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Recommended Books  


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Interesting Introductions

The Stock Market (7th Edition) by Richard Teweles and Edward Bradley is the most "user-friendly" introduction to Wall Street I know. A classic review of who does what, how they do it, and how they are regulated.

Technology and War : From 2000 B.C. to the Present shows the assumptions and caveats that one makes on technology in an application that demands ultra-high reliability and zero fault tolerance. Fascinating observations on the ultimate operational risk by military historian Martin van Creveld.

Technology Management

Business Data Communications and Networking by Raymond R. Panko is a complete and evolving reference for networking.  The web site is superb.  From propagation to protocols, from LANs to WANs, from TCP/IP to HTTP, an extremely enjoyable and readable treatment.

Information Rules: A Strategic Guide to the Network Economy by Carl Shapiro and Hal R. Varian reviews the "New Economy" from an economic and historical perspective.  The names have changed but the principles remain the same.  Great chapters on pricing and versioning.  Good web site too.

e-Business & e-Commerce for Managers by Paul J. Deitel, Kate Steinbuhler, Harvey M. Deitel is an encyclopedic reference (almost 800 pages!) on the who-what-where-when-how of doing business on the web.  A good web site and a great list of web links for resources and case studies.  And a complete tutorial (with source code) for building a database-driven e-commerce site.

Management Information Systems: Organization and Technology in the Networked Enterprise by Kenneth Laudon and Jane Laudon is a large book with great graphics, interesting examples, and an excellent web site that discusses almost everything about information systems and technology.

Probability and Statistics

Multivariate Density Estimation: Theory, Practice, and Visualization by David Scott. Everything you always wanted to know about probability density functions, kernel smoothers, and histograms, but were afraid to ask. An excellent treatment of kernel regression methods.

Stochastic Differential Equations: An Introduction with Applications is an easy to read and thoroughly rigorous treatment of systems that evolve continuously with "noise." If you ever wanted to understand Brownian motion or Ito calculus, then this book by Bernt Oksendal is the source.

Random Number Generation and Quasi-Monte Carlo Methods is a classic reference by Harald Niedderreiter on how to generate certain numbers by algorithmic means that either "look random" or that have some nice properties of truly random numbers. The ways used to generate these pseudo-random and quasi-random numbers are a beautiful application of classical number theory to statistics.

Applied Mathematical Finance and Econometrics

Portfolio Selection : Efficient Diversification of Investments is the classic work by Harry Markowitz, first published in 1959, that invents modern finance. This enjoyable book describes the optimal portfolio asset allocation problem in terms of means, variances, and covariances of returns (and also makes a good case for using semi-variance as an alias for risk).

Econometric Models and Economic Forecasts by Robert Pindyck and Daniel Rubinfeld shows how to turn mundane datasets into rigorous quantitative statistical models. Another very readable classic (first published in 1976).  The book is an introduction to applied multivariate regression, ARIMA models, and the statistical assumptions that support them. Reading this book is enhanced with the monograph by Hiroyuki Kawakatsu: A Computer Handbook Using EViews to accompany Economic Models and Economic Forecasts (McGraw-Hill, 1998) which takes real empirical econometric data (the examples in P&R) and shows how to analyze them with a modern statistical tool.

Introduction to Futures and Options Markets by John Hull is a readable introduction to some of the modern financial markets, the products traded on them, and the quantitative technology needed to support them. Good examples are given from the perspective of trader, hedger, market maker, and speculator.

Derivative Securities by Robert Jarrow and Stuart Turnbull is an enjoyable and rigorous survey of the theory and practice of hedging financial products. I especially like their treatment of interest rate instruments.

The Encyclopedia of Technical Market Indicators is an objective review of 110 indicators (that are specified by algorithmic means) that are used in "Technical Analysis." This book by Robert Colby and Thomas Meyers consists of a set of experiments; each experiment tries to rigorously assess whether a given indicator works. If you need to know the difference between a stochastic, an oscillator, and a moving average crossover, then look no further.

Financial Technology

After the Trade Is Made: Processing Securities Transactions is an easy-to-read kind of classic by David Weiss that is a survey of the "back office" of securities processing. I find this book useful even though many of the systems no longer rely on paper: but the data collected is still the same.

Artificial Intelligence in the Capital Markets: State-of-the-Art Applications for Institutional Investors, Bankers and Traders edited by Roy S. Freedman, Robert A. Klein, and Jess Lederman.  A survey of 35 financial applications of artificial intelligence.  Some of the chapters are expanded versions of papers that were originally presented at the AI on Wall Street conferences in New York City. 

 

 

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