Found 3 comments on HN
hkmurakami · 2016-06-22 · Original thread
Regarding Rentec, the only decent book on their history has been in "The Quants". Are there any others?

https://www.amazon.com/Quants-Whizzes-Conquered-Street-Destr...

chollida1 · 2015-08-14 · Original thread
I thought I'd submit this as it lays out in great detail just how badly the direct feed that the markets supply beat the SIP that is used to price the NBBO(National Best Bid/Offer).

The reason this can be a problem is that many of the 40+ trading venues in the US are notified of changes from other venues via the SIP. That means there is a latency arb opportunity when a trade happens at one venue.

This is especially an issue in dark pools who perform the bulk of their trades at the mid point. If you are a retail trader, I'll state with about 99% certainty that your trade is being filled in someone's dark pool.

As a counter point to Nanex, check out Cliff Asness' notes.

He founded AQR inside of Goldman Sachs and it became one of the first real power house quant funds. His writings are awesome!

Or just read "The Quants" http://www.amazon.ca/The-Quants-Whizzes-Conquered-Destroyed/... as he's featured prominently in it.

https://www.aqr.com/cliffs-perspective/

chollida1 · 2015-06-23 · Original thread
If anyone is interested in more reading on the history of algorithmic trading, I've posted a screen grab of the top half of one of my book shelves.

Some of this maybe a repeat to people as I often get asked for recommendations on how to get into algorithmic trading.

http://imgur.com/OdzB4aW

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.

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