Links
Interesting Books:
Options, Futures, and Other Derivatives (John C. Hull)
An Introduction to Options Trading (Frans de Weert)
My Life as a Quant: Reflections on Physics and Finance (E. Derman)
Fischer Black and the Revolutionary Idea of Finance (Perry Mehrling)
Interesting Blogs:
Darryl Gove’s blog – Compiling and performance
Ranting @ 741 MHz – The life of a programmer by Vlad Lazarenko
Observation of the world from a programmer’s point of view
Vanilla #Java – Understanding how Core Java really works can help you write simpler, faster applications.
Challenging Mathematical/Computer Programming Problems
Interesting Projects:
Marketcetera – Open Source Trading Platform
fix8 – Open Source C++ Framework for FIX
QuickFIX: An Open Source C++ FIX engine
LMAX Disruptor – High Performance Inter-Thread Messaging Library
TradeXoft – A Quantitative Execution Algorithm Development Company
C++ implementation of “Data Distribution Service for Real-time Systems”
Intel’s Threading Building Blocks
Thrust – A parallel algorithms library
OpenMP® API specification for parallel programming
STLport – Multiplatform C++ Standard Library (STL implementation)
FIX Interactive Message And Tag Explorer
FIX 5.0 SP2 Dictionary
Order State Change Matrices
Mechanical trading systems
Qtstalker: stock market, commodity and technical analysis charting application
Advanced Stock Tracking System
Mechant of Venice: a stock market trading program
EclipseTrader: a stock exchange analysis system
The Santa Fe “Artificial Stock Market” simulation model
Interesting People:
John Moody
Michael Kearns
Hans Buehler
Interesting Labs/Groups/Institutes/Companies:
E-Finance Lab Frankfurt am Main
Mathematical Finance at the University of Mannheim
targit GmbH München
Microstep IT München
Interesting Articles:
Technology Pressures Future Of Trading Jobs
Algorithmic trading changes markets (maybe)
Algorithmic Trading: The use of algorithms in automated trading
HAL 9000-Style Machines, Kubrick’s Fantasy, Outwit Traders
From Harvard to Hedge Funds
Robotrading 101
Nonlinear Maths: Handmaiden of Post-Modern Finance
Interesting Magazines:
Job hunting:
Quantster
eFinancialCareers
QuantFinanceJobs
MorganLevy
Wilmott Jobs Board
Anson McCade
Millar Associates
McGregor Boyall
Comprehensive Recruiting
Job hunting guides:
Paul and Dominic’s guide to getting a quant job
Api Trading:
Trade Wall Street Automated Trading API
Forex Automated Trading API
CortalConsors Trading Software
Other Links:
Reuters for Algorithmic Trading
Where to get historical financial data series?
Yahoo!Finance
GAIN Capital Rate Data Archive
Oanda historical currency exchange rates