If you enjoy pop economics/trading books ala Michael Lewis then I'd recommend Fortunes Formula. Great book focusing mostly on Ed Thorpe who is one of the fathers of modern day quantitative trading.
I don't want to speak for an industry, but I don't see it used very much in practice in investing anymore, mostly because firms nowadays seem to make much smaller bets much more frequently( think HFT firms) so even pension funds that don't do investments under say $20-$30 million are usually doing sizes that amount to 1/50 of Kelly.
It may have use for very small individual investors, think someone with under $100,000 to invest that wants to pick their own holdings and not jut buy the market via an ETF.
Having said that, if you want to work on the buy side soon er or later someone will ask you about it during an interview so its in your best interest to understand it.
Capital Ideas: The Improbable Origins of Modern Wall Street by Peter L. Bernstein.
A lively introduction to the theoretical foundations of modern finance and their history, Markowitz, Sharpe, etc.
The Essays of Warren Buffett : Lessons for Corporate America by Warren E. Buffett.
In his own words...you can also find many if not all online, on Berkshire website
Buffett: The Making of an American Capitalist
by Roger Lowenstein.
Insightful biography...The Snowball was written more recently with Buffett's approval, but would read this one first
Common Stocks and Uncommon Profits and Other Writings
by Philip A. Fisher.
It's not widely appreciated, but Warren Buffett's method is 50% Ben Graham and 50% Phil Fisher. If you can find value stocks that are also great franchises, and hold onto them for dear life, you will be rich... if you also bet big, operate companies well, don't screw up, live in a bull market era and survive long enough, maybe as rich as Buffett.
The Intelligent Investor: A Book of Practical Counsel
by Benjamin Graham.
Classic introduction to value investing
Unconventional Success: A Fundamental Approach to Personal Investment
by David F. Swensen.
Asset allocation, and the perils of mutual funds...leading endowment investor of our time (Yale) gives his advice for individuals
The Most Important Thing: Uncommon Sense for the Thoughtful Investor
by Howard Marks.
Lessons in investing... at any time, any one of them can be 'the most important thing' and so they all are jointly and severally 'the most important thing'.
The Investor's Anthology: Original Ideas from the Industry's Greatest Minds (Vols 1 and 2)
by Charles D. Ellis (Editor), James R. Vertin (Editor).
Essays from a broad selection of writers
The Money Masters;
The New Money Masters;
Money Masters of Our Time,
by John Train.
Methodologies of all-time great money managers, in their own words
The New Market Wizards;
Hedge Fund Market Wizards,
by Jack D. Schwager.
Interviews of successful traders
Manias, Panics, and Crashes: A History of Financial Crises
by Charles P. Kindleberger.
Why good markets go bad
Reminiscences of a Stock Operator
by Edwin Lefevre.
Fictionalized biography of a famed early-20th century trader
A Random Walk Down Wall Street: The Best and Latest Investment Advice Money Can Buy
by Burton G. Malkiel.
Reality check from an efficient market theorist
This is a rollicking good read on links between Shannon, Kelly, Thorpe, who wrote 'Beat the Dealer' and was maybe the first hedge fund legend https://www.amazon.com/Fortunes-Formula-Scientific-Betting-C...
And maybe something on technical analysis, but not really sure what to recommend...a lot of people view it kind as mumbo jumbo, but I kind of think fundamentals are like playing your poker hand, technicals are like playing the opponents' tells...the chart gives you an idea of who owns it at what price, what levels might make people rethink positions. Maybe this one as an easy intro, dumb title notwithstanding https://www.amazon.com/Stan-Weinsteins-Secrets-Profiting-Mar...
Some of this maybe a repeat to people as I often get asked for recommendations on how to get into algorithmic trading.
http://www.amazon.ca/Fortunes-Formula-Scientific-Betting-Cas... The history of hte first real quant
http://www.amazon.ca/Dark-Pools-Machine-Traders-Rigging-eboo... The history of the rise of algorithmic trading
The phyisics of wall street was mentioned by someone else, great book
http://www.amazon.ca/Quants-Whizzes-Conquered-Street-Destroy... This profiles 4 famous traders including Simons, alos a great book
http://www.amazon.ca/Heard-Street-Quantitative-Questions-Int... A must read if you want to get into quantitative finance.
As always, email if you'd like to chat.
Even Graham has said that for most people a low cost index fund is the way to go. Competing against a computerized/connected/inside information Wall Street is very hard and because of transaction costs (higher to the individual than the institution) winning stock trading strategies are non-trivial.
However, Claude Shannon (famous computer science guy) was a pretty good investor: http://en.wikipedia.org/wiki/Kelly_criterion
Fortune's Formula http://www.amazon.com/Fortunes-Formula-Scientific-Betting-Ca... details some of Shannon's methods and covers some other interesting stories like LTCM, Mathematician Edward O. Thorp's black jack schemes and later his creation of the one of the first "computerized" hedge fund.
i highly recommend "Fortune's Formula".
Great read. Smart dudes (Shannon, Ed Thorpe), blackjack, casinos, financial markets, and more.
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