarov also complains about the low overall level of mathematical literacy among novice developers. “It is desirable that developers understand math, - Rashid says. - At least they should know mathematical analysis and statistics. These are basic disciplines, and you can’t do without them in trading.
High statistical literacy is quite clearly the case for Bobsley, the recent winner of the 2010 automated trading championships as he referenced statistical analysis that he performed for his Expert Advisor in one of his interviews:
https://championship.mql5.com/2010/en/news/39 - "It is followed by statistical market analysis, modeling and optimization. In this regard I've done a lot of work."
So the question I have for everyone is, where would someone start learning about the mathematics/statistics that could be used for automated trading? Does anyone know of any books in particular? Perhaps some books that have helped you along your way?
Any suggestions would be greatly appreciated. Thank You
I'm a mathematician, so this might come off as a little biased, but the way to learn this stuff in depth is formal education. After a while, you can definitely start learning from books and self-directed study. In order, I'd suggest learning calculus and probability together. (You'll need limits to move through standard probability topics, and integration to get in to distributions) You don't need much probability past the Central Limit Theorem unless you want to start getting in to topics like brownian motion (that's the kind of thing you might learn after a solid foundation in math). Finally, I'd suggest reading up on statistics, topics including prediction/confidence/coverage intervals, causation/correlation, maximum likelihood estimators and sampling protocol.
You can learn almost these topics in an arts/history approach to stats, but if you want a real understanding of the math behind it, I'd say the above is about the bare minimum to really "get it" in terms of what actually constitutes statements such as "I am 95% sure that...", which translates in to intuition after experience.
i learn from khanacademy
it taught me much more than my university course