diff --git a/README.md b/README.md index d032055..f9f8930 100644 --- a/README.md +++ b/README.md @@ -14,39 +14,63 @@ Recommended path, generated by CLAUDE ### Phase 1 — Math Foundation (*) -1. Pishro-Nik ← in progress, finish this -2. Elementary Stochastic Calculus -3. A guide to Brownian motion +1. [ ] Pishro-Nik (*) +2. [x] Quantitative Trading +3. [ ] Elementary Stochastic Calculus +4. [ ] A guide to Brownian motion ### Phase 2 — Get Practical Early -1. Algorithmic Trading — Chan ← read this soon; short, orients everything else -2. Analysis of Financial Time Series — Tsay ← essential for price/return modeling +1. [ ] Algorithmic Trading — Chan ← read this soon; short, orients everything else +2. [ ] Analysis of Financial Time Series — Tsay ← essential for price/return modeling ### Phase 3 — Core Quant ML -1. Data-Driven Science and Engineering — Brunton & Kutz -2. Advances in Financial Machine Learning — Lopez de Prado ← most important book in your backlog -3. Stochastic Calculus: An Introduction with Applications ← now the theory lands better -4. Detecting Regime Change in Computational Finance +1. [ ] Data-Driven Science and Engineering — Brunton & Kutz +2. [ ] Advances in Financial Machine Learning — Lopez de Prado ← most important book in your backlog +3. [ ] Stochastic Calculus: An Introduction with Applications ← now the theory lands better +4. [ ] Detecting Regime Change in Computational Finance ### Phase 4 — Portfolio, Risk & Systems -1. Active Portfolio Management — Grinold & Kahn -2. The Microstructure of Financial Markets — de Jong & Rindi -3. Trading Systems and Methods — Kaufman (use as reference) -4. The Mathematics of Money Management — Vince -5. The Leverage Space Trading Model — Vince -6. Testing and Tuning Market Trading Systems +1. [ ] Active Portfolio Management — Grinold & Kahn +2. [ ] The Microstructure of Financial Markets — de Jong & Rindi +3. [ ] Trading Systems and Methods — Kaufman (use as reference) +4. [ ] The Mathematics of Money Management — Vince +5. [ ] The Leverage Space Trading Model — Vince +6. [ ]Testing and Tuning Market Trading Systems ### Phase 5 — Specialized / Optional -1. Assessing and Improving Prediction and Classification (C++ heavy, niche) -2. Trading on Sentiment (alt data / NLP, very specialized) -3. Numerical Recipes (reference only, don't read cover to cover) -4. Measure Theory (only if you want pure math depth — lowest ROI for bots) +1. [ ] Assessing and Improving Prediction and Classification (C++ heavy, niche) +2. [ ] Trading on Sentiment (alt data / NLP, very specialized) +3. [ ] Numerical Recipes (reference only, don't read cover to cover) +4. [ ] Measure Theory (only if you want pure math depth — lowest ROI for bots) ### Missing textbooks - Systematic Trading: A unique new method for designing trading and investing systems - Permutation and Randomization Tests for Trading System Development: Algorithms in C++ + +## Textbooks + +- *Introduction to Probability, Statistics, and Random Processes* - Hossein Pishro-Nik +- *Quantitative Trading* - Ernest P. Chan +- *Algorithmic Trading: Winning Strategies and Their Rationale* - Ernest P. Chan +- *Elementary Stochastic Calculus* - Thomas Mikosch +- *A Guide to Brownian Motion and Related Stochastic Processes* - Jim Pitman & Marc Yor +- *Stochastic Calculus: An Introduction with Applications* - Bernt Øksendal +- *Active Portfolio Management* - Richard Grinold & Ronald Kahn +- *Probability and Statistics: The Science of Uncertainty* - Michael J. Evans & Jeffrey S. Rosenthal +- *Analysis of Financial Time Series* - Ruey S. Tsay +- *Data-Driven Science and Engineering* - Steven L. Brunton & J. Nathan Kutz +- *Advances in Financial Machine Learning* - Marcos Lopez de Prado +- *Detecting Regime Change in Computational Finance* - Timothy Masters +- *Trading Systems and Methods* - Perry J. Kaufman +- *The Mathematics of Money Management* - Ralph Vince +- *The Leverage Space Trading Model* - Ralph Vince +- *Testing and Tuning Market Trading Systems* - Timothy Masters +- *Assessing and Improving Prediction and Classification* - Timothy Masters +- *Trading on Sentiment* - Richard L. Peterson +- *Numerical Recipes: The Art of Scientific Computing* - Press, Teukolsky, Vetterling & Flannery +- *An Introduction to Measure Theory* - Terence Tao