To those who seek wisdom ahead: Beware, for this is a long list.. (100+ books)

"You wont become an algorithmic genius savant extraordinaire philanthropist billionaire overnight."

You wont be one in 3 months. You wont be one in a year either. You might not ever become one. But as with mostly everything in life if you apply yourself you might get closer and closer to achieving that dream of financial freedom.

Now obviously some of these have overlapping contents so you should do your own research about which books are more suited for your mindset and current skill set.

This list is comprised from multiple sources online and filtered to the best of my abilities into the following categories:

• General Reading
• Light Reading
• Programming
• Mathematics
• Economics & Finance
• Technical & Time-Series Analysis
• Other
• Derivatives

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GENERAL READING — The fundamentals

This is probably a good place to start, together these books cover a wide variety of subjects and might be a decent introduction to the various elements of quantitative trading.

• Beat the Market by Ed Thorp
• Fundamentals of Futures and Options Markets by John C. Hull
• Options, Futures, and Other Derivatives by John C. Hull
• Quantitative Trading by Ernie Chan
• Essentials of Investments by Zvi Bodie, Alex Kane & Alan Marcus
• Financial Modeling by Simon Benninga
• Option Volatility & Pricing by Sheldon Natenberg
• Derivatives by Sanjiv Das & Rangarajan Sundaram
• Algorithmic Trading and DMA by Barry Johnson
• Quantitative Momentum by Wesley R. Gray & Jack R. Vogel
• Quantitative Value by Wesley R. Gray & Tobias Carlisle

LIGHT READING — The stories

These are mostly "war-stories" and tales from the world of quants. Some will be very educational, others will be more leisurely reading.

• The Wealth of Nations by Adam Smith
• The Age of Turbulence by Alan Greenspan
• A Man for All Markets by Edward Thorpe
• My Life as a Quant by Emanuel Derman
• Reminiscences of a Stock Operator by Jesse Livermore
• Crucial Conversations Tools … by Karry Patterson
• Quant Job Interview Questions and Answers by Mark Joshi
• Liar's Poker by Michael Lewis
• Fischer Black & the Revolutionary Idea of Finance by Perry M.
• Inside the Black Box by Rishi K. Narang
• The Quants by Scott Patterson
• Heard on the Street by Timothy Crack

PROGRAMMING — Machine Learning and in general

This is a joint list of Machine Learning literature as well as general good practice programming books in specifically Python, R and C++.

Machine Learning

• Pattern Recognition and Machine Learning by Christopher M. Bishop
• Machine Learning: A Probabilistic Perspective by Kevin P Murphy
• Advances in Financial Machine Learning by Marcos Lopez de Prado
• Reinforcement Learning by Richard S. Sutton, Andrew G. Barto

General Programming

• Modern Computational Finance by Antoine Savine
• Applied Computational Economics and Finance by Mario J. & Paul L.
• C++ Design Patterns and Derivatives Pricing by Mark Joshi
• Mastering Python by Michael B. White
• The Art of R Programming by Norman Matloff
• Statistical Analysis of Financial Data in R by René Carmona
• Python for Data Analysis by Wes McKinney

MATHEMATICS — Statistics & Probability, Stochastic Processes and in general

Now we're getting into the specifics. The usefulness of these books will be highly dependent on your education and experience in the field already so tread with caution.

General mathematics:

• Mathematics for Economics by Carl P. Simon & Lawrence E. Blume
• A Primer For The Mathematics Of Financial Engineering by Dan S.
• The Concepts and Practice of Mathematical Finance by Mark Joshi
• Financial Calculus by Martin Baxter &Andrew Rennie
• Mathematical Methods for Financial Markets by Monique J.

Statistics & Probability:

• Probability by A.N. Shiryaev
• An Introduction to Statistical Learning by Gareth J. & Trevor H.
• Statistical Inference by George Casella & Roger Berger
• The Elements of Statistical Learning by Hastie Tibshirani, Friedman
• Probability and Statistics for Engineering and the Sciences by Jay L.
• Probability by Leo Breiman
• Probability and Statistical Inference by Robert V. Hogg, Elliot Tanis
• Theoretical Statistics — Topics for a Core Course by Robert W. Keener
• Statistics in a Nutshell by Sarah Boslaugh
• Probability and Statistics for Finance by Svetlozar T. Rachev

Stochastic Processes:

• Stochastic Differential Equations by Bernt Oksendal
• Handbook of Markov Chain Monte Carlo by Brooks Steve
• Diffusions, Markov Processes and Martingales by L. Roger, D. Williams
• Stochastic Calculus and Applications by Samuel N. & Robert J.
• Stochastic Calculus for Finance I by Steven Shreve
• Stochastic Calculus for Finance II by Steven Shreve

ECONOMICS & FINANCE — Asset pricing and management in general

In case you have no financial or economic background it would be wise to read some of these books to understand the parts that make up the foundation of our market. As with everything of this this, some might not be applicable to you and some might be, so do your own research before committing!

General economics:

• Intermediate Microeconomics: A Modern Approach by Hal R. Varian
• Introductory Econometrics: A Modern Approach by Jeffrey W.
• Introduction to Managerial Accounting by Peter B., Ray G. & Eric N.

Asset pricing:

• Asset Pricing and Portfolio Choice Theory by Back Kerry
• Financial Decisions and Markets: A Course in Asset Pricing by John Y.
• Asset Pricing (Revised Edition) by John H.

Risk & Asset management:

• Quantitative Risk Management by Alexander J., Rudiger F. & Paul E.
• Asset Management: A Systematic Approach to Factor Investing by Ang
• Advanced Financial Risk Management by Donald R. & Deventer K.
• The VaR Modeling Handbook by Greg N. Gregoriou
• Expected Returns: A Guide to Harvesting Market Rewards by I. Anti
• Introduction to Risk Parity and Budgeting by Roncalli Thierry

TECHNICAL & TIME-SERIES ANALYSIS — Draw those lines!

Even though Technical Analysis (TA) is a source of great dispute in the trading community there's still some value to gain from understanding the concepts.

Technical analysis:

• The Art and Science of Technical Analysis by Adam H. Grimes
• Evidence-Based Technical Analysis by David Aronson
• Technical Analysis of Stock Trends by Robert D. Edwards, John Magee

Time-series analysis:

• Time Series Analysis James by Douglas Hamilton
• Analysis of Financial Time Series by Ruey S. Tsay

OTHER — Everything in between

This list is only unique in the sense that I wasn't sure where to place these books. Not that is definitely not to say that these books are inferior to any others in this collection, indeed some of them might be vitally important and hugely influential on your learning experience.

• Security Analysis by Benjamin Graham, David Dodd, Warren Buffett
• The (Mis)Behavior of Markets by Benoît B. Mandelbrot, Richard L.
• Damodaran on Valuation by Damodaran Aswath
• Models Behaving Badly by Emanuel Derman
• Trading Systems by Emilio Tomasini
• Business Cycles and Equilibrium by Fischer Black
• Dual Momentum Investing by Gary Antonacci
• The Problem with HFT by Haim Bodek
• The Econometrics of Financial Markets by John Y., Wen-C. Lo, Archie C.
• Building Winning Algorithmic Trading Systems by Kevin Davey
• Trading and Exchanges by Larry Harris
• Martingale Methods in Financial Modelling by Marek M., Marek R.
• Dynamic Hedging: Managing Vanilla and Exotic Options by Nassim N.
• Financial Modelling With Jump Processes by Rama C. & Peter T.
• The Evaluation and Optimization of Trading Strategies by Robert P.
• Fundamentals of Corporate Finance by Stephen A., Randolph W & more
• Arbitrage Theory in Continuous Time by Tomas Björk
• Trade Your Way to Financial Freedom by Van K. Tharp

DERIVATIVES — Equity, FX, Commodity, Interest Rate, Credit , XVA

This is self-explanatory. Highly specific literature on specific kinds of derivatives. When the subject-matter from these books are implanted in your mind you can probably consider yourself a pseudo-expert in the field.

Equity derivatives:

• The Volatility Surface by Jim Gatheral
• Stochastic Volatility Modeling by Lorenzo Bergomi
• Equity Hybrid Derivatives by Marcus Overhaus et al.

FX derivatives:

• FX Options and Smile Risk by Antonio Castagna
• Foreign Exchange Option Pricing by Iain J. Clark FX
• FX Options and Structured Products by Uwe Wystup

Commodity derivatives:

• Energy and Power Risk Management by Alexander E.
• Commodities and Commodity Derivatives by Helyette Geman
• Commodity Option Pricing by Iain J. Clark

Interest rate derivatives

• Interest Rate Models — Theory and Practice by Damiano B. & Fabio M.
• Pricing and Trading Interest Rate Derivatives by J. H. M. Darbyshire
• Interest Rate Modeling I, II & III by Leif Andersen & Vladimir Piterbarg
• Interest Rate Option Models by Rebonato

Credit derivatives

• Modelling Single-name and Multi-name Credit Derivatives by Dominic
• Credit Risk — Modeling, Valuation & Hedging by Tomasz R. & Marek R.

XVA

• XVA: Credit, Funding and Capital Valuation Adjustments by Andrew G.
• Counterparty Credit Risk, Collateral and Funding by Damiano Brigo

FINAL MUSINGS — Moving forward

So we did it, we made a "complete" list of books for algorithmic and quantitative trading! Now it goes without saying that a list like this is only "complete" up until the point someone comments:

"But wait, you forgot this vitally important piece of literature, how could you?!"

For that very reason I will continue to update this a time goes on, taking in as much feedback from you guys on Medium and from people on Twitter and Reddit as well.

Closing remarks

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