In conclusion, here’s what I recommend next:
Books:
- Active Portfolio Management, Grinold and Kahn
- Trading and Exchanges, Larry Harris
- A Perspective on Quantitative Finance: Models for Beating the Market, Quantitative Finance Review 2003, Ed Thorp
- Marco Dion: A researcher reveals a couple of his favorite strategies and why they tend to work so well, Active Trader Magazine Interview
- Reminiscences of a Stock Operator, Jesse Livermore
- Elements of Statistical Learning Theory, Hastie, Tibshirani
A Perspective on Quantitative Finance- Models for Beating the Market.pdf73.1KB
Videos:
- If You Had Everything Computationally Where Would You Put it, Financially?, GoogleTechTalks, David Leinweber
- Matlab Webinars: Algorithmic Trading, Aly Kassam
- Wall St Warriors Seasons 1 and 2