吐血干货 | 量化、算法、机器学习交易书单完整目录

“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

基础

轻松阅读

编程-机器学习

特别是Python、R和C++。

数学-统计与概率、随机过程等

经济学和金融学

技术和时间序列分析

其他

• 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

衍生品

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

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