Total self study program for building automated trading systems

[Zi Kat]

I'm a programmer by trade and have always been interested in coding algorithmic trading systems. I've considered going for MFE but realized that

1) I can learn on my own
2) I'm already at a salary most quants reach after a few years of work
2) I wish to be self employed and trade on my own account with the tools I create

To that end I'm trying to put together a progression of learning materials to study from. I'm covering everything from economics to advanced math to develop long term investing as well as short term trading strategies, but I need help from those who have gone through the process to add/suggest to the list.

The graphic of what I plan to read is here: http://i.imgur.com/hBv3e.png and I'm looking for someone to suggest either better books or add books to fill in the gaps.

Thanks!

P.S. I didn't include anything related to programming. My specialty is C++ with the various related skills in databases etc. What I lack is math and finance.

 

[Jayanthan]

have u thought about doing some online program? if so, http://depts.washington.edu/compfin/,
http://cqf.com/

again, these programs may help u to structure reading list/knowledge gathering. You could possible look into MFin program as well ( what they are teaching).

 

[Zi Kat]

Thanks! Yes, I've been browsing various university programs and then checking the rating of their books against Amazon. The quality of the text is also important and I hope someone here can provide feedback on what books are good and which should be avoided.

 

[Jayanthan]

have you gone through this list
https://www.quantnet.com/threads/ma...uants-mfe-financial-engineering-students.535/

 

[Zi Kat]

Nice list. It would be very helpful to know in what order the math material should be studied, though. I'm sure there are some thing that are very much per-requisities, even in the advanced areas.

 

[Keith Tan]

truth is, there is no book on "how to build the perfect automated system".

these books merely serve to provide a sound foundation for your interests and career. concepts and theory in printed words.

if i were to build an automated system, i would
1) research on existing frameworks/systems. see what's lacking or can be improved. get ideas.
2) once you know what you wanna code, then read the books. instead of reading everything.
3) strategies and algorithms. you'll need to know what portfolio managers do to maximize their alphas and betas. or do a black-scholes options pricing valuation. you'll need basic math such as probability distributions to infer whether stocks follow a normal distribution or such. and throw in some arch/garch models. these can be found mostly in existing trading/modelling software so i'll spend more time on this.

 

[WilliamM]

I would definitely start with the linear algebra and probability, then work your way through the analysis texts. At my university, that is the route of 'pre-requisites', and I think they provide a fairly reasonable route. Analysis will make many of the more advanced topics much more accessible from my experience.

 

[Andy Nguyen]

Check out Max Dama's notes on Algo Trading in our reading list

 

[Alexei]

If you are zero on a math/finance part then going to a school is a plus since there you might get help with the studied topics; some of them cannot be easily aced at home. Also, if you are a developer and you want to build the system then start working on it today - with the school you might end up in a 2+ year detour from your goal. The development of any system requires a research that in any way you have to do. Most programs will not teach you that; however, should you decide looking for these programs, look for applied ones since writing valid math proofs is not what you are looking for.

 

[rvaritimos]

I'm a programmer by trade and have always been interested in coding algorithmic trading systems. I've considered going for MFE but realized that

1) I can learn on my own
2) I'm already at a salary most quants reach after a few years of work
2) I wish to be self employed and trade on my own account with the tools I create

To that end I'm trying to put together a progression of learning materials to study from. I'm covering everything from economics to advanced math to develop long term investing as well as short term trading strategies, but I need help from those who have gone through the process to add/suggest to the list.

The graphic of what I plan to read is here: http://i.imgur.com/hBv3e.png and I'm looking for someone to suggest either better books or add books to fill in the gaps.

Thanks!

P.S. I didn't include anything related to programming. My specialty is C++ with the various related skills in databases etc. What I lack is math and finance.

What are your thoughts on the new project bidding site for traders, Traderbotmarketplace.com? It's a site where people can post trading systems they need built for them and developers can bid on projects to work on. I think it's cool because people can get exactly what they want built for them and for the price they want. Also, if a developer is looking for work, it's a great place to look.