Design, Testing, and Optimization of Trading Systems (Robert Pardo)
This book, along with our own work,
The Encyclopedia of Trading Strategies,
is a must read for anyone serious about developing a profitable
trading system. No fluff or wild claims here, just solid information
for the serious student of the markets.
Options as a Strategic Investment (Lawrence G. McMillan)
One of
the best books on option basics. It covers the myriad
ways in which options may be used to speculate or hedge. In it you will
learn about naked and covered positions, spreads, straddles, strangles,
butterflies, and all that jazz. Also discussed is the pricing of options
with Black-Scholes, the "Greeks" and their uses, the meaning of terms
like "delta-neutral", volatility and its importance, and lots more.
If you trade options, this is a book that you absolutely must have.
Computerized Trading: Maximizing Day Trading and Overnight Profits
(Mark Jurik, ed.)
This is a compilation of writings by
different authors assembled and
edited by Mark Jurik. What is nice about this book is its breadth of
coverage. You can find high-quality reports on everything from
unique ways to train neural networks for trading to how to
evaluate the quality of historical data for backtesting.
Market Wizards: Interviews with Top Traders (Jack D. Schwager)
This
is a book very different from those listed earlier; one that
presents the personal or human rather than strategic or technical
aspects of trading. The book contains detailed interviews with
many of the worlds greatest traders, among them Richard Dennis
(of Turtle Traders fame), Ed Seykota, and William O'Neil
(the founder of Investor's Business Daily). All serious traders
should read this one to round out their education.
Advanced Option Pricing Models: An Empirical Approach to Valuing Options
This is our new book on options. If you liked the
Encyclopedia of Trading Strategies you will almost certainly
like this one too. It applies the same hard-edged, research-orientated
approach used in the Encyclopedia to the problem of evaluating
the worth of options. A variety of methods are investigated, from
conditional distributions and multivariate polynomial regressions
(using Chebychev polynomials) to hybridized neural networks. The studies
demonstrate that one can do much better than Black-Scholes when it
comes to pricing options, especially under certain market conditions.
If you have a mathematical bent, want the same kinds of technology
that the market makers and institutional traders have access to,
and if you trade stocks or stock options, than this book
is for you.
For futher information on this book, including a table of contents,
click here.
Numerical Recipes in C: The Art of Scientific Computing (Press, Teukolsky,
Vetterling, & Flannery)
If you are engaged in any pursuit that requires custom-programmed
mathematical analysis on a computer--be it the solution of linear equations,
the extraction of eigenvectors from matrices, the calculation of spectra
using FFTs, MESA, or Lomb Periodograms, or the integration of continuous
functions (numerical quadrature)--we heartily recommend this book and the
companion software. While the routines are not always state-of-the-art
"black boxes", they are logical, readily understood, and easy to use.
Fortran versions of the same wide range of routines are available in
Numerical Recipes in Fortran
for those who programme in that language rather than in C or C++.
Modern Factor Analysis (Harry H. Harmon)
The classic
work on factor analysis for the mathematically literate
reader. This book covers almost all relevant methods of factor
extraction (including principal components and principal axes,
minimum residuals or "minres", maximum liklihood, alpha, canonical,
and multiple group), many popular methods of factor rotation
(e.g., Varimax, Oblimax, and Harris-Kaiser Orthoblique),
various procedures for estimating factor scores (factor measurement),
as well as the theory and history of the field. The major omissions, in
our opinion, are of some of the less-popular oblique rotational
methods like Primary Product Functionplane (PPFP) and Oblisim. While
the ever-popular Varimax is excellent for orthogonal solutions, most of
the popular oblique rotations (e.g., Oblimax and Promax) do not perform
all that well. Currently, the best methods for rotation to oblique simple
structure are PPFP and Oblisim. Nevertheless, we consider this book
to be the bible of the subject. Highly recommended.
Introduction to Linear Regression Analysis, 3rd Edition
(Douglas C. Montgomery & Elizabeth A. Peck)
If you
want to learn the essentials of linear regression, this book is where
you should begin. It covers bivariate and multivariate models,
evaluation of model fit, detection of outliers, ridge and principal
components techniques, issues of robustness and multicollinearity,
and more. This book is also a great place to start if you plan to
develop polynomial models or train feed-forward neural networks. Why?
Because polynomials and feed-forward neural nets are essentially
forms of non-linear multivariate regression! Having a good
grounding in basic linear regression will give you a running start
in your efforts with non-linear models such as neural and
polynomial networks.
Fibromyalgia for Dummies (Roland Staud, M.D.)
The "Dummy" series
are often well written books; this one is
no exception. First the myth that fibromyalgia (FM) is not a real
and quite painful illness is dismissed. A discussion of the key
symptoms and possible causes of the condition follows. This
discussion even considers chemical sensivities
and gulf war syndrome (GWS). Diseases that are often misidentified
as FM (e.g., Lymes, rheumatoid arthritis, thyroid disease), and that
must be excluded in a medical workup, are also given
attention. Finally, the various treatments that are available, both
traditional and alternative, and the issue of finding a sympathetic
physician are discussed in the remainder of the book. Overall,
Fibromyalgia for Dummies provides a solid introduction
to this very mysterious and debilitating disorder.
Fibromyalgia: An Essential Guide for Patients and Their Families
(Daniel J. Wallace M.D. & Janice Brock Wallace)
This is another good introductory work on fibromyalgia.
Psychometric Theory (Jum C. Nunnally)
An oldie but goodie. If you want to learn about psychological
testing and measurement, this is one of the classics of the field.
Reliability (split-half, test-retest, Kuder-Richardson), validity
(both construct and content), item design and sampling, tests
(intelligence/cognitive, personality, interest inventories like
the Strong Vocational Interest Blank [SVIB], values)--its all
here, clearly analyzed. And some of the theory is actually quite
relevant to fields other than that of psychology or mental
testing: I cite this work in a new book on option pricing thanks
to its excellent treatment of measurement reliability in the
context of composite tests! Highly recommended.
The Psychology of Personal Constructs, Volume 1: A Theory of Personality
(George A. Kelly)
This is a really unique book that should
appeal to students of
personality who have a mathematical or scientific background and
mindset. The psychology of personal constructs might be considered
one of the first general cognitive theories of personality and
emotion. It was this book that sparked some of the ideas upon
which my dissertation was based! If anyone wants to discuss my
work in this area, please feel free to call or email me (you can
find contact info at the bottom of this page). It is a subject
that I am still very interested in.
The Backyard Astronomer's Guide (Terence Dickinson & Alan Dyer)
This is a wonderful book for the beginner. There are discussions
of everything from what to look for in binoculars, how to choose a
telescope, the basics of optics, eyepieces, f-ratios and aperature,
and the art of astrophotography (both with film and with CCD cameras),
to "star parties", the issue of light pollution, and lots more.
The book is also filled with amazing photographs of everything
from the sun and the planets to far away nebula and
galaxies--so-called "deep space objects".
We heartily recommend it.
Exploring the Night Sky: The Equinox Astronomy Guide for Beginners
(Terence Dickinson)
Another good book for those
just becoming fascinated with the night sky.
The Handbook of Astronomical Image Processing
(Richard Berry & James Burnell)
If you are interested
in the technical aspects of astronomical CCD
(charge coupled device) imaging, then this book is for you. It
covers everything you need to know to get great astronomical images
using a CCD camera. Topics covered include the nature of CCD
imaging arrays, noise and its relationship to temperature,
the spectral sensitivity of different chips, calibration using dark
frames and flat fields, photometry and astrometry with CCD
images, image enhancement techniques (including deconvolution and
unsharp masking), software algorithms, and even file formats (among
them the FITS format used by astronomers worldwide). The book
even includes a CD with the AIP4WIN astronomical image processing
software together with many image files (including raw images
on which you can practice image processing techniques).