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Re:Trading Is Hazardous to Your Wealth [pdf] (2000) by TuringNYC on Thursday May 14, 2020 @10:17PM (#23188143)
My favorite is Ernie Chen's "Quantitative Trading: How to Build Your Own Algorithmic Trading Business" https://www.amazon.com/Quantitative-Trading-Build-Algorithmi...

Warning: it is a lot of fun, thrilling, but hard to make money. My winning algos took a while to research, longer to automate, and often lost alpha quickly.

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