Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization 1st Edition

This is a strange book. It is titled "Quantitative Trading", but it is never clear what type of "Trading" does the book cover. There are sparse concepts of market microstructure, which must have been added by the third author; but there is also an idiosyncratic treatment of mean-variance portfolio optimization, *which is totally irrelevant to short-term trading*. There are long stretches of boring and generic literature review, followed by very detailed formulations that are original work of Lai or Guo. Essentially, this is a book satisfied with itself. It does not really care to teach anything because it contains material that the authors *think* is important without providing any empirical evidence. I understand that the first two authors don't have a clue, not just because they are academics, but because of the research topics they have chosen in their careers. But I am surprised that the last two authors, industry professionals, albeit of minor firms, could not infuse more discipline to the material. Summing up, a truly useless book consisting of juxtaposition of cheap theories, and lacking any real insight.

This book is more like a monograph on high frequency and systematic trading (an academic review of the research literature), rather than a textbook for independent study.One of its strengths is the wide range of topics it covers, with references to up-to-date research. It provides a comprehensive review of asset pricing and modelling, systematic investment strategies, exchange markets, and trade order management. The book attempts to cover a very wide range of topics, so it's not able to provide enough detail into most of the topics.Yet it's one of the few books that tries to bridge the gap between advanced academic research and practical applications, so I highly recommend it to those who want to gain an understanding of algorithmic trading.