I read through A Mathematician Plays The Stock Market by John Allen Paulos recently. I’ve gotta say, I wasn’t too impressed. I think I was hoping for more math, and less whining about the decline of WCOM. If you are not mathematically inclined, I think this might be the right level of overview for you.
Now, I’m starting to read The Misbehavior of Markets by Benoit Mandelbrot, and it looks more promising, in terms of deeper mathematical exposition. Curiously, from the first few pages, it appears that his work is aimed at being able to generate realistic fake market data, rather than analyze and make predictions on existing data. So, he’s kind of attacking the problem from the other direction.
After that, I’ve found some academic papers on financial models out on the net, which will no doubt be the most rigorous treatment of the three.
May 27th, 2006 at 2:20 am
I flipped through the Mathematician book at the bookshop a couple of years ago but wasn’t too impressed either.
Sounds like you’re starting to focus on the quants area of trading. Do you still day trade?
May 27th, 2006 at 1:32 pm
I’ve seen so many books now about system traders, that I just have to try it! So, to focus on that, I’ve suspended my daytrading temporarily.
Originally my plan was to daytrade any systems I started to use. That is, try to squeeze more profit out of them by catching peaks and valleys during the day. Whether I end up doing this depends on the quality of the systems I come up with.
As with anything in the markets, it’s harder than it looks! So, I may just end up going back to daytrading based on real-time scans.
Either way, I’ll come out of this having learned a lot. I have a much deeper understanding of what the common indicators mean, now that I’ve written code that implements them!