Textbooks on algorithmic trading

Quantitative Finance Asked on January 2, 2022

What are good sources and textbooks covering the theory and models behind algorithmic trading and strategies?

One Answer

Having traded algorithmically for a couple of decades and taught on the subject, I'm going to recommend four books: one practical, two theoretical (but important), and one that is light -- a "beach read" that still touches on many important topics.

The practical book is Barry Johnson's Algorithmic Trading & DMA. It is self-published and superb.

The theoretical books are very good at helping you look at algorithmic trading problems with a proper perspective. The two books I would suggest are Joel Hasbrouck's Empirical Market Microstructure and Market Liquidity: Theory, Evidence, and Policy by Thierry Foucault, Marco Pagano, and Alisa Röell.

Finally: the beach read. Go grab a copy of Lefèvre's Reminiscences of a Stock Operator. Many modern issues surrounding liquidity, order splitting, off-exchange trading and more are referenced in some way there. Prescient for a book written in 1923.

Answered by kurtosis on January 2, 2022

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