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Quantitative Trading: How to Build Your Own Algorithmic Trading Business
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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.
I'm not the guy you asked the question of, but "algorithmic trading" is most likely trading the financial markets using technical indicators. Here's a book I read recently that provides a nice intro into the subject, with plenty of code examples sprinkled throughout:
and that authors blog:
Books I would recommend for beginners:
Evidence Based Technical Analysis: http://www.amazon.com/Evidence-Based-Technical-Analysis-Scie...
Quantitative Trading: http://www.amazon.com/Quantitative-Trading-Build-Algorithmic...
An Introduction to High Frequency Finance: http://www.amazon.com/Introduction-High-Frequency-Finance-Ra...
Trading and Exchanges: Market Microstructure for Practitioners: http://www.amazon.com/Trading-Exchanges-Market-Microstructur...
I also wrote a couple of very introductory articles, sadly I never got past part #2: http://www.bitcortex.com/2008/12/28/pragmatic-automated-trad... http://www.bitcortex.com/2009/01/04/pragmatic-automated-trad...
I am could mentor 1-2 HN readers that are serious about getting into quant trading. Just let me know you are interested :)
Ernie Chan's book, "Quantitative Trading: How to Build Your Own Algorithmic Trading Business ", is a good starting point. It's a nice blend of theory and pragmatic practice. Chan provides example implementations in Matlab to help readers get started.
Chan's blog is informative as well,
These might interest you:
Haven't read it yet, but it's sitting in my to-read statck:
Sounds like just an intro. Some of the other books Amazon recommends on that page might be worth checking out too.
Hadn't started implementing any systems yet, but earlier this year I ordered these and they've been ultra-educational at least for figuring out how to get started, vocabulary, etc.:
High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems http://www.amazon.com/gp/product/0470563761
Inside the Black Box: The Simple Truth About Quantitative Trading http://www.amazon.com/gp/product/0470432063
Quantitative Trading: How to Build Your Own Algorithmic Trading Business http://www.amazon.com/gp/product/0470284889
⬐ chollida1For what it's worth....
I really liked Inside the Black Box.
I didn't find I learned or enjoyed High-Frequency trading that much though.⬐ astroguyAdd to the list http://helwr.posterous.com/trading-354