I am a financial data scientist. I think it is important that data scientists are highly specialized if they want to be effective in their careers. I run a business called Conlan Scientific out of Charlotte, NC where me and my team of financial data scientists tackle complicated machine learning problems for our clients. Quant trading is a gladiator’s arena of financial data science. Anyone can try it, but few succeed at it. I am sharing my top five list of math books that are essential to success in this field. I hope you enjoy.
I wrote...
Algorithmic Trading with Python: Quantitative Methods and Strategy Development
Algorithmic Trading with Python discusses modern quant trading methods in Python with a heavy focus on pandas, numpy, and scikit-learn. After establishing an understanding of technical indicators and performance metrics, readers will walk through the process of developing a trading simulator, strategy optimizer, and financial machine learning pipeline.
This book maintains a high standard of reproducibility. All code and data are self-contained in a GitHub repo. The data includes hyper-realistic simulated price data and alternative data based on real securities.
One of my favorite professors, Gretchen Martinet, used this to teach a course called “Mathematical Statistics” when I was at the University of Virginia. It is an extremely profound course full of dense but fundamental mathematical proofs in classical statistics.
You will learn why the formula for the normal distribution is the way it is, why the sum of squares appears everywhere in statistics, and how to fit a linear regression by hand. In the same way calculus elevates our understanding of rates of changes, the book elevates your understanding of samples, averages, and distributions. Quant trading requires an intuitive sense of how data, models, and aggregates work, making this content essential for your success.
Modern Mathematical Statistics with Applications, Second Edition strikes a balance between mathematical foundations and statistical practice. In keeping with the recommendation that every math student should study statistics and probability with an emphasis on data analysis, accomplished authors Jay Devore and Kenneth Berk make statistical concepts and methods clear and relevant through careful explanations and a broad range of applications involving real data.
The main focus of the book is on presenting and illustrating methods of inferential statistics that are useful in research. It begins with a chapter on descriptive statistics that immediately exposes the reader to real data. The…
Everyone knows what probability is, and we all understand how a coin flip works, but not everyone can explain the optimal betting strategies for a roulette table. We don’t study probability to understand the likelihood of events. We study probability to understand the expected outcomes of business processes that depend on those events.
In other words, this book won’t just teach you about probabilities, it will teach you about business strategies associated with those probabilities. It will help you answer a question like: How do I maximize the profit on this life insurance policy, given this set of survival probabilities? It isn’t just a likelihood question, it is a business question. I highly recommend that anyone studying probability does so through an actuarial lens.
This book covers the basic probability of distributions with an emphasis on applications from the areas of investments, insurance, and engineering. Written by a Fellow of the Casualty Actuarial Society and the Society of Actuaries with many years of experience as a university professor and industry practitioner, the book is suitable as a text for senior undergraduate and beginning graduate students in mathematics, statistics, actuarial science, finance, or engineering as well as a reference for practitioners in these fields. The book is particularly well suited for students preparing for professional exams, and for several years it has been recommended as…
This is one of my favorite underappreciated statistics books of all time. Non-parametric statistics can be otherwise described as statistics without assumptions. The entire goal of this field of study is to prove X is greater than Y without making any assumptions about the underlying distributions of X or Y. The methods are different, and they require more data than other methods, but the learning journey is invaluable.
I personally believe that modern machine learning is simply the modeling section of the school of non-parametric statistics. Working through this book will give you a much deeper understanding of why tools like decision trees are so valuable. It will also to teach you to design rigorous numerical experiments on data sets that are beyond the help of classical statistics.
Guided by problems that frequently arise in actual practice, James Higgins' book presents a wide array of nonparametric methods of data analysis that researchers will find useful. It discusses a variety of nonparametric methods and, wherever possible, stresses the connection between methods. For instance, rank tests are introduced as special cases of permutation tests applied to ranks. The author provides coverage of topics not often found in nonparametric textbooks, including procedures for multivariate data, multiple regression, multi-factor analysis of variance, survival data, and curve smoothing. This truly modern approach teaches non-majors how to analyze and interpret data with nonparametric procedures…
This book might as well be called Introduction to machine learning, and it is probably one of the only books truly deserving of the title. Did you know neural networks have been used for decades to scan checks at the bank? They are called Boltzman Machine. Have you ever heard of how decision trees were used in old-school data mining? You could only get them from proprietary software packages from the early 2000s.
In quant trading, you will constantly face compute power constraints, so it is invaluable to understand the mathematical foundations of the most old-school machine learning methods out there. Researchers 20 years ago used to do a lot of impressive work with a lot less computing power.
This book describes the important ideas in a variety of fields such as medicine, biology, finance, and marketing in a common conceptual framework. While the approach is statistical, the emphasis is on concepts rather than mathematics. Many examples are given, with a liberal use of colour graphics. It is a valuable resource for statisticians and anyone interested in data mining in science or industry. The book's coverage is broad, from supervised learning (prediction) to unsupervised learning. The many topics include neural networks, support vector machines, classification trees and boosting---the first comprehensive treatment of this topic in any book.
While studying computer networks, Claude Shannon did something pretty impressive. He reformulated the majority of classical statistics from scratch using the language and concepts of computer science.
Statistical noise? There’s a new word for that; it’s called entropy. Also, it turns out it is a good thing, not a bad thing because entropy is equal to the information content or a data set. Tired of minimizing the squared error of everything? That’s fine, minimize the log of its likelihood instead. It does the same thing. This book challenges the assumptions of classical statistics in a way that fits neatly in the mind of a computer scientist. As a quant trader, this book will help you understand and measure the information content of data, which is critical to your success.
Scientific knowledge grows at a phenomenal pace--but few books have had as lasting an impact or played as important a role in our modern world as The Mathematical Theory of Communication, published originally as a paper on communication theory more than fifty years ago. Republished in book form shortly thereafter, it has since gone through four hardcover and sixteen paperback printings. It is a revolutionary work, astounding in its foresight and contemporaneity. The University of Illinois Press is pleased and honored to issue this commemorative reprinting of a classic.
Coaching is a wonderful technology that can help people be a force for change… and is often wrapped up in mystic and woo-woo and privilege that makes it inaccessible and/or unattractive to too many. I want being more coach-like—by which I mean staying curious a little longer, and rushing to action and advice-giving—to be an everyday way of being with one another. Driven by this, I’ve written the best-selling book on coaching this century (The Coaching Habit) and have created training that’s been used around the world by more than a quarter of a million people. I’m on a mission to unweird coaching.
The coaching book that's for all of us, not just coaches.
It's the best-selling book on coaching this century, with 15k+ online reviews. Brené Brown calls it "a classic". Dan Pink said it was "essential".
It is practical, funny, and short, and "unweirds" coaching. Whether you're a parent, a teacher, a leader, or even a coach, you can stay curious longer.
Look for Michael's new book, The Advice Trap, which focuses on taming your Advice Monster so you can stay curious a little longer and change the way you lead forever.
In Michael Bungay Stanier's The Coaching Habit, coaching becomes a regular, informal part of your day so managers and their teams can work less hard and have more impact.
Drawing on years of experience training more than 10,000 busy managers from around the globe in practical, everyday coaching skills, Bungay Stanier reveals how to unlock your peoples' potential. He unpacks seven essential coaching questions to demonstrate how-by saying less and…
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