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:

  1. In his notebooks, Da Vinci tackles learning to draw by thinking about and exploring straight lines (linear solution).
  2. In The Timeless Art of Building, the author integrates art, flow and aesthetics into architecture (gestalt solution).
  3. 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).





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