The Best Books on Quantitative Investing (Top 10)

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Quantitative investing is one of the best investment strategies for financial growth. It is a rules-based, data-driven approach to investing; it utilizes computers to make investment decisions. Over the long-term it can provide higher returns, decrease stress, and greatly reduce the time that it takes to build an investment portfolio. It is our raison d’etre here at Aikido Finance.

We’ve curated a list of the best books to get you started on the subject.  Our picks will help you learn all you need to know about quantitative investing. You can also check out

#1 What Works on Wall Street

What Works on Wall Street is a compilation of the legendary investor Shawn O’shaughnessy’s systematic, scientific, and results-driven methods for making profitable stock market decisions. His book offers nearly a century’s worth of data on market performance, including price-to-earnings ratios, market capitalization, EBITDA-to-enterprise value. Price-to-cash-flow, book and sales ratios, new multi-factor strategies, and many others.

His work is a calming, undeniably objective approach to quantitative investing. In fact, the strategies he shares have influenced our investment strategies here at Aikido. If you want to be a quantitative investor, this book is essential reading.

#2 Acquirer’s Multiple

Another great book to begin understanding quantitative Investing is the Acquirers Multiple by Tobias E. Carlisle. Published in October of 2017, this book offers new advice on how to beat the market through factor investing – with a distinct value flavour. Additionally, it serves as a guide on how to screen for undervalued stocks and provides knowledge on simple quantitative methods for investing in deep value stocks in an evidence-based passive approach to yield maximum returns.

#3 FAQs on Quantitative Finance

FAQs on quantitative investing demystifies the topic of quantitative finance by portraying it as it is meant to be through mathematical models that are robust, understandable, and adjustable. The book covers essential frequently asked questions on both theory and practice. There are sections on how to calculate for Black-Scholes (12 different ways), equations, famous models, probability distributions, brainteasers, critical essays, and the most common quantitative investing mistakes. Paul goes to great lengths to present the mathematical principles that govern quant investing in a simple yet accurate way. Wilmott present the material, in a light-hearted and fun way. His book is an excellent buy for this reason.

#4 The little book that beats the market

Another informative book that investors should get their hands on to broaden their knowledge on Factor Investing is The Little Book that Beats the Market, written by Joel Greenblatt in 2006. Similar to the two aforementioned books, The Little Book that Beats the Market focuses on simple modern value investing principles through a quantitative and passive investment style. With over 300,000 printed copies sold, this book has established itself as a classic in financial literature and a necessity for people looking to learn about Factor Investing.

#5 An introduction to quantitative investing

An introduction to quantitative investing offers concise explanations on the basics of derivitives-based quantitative finance. The book’s author, Stephen Blyth, is a professor of statistics and managing director of the Harvard Management Company, so you’ll be learning from one of the best minds in the business.  The book provides simplified explanations for complex financial transactions and tips on handling mathematical problems.

This book is an excellent buy for anyone new to quantitative investment because it doesn’t require prior knowledge on the subject. The author expertly introduces readers to the problems and theories of quantitative investing while providing helpful tips on testing and applying quantitative investing theories. It focuses on derivitives.

#6 Quantitative momentum

Quantitative momentum is the layman’s quid to implementing a quantitative momentum investment strategy. The authors Wesley Gray & Jack Vogle share the secrets of a system that has consistently beaten the market and regularly rewarded Wall Street’s most tenacious investors. The book will give you expert insight into how to make momentum investing work on a personal level. You’ll learn about behavioral psychology, and the most effective implementation tactics. Wall Street hedge funds are usually perceived as sophisticated, but this book will show you how you can use their strategies to grow your portfolio.

#7 Quantitative finance for dummies

Despite the title, Quantitative Finance for Dummies book is a great resource for newbies and seasoned investors alike. It explains options, risk, futures, and expounds on all the formulae, core models, methods, and mathematical tools you need for quantitative investing. More specifically, it will help you understand,

  • random behaviors
  • QF models
  • probability estimations
  • Risk control
  • professional forecasting 
  • Portfolio management.

By the time you’re done reading it, you’ll have all the information and practical examples required for a successful role in finance.

#8 Finance: a quantitative introduction

Nico van der Wijst’s book is a great guide to modern finance. In this book, he provides a concise and detailed explanation of the most prominent theories in options, asset pricing, corporate finance, and also points out their weaknesses. His book excels in terms of both range and clarity.

#9 Quantitative methods for finance

In his book Quantitative methods for finance, John Teal makes sure his readers gain a significant degree of comfort in applying basic mathematics to several forms of financial analysis. His approach shows you how to develop, implement, and evaluate financial models to solve financial problems.

#10 Quantitative risk management

This book offers a comprehensive evaluation of the theoretical concepts and modeling techniques involved in quantitative investing risk management. Unlike many of the books we’ve discussed so far, it does not have step-by-step implementation strategies. But, it is still a valuable tool if you are an actuary, financial risk analyst, regulator, or student of quantitative finance.

Bonus books:

Two more books of use to quantitative investors are Quantitative Value by Wesley Gray and Tobias Carlisle, and The Complete Guide to Factor Investing by Andrew Berkin and Larry Swedroe. Both of these books have been written by Asset Managers and explore different useful aspects of Factor Investing.

Conclusion

All the books we’ve recommended offer valuable knowledge on quantitative investment, They are excellent resources. The book publisher Wiley in particular produces excellent books on quantitative investing – keep an eye out for them. Of all the books mentioned, What works on Wall Street is our most highly recommended. It will make you a stock market genius.

If you are interested in building your own quantitative investing strategies be sure to check out this article. And, If you want to build a quantitative portfolio right away, Aikido finance has a catalog of strategies that can help you get started.

Until next time,

Take it easy!

Shane

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