Apr
12
Book Request, from Henry Carstens
April 12, 2007 |
I'm looking for a book or paper that will help me think about trading and building trading systems from a fresh perspective. I am not looking for a trading book. I am looking for something that tackles a big question in a big way.
Three examples:
- In his notebooks, Da Vinci tackles learning to draw by thinking about and exploring straight lines (linear solution).
- In The Timeless Art of Building, the author integrates art, flow and aesthetics into architecture (gestalt solution).
- In Notes on Programming, Alexander Stepanov talks about knowing when a program/function/algorithm is correct (correct solution).
I have found that the way to get better at what I do is to choose a path, incrementally improve until the delta improvements become too small too matter (or be interesting), and then find a new path and start the process all over again. The book I'm looking for will help me find a new path.
Russ Herrold writes:
In scanning this piece, it refers to TAOCP by Knuth,
1. Knuth, Donald E. "The Art of Computer Programming," Volumes 1-3 Boxed Set, 1998 Addison-Wesley Professional (1998), Edition: 2, Hardcover, which I too have used for years (decades) as my polestar (I have a set for the office and a set for home); but times change, and my coding partner has convinced me that I also needed to look more broadly, and see more modern approaches. As he spent over a decade attaining his Computer Science PhD, and teaching along the way, I tend to listen to him in such matters. Also the code inside are an expression of "the software engineering techniques [which he, Bill Pippin] used to control program complexity [as Stepanov also mentions early on]. Those techniques extend the implementation work done as part of [his] doctoral dissertation, "Optimizing Threads of Computation in Constraint Logic Programs," in particular by demonstrating a non-trivial instance of the single-tree pattern, whereby all singleton types are parameterized and then stratified by their binding pattern.
If you think: "wow, that sounds dense", and you read C++, take a moment and read the headers and the code. Bill recently wrote a roadmap to reading it.
The 'single tree' and its (relentless) application to the problem and space we are addressing (exploring the conflicts between the theories trusted by fundamentals investors, and the practical results observed by technical traders in reality [a favorite topic of this list] — Bill and I each started as Nixon Era Economics wonks in Washington DC, in the era of the now forgotten religion of Chicago School monetarism) is a really _big_ and non-trivial system. But perhaps not a formal work per se. Yet…
Each of the following either looks at a 'big question' area, or apply a method to solve a non-trivial (big) question. Reference to trading and investing are tangential.
2. Skiena, Steve S. "The Algorithm Design Manual" 1998,and 3. Skiena, Steven "Calculated Bets" 2001. The first is a more contemporary yet sound algorithms (tying to the mention of provably correct" solutions) work (with a fine bibliography), and the latter just plain thoughtful and fun.
4. Cormen, Thomas H "Introduction to Algorithms, Second Edition" 2001. This is the modern leading work on algorithms, but appallingly dense; I recommended the Skiena works first, as I find them more approachable.
5. Hofstadter, Douglas R. "Godel, Escher, Bach: An Eternal Golden Braid." It is one of those books one should take a month to read, and which has delighted me with new insights for twenty-five years each time I re-read it (another delightful bibliography).
6. Aronson, David R "Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals" 2006. Not as to trading, but it applies scientific method in thinking about our trading beliefs.
7. Mehrling, Perry "Fischer Black and the Revolutionary Idea of Finance" and 8. Black, Fischer "Exploring General Equilibrium" 1995. This delightful pair being what I feel will be the reference biography, and the last work, as to unanswered questions, of this major 'counter' taken from us too soon.
This personal library inventorying tool has finally solved the desire I had for a tool to feed an ISBN, letting it gather and retain the rest. Also recommended.
Sam Humbert adds:
Perhaps too obvious to mention are the Tufte books. I got a lot out of his first book, The Visual Display of Quantitative Information, and sequentially less from the later volumes (much as I found food for thought in the Expert's first book Dynamic Hedging, but less in his later writings).
Comments
WordPress database error: [Table './dailyspeculations_com_@002d_dailywordpress/wp_comments' is marked as crashed and last (automatic?) repair failed]
SELECT * FROM wp_comments WHERE comment_post_ID = '1306' AND comment_approved = '1' ORDER BY comment_date
Archives
- January 2021
- December 2020
- November 2020
- October 2020
- September 2020
- August 2020
- July 2020
- June 2020
- May 2020
- April 2020
- March 2020
- February 2020
- January 2020
- December 2019
- November 2019
- October 2019
- September 2019
- August 2019
- July 2019
- June 2019
- May 2019
- April 2019
- March 2019
- February 2019
- January 2019
- December 2018
- November 2018
- October 2018
- September 2018
- August 2018
- July 2018
- June 2018
- May 2018
- April 2018
- March 2018
- February 2018
- January 2018
- December 2017
- November 2017
- October 2017
- September 2017
- August 2017
- July 2017
- June 2017
- May 2017
- April 2017
- March 2017
- February 2017
- January 2017
- December 2016
- November 2016
- October 2016
- September 2016
- August 2016
- July 2016
- June 2016
- May 2016
- April 2016
- March 2016
- February 2016
- January 2016
- December 2015
- November 2015
- October 2015
- September 2015
- August 2015
- July 2015
- June 2015
- May 2015
- April 2015
- March 2015
- February 2015
- January 2015
- December 2014
- November 2014
- October 2014
- September 2014
- August 2014
- July 2014
- June 2014
- May 2014
- April 2014
- March 2014
- February 2014
- January 2014
- December 2013
- November 2013
- October 2013
- September 2013
- August 2013
- July 2013
- June 2013
- May 2013
- April 2013
- March 2013
- February 2013
- January 2013
- December 2012
- November 2012
- October 2012
- September 2012
- August 2012
- July 2012
- June 2012
- May 2012
- April 2012
- March 2012
- February 2012
- January 2012
- December 2011
- November 2011
- October 2011
- September 2011
- August 2011
- July 2011
- June 2011
- May 2011
- April 2011
- March 2011
- February 2011
- January 2011
- December 2010
- November 2010
- October 2010
- September 2010
- August 2010
- July 2010
- June 2010
- May 2010
- April 2010
- March 2010
- February 2010
- January 2010
- December 2009
- November 2009
- October 2009
- September 2009
- August 2009
- July 2009
- June 2009
- May 2009
- April 2009
- March 2009
- February 2009
- January 2009
- December 2008
- November 2008
- October 2008
- September 2008
- August 2008
- July 2008
- June 2008
- May 2008
- April 2008
- March 2008
- February 2008
- January 2008
- December 2007
- November 2007
- October 2007
- September 2007
- August 2007
- July 2007
- June 2007
- May 2007
- April 2007
- March 2007
- February 2007
- January 2007
- December 2006
- November 2006
- October 2006
- September 2006
- August 2006
- Older Archives
Resources & Links
- The Letters Prize
- Pre-2007 Victor Niederhoffer Posts
- Vic’s NYC Junto
- Reading List
- Programming in 60 Seconds
- The Objectivist Center
- Foundation for Economic Education
- Tigerchess
- Dick Sears' G.T. Index
- Pre-2007 Daily Speculations
- Laurel & Vics' Worldly Investor Articles