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market and economics. Please make a post about books with possible cover
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Forum on trading, automated trading systems and testing trading strategies
Something Interesting to Read May 2016
Muhammad Syamil Bin Abdullah, 2016.05.27 09:45
Forex Price Action Scalping: an in-depth look into the field of professional scalping
Forex Price Action Scalping provides a unique look into the field of
professional scalping. Packed with countless charts, this extensive
guide on intraday tactics takes the reader straight into the heart of
short-term speculation. The book is written to accommodate all aspiring
traders who aim to go professional and who want to prepare themselves as
thoroughly as possible for the task ahead. Few books have been
published, if any, that take the matter of scalping to such a fine and
detailed level as does Forex Price Action Scalping. Hundreds of setups,
entries and exits (all to the pip) and price action principles are
discussed in full detail, along with the notorious issues on the
psychological side of the job, as well as the highly important but often
overlooked aspects of clever accounting. The book, counting 358 pages,
opens up a wealth of information and shares insights and techniques that
are simply invaluable to any scalper who is serious about his trading.
Understanding Price Action: practical analysis of the 5-minute time frame
Understanding Price Action is a must
read for both the aspiring and professional trader who seek to obtain a
deeper understanding of what is commonly referred to as "trading from
the naked chart". With hundreds of examples commented on in great
detail, Volman convincingly points out that only a handful of price
action principles are responsible for the bulk of fluctuations in any
market session—and that it takes common sense, much more than mastery,
to put these essentials to one's benefit in the trading game.
power of the book lies in the exceptional transparency with which the
concepts and trading techniques are put forth. Besides offering the
reader a comprehensive study on price action mechanics, included within
is a series of six months of consecutive sessions of the eur/usd
5-minute. Containing nearly 400 fully annotated charts, this section
alone harbors a massive database of intraday analysis, not found in any
other trading guide.
Written with a razor-sharp eye for practical detail, yet in a highly absorbable manner, Understanding Price Action
breathes quality from every page and is bound to become a classic in
the library of any trader who is serious about his education.
Sergey Golubev, 2014.06.10 19:47
Off Topic with Irene Aldridge
Alpha Pages: You took great issue with Michael Lewis’ claim that the market is “rigged.” Why?
Irene Aldridge: On the Michael Lewis topic, I
suppose I am most disappointed in the pay-for-play quality of the book.
Even the fastest best-selling writers can tell you that they are only
capable of writing 15 pages per day, at best. To write a 300-page book,
[is] a five-month process, at a bare minimum.
Incidentally, at the time Mr. Lewis’s book was released, the trading
venue around which much of the book revolves, has been in existence for,
wait for it, exactly five months! In other words, Mr. Lewis began to
write the novel about his great protagonists and its creation prior to
the launch of this trading venue at the center of this book—I really
don’t see how he could have covered this in depth. [It appears to be an]
elaborate marketing campaign for this trading venue. In other words,
the book is marketing masquerading as a fair markets discourse. For a
writer like Lewis, stooping so low is a complete disgrace. Markets have
moved a long way toward fairness since then, so most of his criticism is
AP: Is high frequency trading taking the heat for problems caused market structure or regulations?
IA: From what we are seeing, this HFT pre-hedging
that boils down to front-running [may have] unfortunately become common
practice following the Volcker and Dodd-Frank rules. There still exists a
FINRA rule that encourages brokers to avoid front-running, but FINRA is
a self-regulatory organization, and the consequences of not following
its rules [may not be so harsh]. While most of ABLE Alpha clients have
the permission to access the markets directly and, as a result, avoid
front-running, many smaller entities are not so lucky and end up losing
money. I do not believe that this is what the regulators had in mind
when they designed the laws, but these are the unintended consequences.
AP: There is an ongoing argument over whether HFT is a net liquidity maker or taker as opposed to traditional market makers?
IA: I was just presenting at the Princeton Quant
Trading conference, where a fellow speaker, [from a] prominent broker
discussed how they are forced to spend money to build systems that
monitor the number of zeroes human brokers put at the end of their
orders simply because brokers so often come to work hung over and unable
to focus. Well, needless to say, hangovers do not happen to computers.
Overall, the computers are considerably cheaper, more reliable and less
demanding than human brokers, so there is absolutely no doubt in my
mind that the computerized trading technology, known as HFT, will
replace most of the presently-human trading operation at brokers in
continuing the digital revolution observed elsewhere in the society.
AP: Will the size of HFT be self-correcting? Will algorithms exploit inefficiencies until they’re gone?
One of our products is the HFT Index, science, not hear-say, based
[on a] real-time estimate of aggressive HFT participation in electronic
markets of customer choice. According to our estimates, activity level
of aggressive HFTs by volume averages 15% to 20% in most markets,
although intraday it may spike up 100%, or drop to 0%.
Something Interesting to Read June 2014
Muhammad Syamil Bin Abdullah, 2014.06.04 15:01
High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems By Irene Aldridge
Financial markets are undergoing rapid innovation due to the
continuing proliferation of computer power and algorithms. These
developments have created a new investment discipline called
high-frequency trading. Despite the demand for information on this
topic, little has been published to help investors understand and
implement high-frequency trading systems—until now.
industry expert Irene Aldridge, High-Frequency Trading offers the first
applied "how to do it" manual to building high-frequency
systems.Covering sufficient depths of material to thoroughly pinpoint
issues at hand, High-Frequency Trading leaves mathematical complexities
to their original publications, referenced throughout the book.
Page by page, this accessible guide:
Discusses the history and business environment of high-frequency trading systems
Reviews the statistical and econometric foundations of the common types of high-frequency strategies
Examines the details of modeling high-frequency trading strategies
Describes the steps required to build a quality high-frequency trading system
Addresses the issues of running, monitoring, and benchmarking high-frequency trading systems
the way, this reliable resource skillfully high-lights numerous
quantitative trading strategies—from market microstructure and event
arbitrage to deviations arbitrage—and puts the creation and management
of portfolios based on high-frequency strategies in perspective.
trading is a difficult, but profitable, endeavor that can generate
stable profits in various market conditions. But solid footing in both
the theory and practice of this discipline are essential to success.
Whether you're an institutional investor seeking a better understanding
of high-frequency operations or an individual investor looking for a new
way to trade, this book has what you need to make the most of your time
in today's dynamic markets.
Something Interesting to Read April 2014
Sergey Golubev, 2014.04.14 20:48
Theory Of Stochastic Processes : With Applications to Financial Mathematics and Risk Theory
This book is a collection of exercises covering all the main topics in
the modern theory of stochastic processes and its applications,
including finance, actuarial mathematics, queuing theory, and risk
The aim of this book is to provide the reader with the theoretical and
practical material necessary for deeper understanding of the main topics
in the theory of stochastic processes and its related fields.
The book is divided into chapters according to the various topics. Each
chapter contains problems, hints, solutions, as well as a self-contained
theoretical part which gives all the necessary material for solving the
problems. References to the literature are also given.
The exercises have various levels of complexity and vary from simple
ones, useful for students studying basic notions and technique, to very
advanced ones that reveal some important theoretical facts and
This book is one of the largest collections of problems in the theory of
stochastic processes and its applications. The problems in this book
can be useful for undergraduate and graduate students, as well as for
specialists in the theory of stochastic processes.