Intro to Quant Finance Literature

(Published by JP Bouchaud | September 2022)

I am often asked which book I would recommend as an introduction to quantitative finance (apart from our own books of course :) ).

My favorite is Michael Isichenko's recent "Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage"

It so happened that Michael and I were working on similar problems (diffusion in random media) in the early 90's; we both wrote review papers at the time that did have some long lasting impact, see this and this.

My back cover endorsement of Michael's book reads as follows:

"This is a wonderful book: deep, original, witty and provocative. It is a survey of the most important ideas and methods of modern quantitative investment that should enthrall both junior and seasoned quants."

The Russian physics style brain teasers are great -- although I personally think brain teasers is the worst way to source real talents. Finding new, original ideas is not about being fast and smart, but about being deep, serendipitous, unrelenting and humble. At least this is the type of talents we have hired at CFM for the last 25 years -- and we did manage to muster a great lineup of creative and collaborative individuals.