吐血干货 | 量化、算法、机器学习交易书单完整目录

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作者：Peter Nistrup

近期原创文章：

♥ 基于无监督学习的期权定价异常检测（代码+数据）

♥ 5种机器学习算法在预测股价的应用（代码+数据）

♥ 深入研读：利用Twitter情绪去预测股市

♥ Two Sigma用新闻来预测股价走势，带你吊打Kaggle

♥ 利用深度学习最新前沿预测股价走势

♥ 一位数据科学PhD眼中的算法交易

♥ 基于RNN和LSTM的股市预测方法

♥ 人工智能『AI』应用算法交易，7个必踩的坑！

♥ 神经网络在算法交易上的应用系列（一）

♥ 预测股市 | 如何避免p-Hacking，为什么你要看涨？

♥ 如何鉴别那些用深度学习预测股价的花哨模型？

♥ 优化强化学习Q-learning算法进行股市

这是一个很长的书单（100本+）

“You wont become an algorithmic genius savant extraordinaire philanthropist billionaire overnight.”

如果你全身心投入，你就会离实现财务自由的梦想越来越近。

有些书的内容是重叠的，所以你应该自己研究哪些书更适合你的思维方式和当前的技能。

由以下几类构成：

• 一般阅读

• 轻松阅读

• 编程

• 数学

• 经济学与金融学

• 技术类与时间序列分析

• 其他

• 衍生品

特别是Python、R和C++。

• Security Analysis by Benjamin Graham, David Dodd, Warren Buffett

• The (Mis)Behavior of Markets by Benoît B. Mandelbrot, Richard L.

• Damodaran on Valuation by Damodaran Aswath

• Models Behaving Badly by Emanuel Derman

• Trading Systems by Emilio Tomasini

• Business Cycles and Equilibrium by Fischer Black

• Dual Momentum Investing by Gary Antonacci

• The Problem with HFT by Haim Bodek

• The Econometrics of Financial Markets by John Y., Wen-C. Lo, Archie C.

• Building Winning Algorithmic Trading Systems by Kevin Davey

• Trading and Exchanges by Larry Harris

• Martingale Methods in Financial Modelling by Marek M., Marek R.

• Dynamic Hedging: Managing Vanilla and Exotic Options by Nassim N.

• Financial Modelling With Jump Processes by Rama C. & Peter T.

• The Evaluation and Optimization of Trading Strategies by Robert P.

• Fundamentals of Corporate Finance by Stephen A., Randolph W & more

• Arbitrage Theory in Continuous Time by Tomas Björk

• Trade Your Way to Financial Freedom by Van K. Tharp

Equity derivatives

• The Volatility Surface by Jim Gatheral

• Stochastic Volatility Modeling by Lorenzo Bergomi

• Equity Hybrid Derivatives by Marcus Overhaus et al.

FX derivatives

• FX Options and Smile Risk by Antonio Castagna

• Foreign Exchange Option Pricing by Iain J. Clark FX

• FX Options and Structured Products by Uwe Wystup

Commodity derivatives

• Energy and Power Risk Management by Alexander E.

• Commodities and Commodity Derivatives by Helyette Geman

• Commodity Option Pricing by Iain J. Clark

Interest rate derivatives

• Interest Rate Models — Theory and Practice by Damiano B. & Fabio M.

• Pricing and Trading Interest Rate Derivatives by J. H. M. Darbyshire

• Interest Rate Modeling I, II & III by Leif Andersen & Vladimir Piterbarg

• Interest Rate Option Models by Rebonato

Credit derivatives

• Modelling Single-name and Multi-name Credit Derivatives by Dominic

• Credit Risk — Modeling, Valuation & Hedging by Tomasz R. & Marek R.

XVA

• XVA: Credit, Funding and Capital Valuation Adjustments by Andrew G.

• Counterparty Credit Risk, Collateral and Funding by Damiano Brigo