Then I can mention some recommendations (in no particular order):
* https://www.goodreads.com/en/book/show/7346602-algorithmic-t...
Really dry (and thick) book, but it's comprehensive in its treatment of execution algos. This was written by a guy who worked on the sellside, so this is written in the context of receiving large orders from buyside clients and trying to execute them efficiently and with minimal market impact. There's an overview here: http://www.algo-dma.com/2007/12/overview.html
Main criticism is that it's kind of a dated book, but the fundamentals (how to benchmark, dealing with multiple venues) are still relevant.
* Robert Carver's books and blog: https://qoppac.blogspot.com/p/about-me.html
His background is a buyside algo trader whos' now retired. Mostly focuses on futures, still trades on his own account. I'd say his books are entry-level, but they have one big useful rule - keep your system simple and be paranoid about overfitting your parameters.
* AQR's Asness writes some interesting stuff:
https://www.aqr.com/Insights/Perspectives
The main caveat there is that he has a vested interest in pushing for smart beta, as that is AQR's bread-and-butter. Still, clever guy making interesting points.
For relaxed (and arguably information-free) reading, you can look at:
Flash Boys - Main criticism here is that the book is arguably PR for the IEX, so they paint HFTs in an almost exclusively negative light. So take that with a big grain of salt. Still, nice book to get some context about the HFT world.
More Money Than God - super naff title, but ok read; covers the stories of various successful fund managers, especially in the algo space.
As a final thought, I'd say, the quant space is really opaque (and still changing fast even today) and largely misunderstood by outsiders. I find that academics, reporters and pop-culture authors usually get things quite wrong. Insiders, like Asness and Carver know more, but sometimes have vested interests in selling you something. There are a lot of books on Amazon about "systematic investing" and most of them are thin on substance or, even worse, just wrong.
Counter: obsolete things last longer than you think.
Riposte: obsolete things are not used by most people.
Counter-riposte: still used by many people.
Counter-counter-riposte: technically, many != most.
Somewhere, I think the original point was lost. This has been HN comment theater, the greatest arena of technical-yet-irrelevant correctness you can find.
I remember every dishwasher and washing machine had "fuzzy logic" in the 90s (at least according to stickers). Just because it was the AI/ML/Deep Learning/Big Data/IoT of the time.
No, fuzzy logic won't make your washing machine better. Yes, you can implement some stuff in fuzzy logic.
* https://www.goodreads.com/en/book/show/7346602-algorithmic-t... Really dry (and thick) book, but it's comprehensive in its treatment of execution algos. This was written by a guy who worked on the sellside, so this is written in the context of receiving large orders from buyside clients and trying to execute them efficiently and with minimal market impact. There's an overview here: http://www.algo-dma.com/2007/12/overview.html
Main criticism is that it's kind of a dated book, but the fundamentals (how to benchmark, dealing with multiple venues) are still relevant.
* Robert Carver's books and blog: https://qoppac.blogspot.com/p/about-me.html His background is a buyside algo trader whos' now retired. Mostly focuses on futures, still trades on his own account. I'd say his books are entry-level, but they have one big useful rule - keep your system simple and be paranoid about overfitting your parameters.
* Not algo stuff, but more financial, Matt Levine's Money Stuff column in bloomberg is a joy to read: https://www.bloomberg.com/opinion/authors/ARbTQlRLRjE/matthe...
* AQR's Asness writes some interesting stuff: https://www.aqr.com/Insights/Perspectives The main caveat there is that he has a vested interest in pushing for smart beta, as that is AQR's bread-and-butter. Still, clever guy making interesting points.
For relaxed (and arguably information-free) reading, you can look at: Flash Boys - Main criticism here is that the book is arguably PR for the IEX, so they paint HFTs in an almost exclusively negative light. So take that with a big grain of salt. Still, nice book to get some context about the HFT world. More Money Than God - super naff title, but ok read; covers the stories of various successful fund managers, especially in the algo space.
As a final thought, I'd say, the quant space is really opaque (and still changing fast even today) and largely misunderstood by outsiders. I find that academics, reporters and pop-culture authors usually get things quite wrong. Insiders, like Asness and Carver know more, but sometimes have vested interests in selling you something. There are a lot of books on Amazon about "systematic investing" and most of them are thin on substance or, even worse, just wrong.