Bibliography

Financial markets

 Financial Times Guide to the Financial Markets – Glen Arnold

 Trading and Exchanges: Market Microstructure for Practitioners – Larry Harris
 Algorithmic Trading and DMA: An introduction to direct access trading strategies – Barry
Johnson

Quantitative Trading

 Quantitative Trading: How to Build Your Own Algorithmic Trading Business – Ernest Chan
 Algorithmic Trading: Winning Strategies and Their Rationale – Ernie Chan
 Inside the Black Box: The Simple Truth About Quantitative and High-Frequency Trading, 2nd
Ed – Rishi Narang
 Volatility Trading – Euan Sinclair

Quant blogs

 Quantpedia - http://quantpedia.com
 Quantopian - http://blog.quantopian.com
 Quantivity - http://quantivity.wordpress.com
 Quantitative Trading (Ernest Chan) - http://epchan.blogspot.com
 MATLAB Trading - http://matlab-trading.blogspot.co.uk/

Journal Literature

 Mathematical Finance - http://onlinelibrary.wiley.com/journal/10.1111/%28ISSN%291467-

9965
 Journal of Computational Finance - http://www.risk.net/type/journal/source/journalof-
computational-finance
 SSRN - http://www.ssrn.com
 ar Xiv - http://arxiv.org/archive/q-fin
 Journal of Investment strategies - http://www.risk.net/type/journal/source/journalof-
investment-strategies

Aggregators

 Quantocracy - http://www.quantocracy.com
 Quant News - http://www.quantnews.com
 Algo Trading Sub-Reddit - http://www.reddit.com/r/algotrading

Programming languages in algorithmic trading

 Python
R
 C++
 C#
 Java
 Matlab