Literature Review file offered to participants of the Management Development Program (MDP) organized by QuantInsti (QI) in collaboration with National Stock Exchange (NSE), India. The following topics were covered in the program: * Demystifying Algorithmic Trading * System Architecture and its impact on trading performance * Technological innovations for algorithmic trading * Tool-box set for Algorithmic Trading * Different Types of Algorithmic Trading Strategies * Process of Developing an Algorithmic Trading Strategy * Rules and Regulations * Workshop on Algorithmic Trading Platform and working with complex event processing * Risk Management specific to Algorithmic Trading * Working with Quant Tools * Performance Evaluation and Portfolio Management * What Next - the Road Ahead To continue the education provided at the MDP, a set of future reading material on the relevant topics was provided to the participants - this file contains a non-comprehensive list of interesting reads on topics associated with algorithmic trading. The MDP was a 2 day program for senior executives (CXOs, Directors, etc) of financial institutions. The sessions were conducted by QI co-founders Shaurya Chandra, Sunith Reddy and Rajib Ranjan Borah; and senior faculty Aditya Sihag. QI conducted two such programs in Mumbai and one program in Kochi (for South Indian institutions) in the period Feb-July 2014.

1. 1-Mar-2014
Management Development Program
on
Algorithmic trading
at
National Stock Exchange, India
(conducted by QuantInsti)
Literature Review

2. High Frequency & Market Microstructure
• Trading and Exchanges: Market Microstructure for Practitioners
(Larry Harris)
practitioner introduction to stylized financial microstructure effects
• Optimal Trading Strategies, (Kissell and Glantz):
practitioner introduction to market impact and optimal execution
• Market Microstructure Theory, (O’Hara):
classic introduction to microstructure theory; now dated
© Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited

3. Algorithmic Trading Strategies & Technology
• High-Frequency Trading: A Practical Guide to Algorithmic
Strategies and Trading Systems (Irene Aldridge)
• Algorithmic Trading and DMA: An introduction to direct access
trading strategies (Barry Johnson)
• Electronic and Algorithmic Trading Technology: The complete
guide (Kim Kendall)
• The Problem of HFT - Collected Writings on High Frequency
Trading & Stock Market Structure Reform (Haim Bodek)
0+scalping strategies (Hide not Slide orders) and other abuses
© Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited

4. Algorithmic Trading Strategies & Technology
• Dark Pools: The Rise of the Machine Traders and the Rigging of
the U.S. Stock Market (Scott Patterson)
Document of how different quant and algorithmic trading firms started – not quant
or technical at all
• Books by Ernie Chan
• Algorithmic Trading: Winning Strategies and Their Rational
• Quantitative Trading: How to Build Your Own Algorithmic Trading Business
© Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited

5. Technical Analysis
• John Murphy:
• Technical Analysis of the Financial Markets
• Intermarket Analysis: Profiting from Global Market Relationships
• Marting J Pring:
• Investment Psychology Explained: Classic Strategies to Beat the Markets
• Technical Analysis Explained : The Successful Investor's Guide to Spotting
Investment Trends and Turning Points
• Market Wizard Series (Jack D Schwager)
© Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited

6. Quantitative Trading
• Analysis of Financial Time Series (Ruey S Tsay)
• Statistical Arbitrage (Andrew Pole)
• Pairs Trading: Quantitative Methods and Analysis (Ganapathy
Vidyamurthy)
© Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited

7. Options Trading
• Option Pricing:
• The Complete Guide to Option Pricing Formulas: Espen Garder Haug
• Basic books on option market dynamics:
• All 4 books by Jeff Augen
 The Volatility Edge in Options Trading
 Trading Options at Expiration
 Option Trader’s Workbook
 Day Trading Options
• Intermediate books on option market dynamics:
• Option Volatility & Pricing (Sheldon Natenberg)
• Dynamic Hedging (Nassim Taleb)
© Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited

8. Options Trading
• Volatility Trading
• Buying and Selling Volatility (Kevin Connoly)
• Volatility trading (Euan Sinclair)
• Inside Volatility Arbitrage (Alireza Javaheri)
• Volatility Surface
• The Volatility Surface – A Practitioner’s Guide (Jim Gatheral)
• Volatility & Correlation
• Volatility & Correlation (Riccardo Rebonato)
• The perfect hedger and the fox (Riccardo Rebonato)
© Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited

9. Portfolio Management
• Leverage Space Theory (Ralph Vince)
• The Trading Game (Ryan Jones)
© Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited

10. News Analytics
• The Handbook of News Analytics (Prof Gautam Moitra, Leela
Moitra)
© Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited