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A comment on Good books for hackers interested in quant finance?.

Re:Good books for hackers interested in quant finance? by joshu on Monday October 31, 2011 @02:10PM (#3178373)
People think all quant finance is the same as HFT. It's not.

A big part of algorithmic trading and stat arb is portfolio management, including deriving alpha, building risk models, etc.

The bible is: http://www.amazon.com/Active-Portfolio-Management-Quantitati...

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Re:Good books for hackers interested in quant finance? by justnoise on Monday October 31, 2011 @04:32PM (#3178911)
Exactly. Where I used to work, anyone without a quant background would be urged to buy a copy of Grinold and Kahn the bible you suggested above or "Quantitative Equity Portfolio Management" by Chincarini and Kim.
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