Quantitative Finance Society

QFS

The Quantitative Finance Society is the leading markets-focused financial analysis club at NYU Stern. For 8 years the club has educated students about trading, the markets, portfolio management, investment analysis, and the macro economy.

Recommended Readings

 
 

    

General -

 

  • More Money than God – Sebastian Mallaby                                                                              Beginner

Beating the market was long thought to be impossible, but hedge funds cracked its mysteries and made fortunes in the process. Drawing on his unprecedented access to the industry, esteemed financial writer Sebastian Mallaby tells the inside story of the hedge funds, from their origins in the 1960s to their role in the financial crisis of 2007 to 2009.

 

  • Dark Pools: The Rise of the Machine Traders and the                                                               Beginner

Rigging of the U.S. Stock Market  - Scott Paterson

A news-breaking account of the global stock market's subterranean battles, Dark Pools portrays the rise of the "bots"- artificially intelligent systems that execute trades in milliseconds and use the cover of darkness to out-maneuver the humans who've created them. Dark Pools is the fascinating story of how global markets have been hijacked by trading robots--many so self-directed that humans can't predict what they'll do next.

 

  • The Quants – Scott Paterson                                                                                                       Beginner

Drawing on unprecedented access to four number-crunching titans (Ken Griffin, Cliff Asness, Peter Muller, Boaz Weinstein), The Quants tells the inside story of what they thought and felt in the days and weeks when they helplessly watched much of their net worth vaporize. Scott Patterson tells the story not just of these men, but of Jim Simons, Aaron Brown; and gadflies and dissenters such as Paul Wilmott, Nassim Taleb, and Benoit Mandelbrot.  

 

  • Fooled By Randomness / The Black Swan – Nassim Taleb                                                       Beginner

Both books are in Nassim Nicholas Taleb’s landmark Incerto series, an investigation of opacity, luck, uncertainty, probability, human error, risk, and decision-making in a world we don’t understand. This book is about luck: more precisely how we perceive luck in our personal and professional experiences.

 

  • Against the Gods: The Remarkable Story of Risk                                                               Intermediate

In this unique exploration of the role of risk in our society, Peter Bernstein argues that the notion of bringing risk under control is one of the central ideas that distinguishes modern times from the distant past. Against the Gods chronicles the remarkable intellectual adventure that liberated humanity from oracles and soothsayers by means of the powerful tools of risk management that are available to us today.
 

  • Power Programming in VBA - John Walkenbach (the Excel bible)                                           Beginner

Excel 2016 Power Programming with VBA is fully updated to cover all the latest tools and tricks of Excel 2016. Encompassing an analysis of Excel application development and a complete introduction to Visual Basic for Applications (VBA), this comprehensive book presents all of the techniques you need to develop both large and small Excel applications.

 

  • The Visual Display of Quantitative Information                                                                        Beginner

Theory and practice in the design of data graphics, 250 illustrations of the best (and a few of the worst) statistical graphics, with detailed analysis of how to display data for precise, effective, quick analysis.

 

  • The Discoverers – Daniel Boorstin                                                                                             Beginner

Perhaps the greatest book by one of our greatest historians, The Discoverers is a volume of sweeping range and majestic interpretation. To call it a history of science is an understatement; this is the story of how humankind has come to know the world, however incompletely ("the eternal mystery of the world," Einstein once said, "is its comprehensibility").

 

  • Thinking Fast and Slow – Daniel Kahneman                                                                             Beginner

In the international bestseller, Thinking, Fast and Slow, Daniel Kahneman, the renowned psychologist and winner of the Nobel Prize in Economics, takes us on a groundbreaking tour of the mind and explains the two systems that drive the way we think. System 1 is fast, intuitive, and emotional; System 2 is slower, more deliberative, and more logical.

 

  • The Power of Habit – Charles Duhigg                                                                                        Beginner

In The Power of Habit, Pulitzer Prize–winning business reporter Charles Duhigg takes us to the thrilling edge of scientific discoveries that explain why habits exist and how they can be changed. Distilling vast amounts of information into engrossing narratives that take us from the boardrooms of Procter & Gamble to sidelines of the NFL to the front lines of the civil rights movement, Duhigg presents a whole new understanding of human nature and its potential.

 

Biographies -

 

  • Losing My Virginity – Richard Branson                                                                                     Beginner

Losing My Virginity is the unusual, frequently outrageous autobiography of one of the great business geniuses of our time. When Richard Branson started his first business, he and his friends decided that "since we're complete virgins at business, let's call it just that: Virgin." Since then, Branson has written his own "rules" for success, creating a group of companies with a global presence, but no central headquarters, no management hierarchy, and minimal bureaucracy.

 

  • The Snowball: Warren Buffett and the Business of Life – Warren Buffet                                 Beginner

Here is THE book recounting the life and times of one of the most respected men in the world, Warren Buffett. The legendary Omaha investor has never written a memoir, but now he has allowed one writer, Alice Schroeder, unprecedented access to explore directly with him and with those closest to him his work, opinions, struggles, triumphs, follies, and wisdom. The result is the personally revealing and complete biography of the man known everywhere as “The Oracle of Omaha.”

 

  • Principles – Ray Dalio                                                                                                                    Beginner

After being leaked to the press by a former employee, Ray Dalio’s Principles appeared on his company, Bridgewater Associates’, website as a presentation of his management philosophy. It is required reading for all employees at Bridgewater. By his own admission, it is a dynamic document, subject to change as the tenets within are applied, discussed, and debated by Bridgewater employees.

 

  • Liar’s Poker – Michael Lewis                                                                                                     Beginner

Liar’s Poker is the culmination of those heady, frenzied years—a behind-the-scenes look at a unique and turbulent time in American business. From the frat-boy camaraderie of the forty-first-floor trading room to the killer instinct that made ambitious young men gamble everything on a high-stakes game of bluffing and deception, here is Michael Lewis’s knowing and hilarious insider’s account of an unprecedented era of greed, gluttony, and outrageous fortune.

 

  • The Money Game – Adam Smith                                                                                               Beginner

'Adam Smith' is a veteran observer and commentator on the events and people of Wall Street.... His thorough knowledge of financial affairs gives his observations a great degree of authenticity. But the joy of reading this book comes from his delightful sense of humor. He is a lively and ingeniously witty writer who never stops to acerbity. None of the solemn, sacred cows of Wall Street escapes debunking.

 

Macro -

  • The Secrets of Economic Indicators – Bernard Baumohl                                                           Beginner

  • Oil 101 – Morgan Downey                                                                                                         Beginner

  • Fixed Income – Frank Fabozzi                                                                           Intermediate/Advanced

  • Getting Started in Commodities – George Fontanills                                                                 Beginner

  • National Bureau of Economic Research: http://www.nber.org                                                   Beginner

 

Long/Short -

  • The Essays of Warren Buffet: Lessons of Corporate America – Warren  Buffett                      Beginner

  • Interpretation of Financial Statements – Benjamin Graham                                                       Beginner

  • Little Book that Still Beats the Market – Joel Greenblatt                                                           Beginner

  • Beating the Street / One up on Wall Street – Peter Lynch                                                          Beginner

  • The Outsiders – William Thorndike                                                                                           Beginner

  • Dark Side of Valuation – Aswath Damodaran                                                                     Intermediate

  • Common Stocks and Uncommon Profits – Philip A. Fisher                                                Intermediate

  • Margin of Safety – Seth Klarman                                                                                         Intermediate

  • Manual of Ideas – John Mihaljevic                                                                                      Intermediate

  • Distressed Debt Investing – Stephen Moyer                                                                        Intermediate

  • Intelligent Investor – Benjamin Graham                                                            Intermediate/Advanced

 

Quant -

  • Algorithmic Trading: Winning  Strategies and Their Rationale - Ernest P. Chan                          Beginner

  • Option Volatility and Pricing Strategies – Sheldon Natenberg                                                   Beginner

  • New Trading Systems and Methods – Perry Kaufman                                          Beginner/Intermediate

  • Market Microstructure Theory – Maureen O’Hara                                                                Intermediate

  • What Works on Wall Street – James O’Shaughnessy                                                           Intermediate

  • Option Traders Workbook – Jeff Augen                                                             Intermediate/Advanced

  • Tail Risk Hedging – Vineer Bhansali                                                                   Intermediate/Advanced

  • Option Trader’s Hedge Fund – Dennis Chen                                                     Intermediate/Advanced

  • Black Scholes and Beyond – Neil Chriss                                                           Intermediate/Advanced

  • Options, Futures, and Other Deriviatives – John C. Hull                                                          Advanced

  • Stochastic Calculus for Finance I/II – Steven Shreve                                                                Advanced

  • Volatility Trading – Euan Sinclair                                                                                               Advanced

  • Dynamic Hedging – Nassim Talch                                                                                             Advanced

 
 
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