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Modeling financial time series with S-PLUS (Zivot & Wang)
A well organized reference book with both a theory refresher and code examples for each topic: univariate and multivariate regressions, GARCH, cointegration, state space models and much more. This is a practical book for that may be also be used with R, the...
Shorting leveraged ETFs pairs
Research on leveraged ETFs has explained some important characteristics of these products: their negative exposure to volatility the resulting possible value erosion for long term buyers However, the research also shows that the value erosion is not systematic....
A random walk down wall street (Malkiel)
First published in 1973 and revised nine times since, this classic offers practical advice that is backed by no non-sense explanations. On the theory side, you will find this book useful if you are looking for an introductory explanation on these topics: modern...
Rebalancing or not ?
Should you rebalance your portfolio ? There are conflicting opinions on this topic. For David Swensen, author of "Unconventional success", rebalancing imposes a disciplined "buy low, sell high" strategy. Mr. Swensen is known for his impressive track record at the head...
The misbehavior of markets (Mandelbrot & Hudson)
Mr. Mandelbrot explains the shortcomings of modern finance theory in simple terms. Even though no practical alternative is given, the book was remarkably prescient (published a few years before the 2008 crisis) and encourages research into new models, possibly based...
The Bond Book (Annette Thau)
A splendid introduction to bonds. The book is well structured and makes a great reference. This text provides the essentials for understanding bonds: yield calculation, interest rate risk, credit risk, and the pros and cons of most bond investments: treasuries, munis,...
Quantitative equity portfolio management (Chincarini & Kim)
Covers both financial theory and real-world practice. Interesting chapters on factor models, taxes, leverage.
Closet index funds
Is a closet index fund hiding in your portfolio ? This would be costly! These funds mimic indexes, yet they have higher expense fees (typically between 1% and 2%) than index funds or index ETFs (0.1% to 0.5%). The accumulation of expense fees compounded over the years...
Evidence-based technical analysis (Aronson)
This book explains how a scientific approach can be used to determine if a technical analysis (TA) rule is worth using or not. If you are looking for a recipe book, this is not it. There is no specific TA rule or approach which is promoted here. The author first point...
The intelligent asset allocator (Bernstein)
A classic investment book! Asset allocation decisions have high impact on long term portfolio returns. Bernstein introduces portfolio theory, the efficient frontier (and its shortcomings), and outlines a practical approach that any investor can follow. This relatively...
Correlation: using time weights
Most correlation calculators use an 'equal weights' formula: each data point is given the same weight, whether they are recent or long past. This is an easy calculation that is used for example in the CORREL function in Excel. In the 'exponential weights' formula, the...
Pairs trading (Ganapathy Vidyamurthy)
Pairs trading attempts to profit from the relative mispricing of a pair of stocks by buying one stock in the pair and shorting the other, and holding these positions until the prices converge. This book explains two approaches to pairs trading: statistical arbitrage...
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