Offline Algorithms in Low-Frequency Trading

Re:Offline Algorithms in Low-Frequency Trading by lordnacho on Saturday January 30, 2021 @03:05PM (#25972473)

The problem is the books don't really tell you. They're written in this mathematical way that kinda obscures how to actually think about them practically. If you're more into math maybe stochastic calc will be just fine for you.

Here we go anyway:

Hull: Futures, Options, and Other Derivatives

Natenberg. Don't recall the name, but this is maybe the closest to practical.

Paul Wilmott, Quantitative finance.

Taleb, Dynamic Hedging. Got a signed copy :)

Also I think it's smart to read about instruments that aren't options, ie don't just cut to the chase. Time value of money, futures, forwards, bonds, swaps, equities. Then vanilla options on all those things, then exotics.

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Re:Offline Algorithms in Low-Frequency Trading by pvitz on Saturday January 30, 2021 @04:48PM (#25973329)

Someone with a strong math background should cut Wilmott and go directly to Shreve: Stochastic Calculus for Finance II (or Björk: Arbitrage Theory in Continuous Time).

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Re:Offline Algorithms in Low-Frequency Trading by kgwgk on Saturday January 30, 2021 @06:13PM (#25973992)

I think that given the question about "how these instruments work in some depth" Hull is more appropriate.

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Re:Offline Algorithms in Low-Frequency Trading by JimBlackwood on Sunday January 31, 2021 @06:22AM (#25977990)

This was indeed what I was getting at! Good to have a Stochastic book recommendation anyway, might also be i teresting. :)

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Re:Offline Algorithms in Low-Frequency Trading by pmiller2 on Saturday January 30, 2021 @06:08PM (#25973954)

What does "strong math background" mean in this context? Would the equivalent of an undergrad degree in math be sufficient, or are we talking about graduate level analysis and stats here?

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Re:Offline Algorithms in Low-Frequency Trading by potiuper on Saturday January 30, 2021 @07:06PM (#25974355)

> Björk: Arbitrage Theory in Continuous Time

is standard graduate stochastic calculus course material. An undergrad degree in math usually specializes in a certain track: algebra or analysis. The analysis background would be a closer fit as the material is focused on the continuous applications (not HFT) and likely have covered the introductory measure and probability theory material. The finance portion focuses on the arbitrage-risk neutral model that is at least a semester worth a material.

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Re:Offline Algorithms in Low-Frequency Trading by JimBlackwood on Sunday January 31, 2021 @06:21AM (#25977983)

Thanks a lot! I’ll check these out!

Interesting comment about the math. For my physics degree, a lot of times it was easier to think about things once I understood more of the math. I’ll see how it goes here.

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