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#81
05-23-2006, 05:01 PM
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Re: Let\'s Read
No offense to the "make millions" B&N paperback "bestsellers," but there's little fluff in the textbooks. I have read many of the paperbacks, and some are good, but they can be too persuasive and less objective. I would hate someone, for example, to read Graham/Dodd and think "ahhh, now I understand finance;" especially since there is considerable empirical evidence showing that Graham's methods will not make you money. You know . . . stuff like that [img]/images/graemlins/smile.gif[/img]
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#82
05-23-2006, 05:08 PM
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Re: Let\'s Read
[ QUOTE ]
Ed, in case you hadn't noticed, his post was a reply to the OP... are you saying that none of those books are worthwhile reading for the forum? In either case, I find the information on what's being read in colleges, to be interesting. I also wouldn't mind seeing some posts by some of the college students taking courses, describing what they are learning in some of their courses. [/ QUOTE ] I wasn't so much saying that they aren't worthwhile reading, but pointing out that they are all very much academic textbooks, and likely are overly expensive, and contain lots of overlapping material. for individual investors, there are cheaper, better, and shorter ways of learning much of the information those books would present. In response to your last question, I'll post reading lists for the various finance-related classes I have taken or will likely take next year. I can look up more complete syllabi if you'd like, but this gives most of the information, at a fraction of the effort: ECO 362: Financial Investments Zvi Bodie, Alex Kane, and Alan J. Marcus (BKM), Investments, 6th edition, Irwin/McGraw-Hill, 2005. Packet of Readings (Packet) including, amongst various academic papers, articles by buffett and 2 chapters from security analysis Burton G. Malkiel (Malkiel), A Random Walk Down Wall Street, 8th edition paperback, W.W. Norton, 2003. David G. Luenberger (Luenberger), Investment Science, Oxford University Press, 1998. This book is recommended for purchase by students who anticipate fulfilling the requirements for the finance certificate. It presents a more mathematical treatment of the subjects covered in the BKM text. ECO 363: Corporate Finance Brealey, Myers, and Allen, Principles of Corporate Finance, 8th edition (New York, McGraw-Hill/Irwin, 2006). FIN 503/ORF 515: Asset Pricing II: Stochastic Calculus and Advanced Derivatives Robert McDonald [M] (2006), Derivatives Markets, Addison Wesley, 2nd edition. John Hull [H] (2006), Options, Futures and other Derivatives, 6th Edition, Prentice Hall Baxter and Rennie [BR] (1996), Financial Calculus: An Introduction to Derivative Pricing, CUP Etheridge [E] (2002), A Course in Financial Calculus, CUP Grimmett and Stirzaker [GS] (2002), Probability and Random Processes, 3rd Edition, OUP. ORF 534: Financial Engineering Required Texts: 1. Investment Science, Luenberger, Oxford University Press, 1998 3. Worldwide Asset and Liability Modeling Systems, Ziemba and Mulvey (eds.), Cambridge University Press, 1998. Supplemental Texts: 2. The Econometrics of Financial Markets, Cambell, Lo and MacKinlay, Princeton University Press, 1997. I have deleted the books we didn't use. There were also papers handed out on various topics; insurance and pension plan management being the main ones not covered in the texts. ORF 335: Introduction to Financial Engineering ``Capital Ideas'' by Peter L. Bernstein ``When Genius Failed'' by Roger Lowenstein J. Hull, Options, Futures and other Derivative Securities ORF 569: An Introduction to Credit Risk and Credit Derivatives David Lando - Credit Risk Modeling: Theory and Applications along with some academic papers available courses I may take in the future: ECO 462: Portfolio Theory and Asset Management Bodie, Kane and Marcus , Investments Fama and French , Multifactor Explanations of Asset Pricing Anomalies, Journal of Finance Sharpe , Factor Models CAPMs, and the APT Journal of Portfolio Mgt Fama and French , Multifactor Explanations of Asset Pricing Anomalies, Journal Lakonishok, Shleifer, Vishny , Contrarian Investment, Extrapolation, and Risk, Journal of F ECO 467: Institutional Finance Markus K. Brunnermeier , Asset Pricing under Asymmetric Information Maureen O'Hara , Market Microstructure Theory Glyn A. Holton , Value-at-Risk: Theory and Practice Markus K. Brunnermeier and Lasse H. Pedersen , Predatory Trading, Journal of Finance 2005 ORF 435: Financial Risk Management Alexander, C. (Editor) (1998) , Risk Management and Analysis Fφllmer, H., Schied, A. (2002) , Stochastic Finance. Hull, J.C. (2003). , Options, Futures and Other Derivatives. Luenberger, D.G. (1998). , Investment Science. Mason, S., Merton, R., Perold, A., Tufano, P. (1995). , Cases in Financial Engineering: Applied Studies of Financial ECO 466: Fixed Income: Models and Applications Cairns , Interest Rate Models ECO 461: Trading and Securities Markets Harris, 2002 , Trading &Exchanges: Market Microstructure for Practitioners Grossman & Stiglitz, 1980 , On the Impossibility of Informationally Efficient Markets. SEC release no.34-50870, Jan. 2005 , Proposed Rule: Regulation NMS Rock, 1986 , Why the New Issues Are Underpriced. JFE 15, 187-212. Levitt, 2002 , Take on the Street. Zitzewitz, 2003 , Who Cares About Stockholders?Arbitrage-Proofing Mutual Funds
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#83
05-23-2006, 08:59 PM
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Re: Let\'s Read
[ QUOTE ]
wow... I figured some of those were so obscure you hadn't seen them yet... How about these?... New Trading Systems and Methods by Perry Kaufman The Encyclopedia of Trading Strategies by Katz & McCormick Professional Stock Trading: System Design and Automation by Conway & Behle Are you using Tradestation? [/ QUOTE ] I am familiar with none of those. Thanks for the tips. I do use Tradestation, although I really think it is a giant POS, I'm not aware of anything better. I have had relatively serious thoughts about forming a company to compete with TS. It's only a matter of time before they get their asses handed to them by a company competent in software development. My problem would be finding a business partner who has inroads with a brokerage to partner with. eastbay
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#84
05-24-2006, 02:40 PM
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Re: Let\'s Read
[ QUOTE ]
[ QUOTE ] wow... I figured some of those were so obscure you hadn't seen them yet... How about these?... New Trading Systems and Methods by Perry Kaufman The Encyclopedia of Trading Strategies by Katz & McCormick Professional Stock Trading: System Design and Automation by Conway & Behle Are you using Tradestation? [/ QUOTE ] I am familiar with none of those. Thanks for the tips. I do use Tradestation, although I really think it is a giant POS, I'm not aware of anything better. I have had relatively serious thoughts about forming a company to compete with TS. It's only a matter of time before they get their asses handed to them by a company competent in software development. My problem would be finding a business partner who has inroads with a brokerage to partner with. eastbay [/ QUOTE ] Have you taken a look at Metastock? btw, before TS became a brokerage, they were a standalone software app. There's also quite a bit of free TS code available, that you might want to take a look at. As for developing your own software, for starters, you can just look into hooks to the various brokers, for order entry.
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#85
05-24-2006, 02:41 PM
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Re: Let\'s Read
[ QUOTE ]
In response to your last question, I'll post reading lists for the various finance-related classes I have taken or will likely take next year. I can look up more complete syllabi if you'd like, but this gives most of the information, at a fraction of the effort: [/ QUOTE ] Ed, care to share what you have learned from the courses you have taken?
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#86
05-24-2006, 06:49 PM
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Re: Let\'s Read
[ QUOTE ]
[ QUOTE ] In response to your last question, I'll post reading lists for the various finance-related classes I have taken or will likely take next year. I can look up more complete syllabi if you'd like, but this gives most of the information, at a fraction of the effort: [/ QUOTE ] Ed, care to share what you have learned from the courses you have taken? [/ QUOTE ] Many of them are very detail-oriented towards specific pricing models, portfolio management techniques, or risk management theories. I will try to write up something comprehensive in the next couple of days, trying to keep out things I've learned outside the classroom.
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#87
05-25-2006, 05:45 AM
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Re: Let\'s Read
[/ QUOTE ] Give me something I can use, that is quantifiable, verifiable, and actionable. The real problem is that anyone who has good ideas about system development and evaluation isn't going to write a book about them. eastbay [/ QUOTE ] While no one is going to write a book detailing specific system strategies that are currently working, you will find some people kind enough to share old and no longer money making systems(i.e. read the posts on EliteTrader by Acrary). You should also be able to find some interesting academic papers on the web. But for learning how to be a good systems developer in general, I'm not sure a book could tell you much more than what you'll find browsing the net and using your own common sense. (for prop strategies, not execution engines) p.s. chart reading, even though non-quant, often uses the same underlying logic as many quant-based models(...trend following or mean reversion).
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