https://pyquantnews.com/46-books-quant-finance-algo-trading-market-data/
purchase
- Marcos López de Prado - Advances in Financial Machine Learning. - recommended
- Dr Howard B Bandy - Quantitative Technical Analysis: An integrated approach to trading system development and trading management - recommended
- Tony Guida - Big Data and Machine Learning in Quantitative Investment
- Michael Halls-Moore - Advanced Algorithmic Trading - recommended
- Jannes Klaas - Machine Learning for Finance: Data algorithms for the markets and deep learning from the ground up for financial experts and economics
- Stefan Jansen - Hands-On Machine Learning for Algorithmic Trading: Design and implement smart investment strategies to analyze market behavior using the Python ecosystem
- Ali N. Akansu et al. - Financial Signal Processing and Machine Learning
- David Aronson - Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading
- David Aronson - Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments
- Ernest P. Chan - Machine Trading: Deploying Computer Algorithms to Conquer the Markets
- Artificial Intelligence: A Modern Approach
free/online
- High-dimensional analysis of double descent for linear regression with random projections
- A Kernel Based Reordering Algorithm
Peter Cotton recommendations I have removed authors on the below papers, I mean no disrespect, but the titles on these papers are at times quite long and the removal of authors therefore enhances the ability to find the relevant topics in an ocean of text. Massive appreciation goes to Peter Cotton, his entire list is here
- Improved Portfolio Diversification Through Unsupervised Learning
- Portfolio Optimization with Tracking-Error Constraints
- Machine Learning Risk Models
- Dictionary Learning-Based Denoising for Portfolio
- Regularized Tyler's Scatter Estimator: Existence, Uniqueness and Algorithms
- James-Stein for the leading eigenvector
- Rotational invariant estimator for general noisy matrices - Code
- Estimating covariance matrices for portfolio optimization
- A Modified CTGAN-Plus-Features Based Method for Optimal Asset Allocation
- Cross Asset Portfolios of Tradable Risk Premia Indices - Hierarchical Risk Parity - Enhancing Returns
- Adaptive Seriational Risk Parity and Other Extensions for Heuristic Portfolio Construction Using Machine Learning and Graph Theory
- A Constrained Hierarchical Risk Parity Algorithm with Cluster-based Capital Allocation
- A Clustering Algorithm for Correlation Quickest Hub Discovery Mixing Time Evolution and Random Matrix Theory
- Hierarchical Sensitivity Parity
- Asymmetric Autoencoders for Factor-Based Covariance Matrix Estimation
- Theoretically Motivated Data Augmentation and Regularization for Portfolio Construction
- Pessimistic Offline Policy Optimization
- A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
- Seriation and Matrix Reordering Methods: An Historical Overview
- The Locally Gaussian Partial Correlation
- Measuring asymmetries in financial returns : an empirical investigation using local gaussian correlation
- Portfolio Allocation under Asymmetric Dependence in Asset Returns using Local Gaussian Correlations
- Beyond Risk-Based Portfolios: Balancing Performance and Risk Contributions in Asset Allocation
- A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios
- Improved iterative methods for solving risk parity portfolio
- Covariance matrix testing in high dimensions using random projections
- Numerically Stable Parallel Computation of (Co-)Variance
- A Well-Conditioned Estimator For Large-Dimensional Covariance Matrices
- A Robust Estimator of the Efficient Frontier
- Noisy Covariance Matrices and Portfolio Optimization
- Continuous Time Mean-Variance Portfolio Selection: A Reinforcement Learning Framework
- PORTFOLIO OPTIMIZATION WITH NOISY COVARIANCE MATRICES
- NONLINEAR SHRINKAGE ESTIMATION OF LARGE-DIMENSIONAL COVARIANCE MATRICES
- Noise Dressing of Financial Correlation Matrices
- Tuning the Parameters for Precision Matrix Estimation Using Regression Analysis
- An Overview on the Estimation of Large Covariance and Precision Matrices
- Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator
- The Distance Precision Matrix: computing networks from non-linear relationships
- A Comparison of Methods for Estimating the Determinant of High-Dimensional Covariance Matrix
- Optimal Shrinkage Estimation of Variances With Applications to Microarray Data Analysis
- DYNAMIC PORTFOLIO OPTIMIZATION WITH INVERSE COVARIANCE CLUSTERING
- Portfolio Optimization with Sparse Multivariate Modelling
- HIGH-DIMENSIONAL PRECISION MATRIX ESTIMATION WITH A KNOWN GRAPHICAL STRUCTURE
- The Graphical Lasso: New Insights and Alternatives
- Covariance Prediction via Convex Optimization
- A review of two decades of correlations, hierarchies, networks and clustering in financial markets
- An Linfinity Eigenvector Perturbation Bound and Its Application to Robust Covariance Estimation
- Cumulative Distribution Functions and UPM/LPM Analysis
- Filtering Noise from Correlation Matrices (Detection of Correlation Diversion, Pairs Trading, Risk Analysis Et al)
- Reliable Covariance Estimation
- Regularized M-estimators of scatter matrix
- cvCovEst: Cross-validated covariance matrix estimator selection and evaluation in R
- Online Cross-Validation-Based Ensemble Learning
- Advances in High-Dimensional Covariance Matrix Estimation
- Estimation of Theory-Implied Correlation Matrices
- The Myth of Diversification Reconsidered
- A constrained hierarchical risk parity algorithm with cluster-based capital allocation
- Schur Complement and Symmetric Positive Semidefinite Matrices
- Fast and accurate techniques for computing schur complements and performing numerical coarse graining
- A Closer look at the Minimum-Variance Portfolio Optimization Model
- Six Generalized Schur Complements link
- Combining Portfolio Models
- A Nested Factor Model for non-linear dependencies in stock returns
- A Forecast Comparison of Volatility Models
- Bayesian Inference for Correlations in the Presence of Measurement Error and Estimation Uncertainty and link
- Optimizing the Omega Ratio using Linear Programming
- Using out-of-sample errors in portfolio optimization
- Risk Parity, Maximum Diversification, and Minimum Variance: An Analytic Perspective
- The Risk in Risk Parity: A Factor Based Analysis of Asset-Based Risk Parity
- Online Portfolio Selection: A Survey
- What's the big deal about risk parity?
- Hierarchical Sensitivity Parity
- Improved iterative methods for solving risk parity portfolio
- On the Risk of Out-of-Smaple Portfolio Performance
- Fat Tailed Factors
purchase
C++
- Problem Solving with C++ (9th Edition) by Walter Savitch
- C++ How to Program (8th Edition) by Harvey Deitel
- Absolute C++ (5th Edition) by Walter Savitch
- Thinking in C++: Introduction to Standard C++, Volume One by Bruce Eckel
- Thinking in C++: Practical Programming, Volume Two by Bruce Eckel
- The C++ Programming Language: Special Edition by Bjarne Stroustrup (C++ inventor)
- Effective C++: 55 Specific Ways to Improve Your Programs and Designs by Scot Myers
- C++ Primer (4th Edition) by Stanley Lippman
- C++ Design Patterns and Derivatives Pricing (2nd edition) by Mark Joshi
- Financial Instrument Pricing Using C++ by Daniel Duffy
VBA/Excel
- Excel 2007 Power Programming with VBA by John Walkenbach
- Excel 2007 VBA Programmer’s Reference
- Financial Modeling by Simon Benninga
- Excel Hacks: Tips & Tools for Streamlining Your Spreadsheets
- Excel 2007 Formulas by John Walkenbach
- Advanced modelling in finance using Excel and VBA by Mike Staunton
- Implementing Models of Financial Derivatives: Object Oriented Applications with VBA
Python
- Learning Python: Powerful Object-Oriented Programming
- Python Cookbook
- Python for Data Analysis: Data Wrangling with Pandas, NumPy, and IPython
R
free/online
Cambridge series
- Nonlife Actuarial models
- Quantitative Enterprise Risk Management
- Actuarial Mathematics for Life Contingent Risks
- Modelling Mortality with Actuarial Applications
- Claims Reserving in General Insurance
- Financial Enterprise Risk Management
- Insurance Risk and Ruin
- Predictive Modeling Applications in Actuarial Science
- Computation and Modelling in Insurance and Finance
- Risk Modelling in General Insurance
- Generalized Linear Models for Insurance Data
- Regression Modeling with Actuarial and Financial Applications
- Market-Valuation Methods in Life and Pension Insurance
- Introduction to actuarial mathematics - 2023 - Lecture notes for Forsikring og jura
- Pricing and hedging of longevity basis risk through securitisation
- Understanding Analysis (Undergraduate Texts in Mathematics)
- Introduction to Linear Algebra (Gilbert Strang)
Purchase
- An Introduction to the Mathematics of Financial Derivatives - Neftci - Recommended by Jonas Hal, David Skovmand and Anton Vorobets on different occasions.
- Quantitative Portfolio Management - Especially recommended by Mark, though code has been outdated by now.
- Mathematical Portfolio Theory and Analysis
- A Primer For The Mathematics Of Financial Engineering, Second Edition
- Stochastic Calculus for Finance I: The Binomial Asset Pricing Model by Steven Shreve
- Stochastic Calculus for Finance II: Continuous-Time Models
- Monte Carlo Methods in Financial Engineering
- Frequently Asked Questions in Quantitative Finance By Paul Wilmott - Strongly recommended by near everybody in quant finance Mark has spoken with
- Option Volatility and Pricing: Advanced Trading Strategies and Techniques, 2nd Edition - coding jesus recommended
- Technical Analysis: Is Mostly Bullshit
- Advances in Active Portfolio Management: New Developments in Quantitative Investing
- The Volatility Surface - How to create a volatility surface with different volatility models (Herston, SVJ, SABR) and use it for pricing options.
- Option Volatility & Pricing by Sheldon Natenberg - How to price options, manage risk, and trade advanced options strategies. Recommended by SVP at HSBC
- Fixed Income Markets and Their Derivatives
Recommended by Jesper Andreasen
- Ingersoll & Merton's book - read genuinely
- HJM - read genuinely
- Jamshidian - read genuinely
- CIR A&B - read genuinely
- Dupire - read genuinely
- Numerical recipes
- Mitchell & Griffith's book on finite difference
- Hull's book early version
- Wilmott et al first green book
- Baxter & Rennie
- Jackel
- Randall & Tavella
- Antoine Savine & Jesper Andreasen
Free/Online