I recently stumbled the lecture notes of Prof. Avellaneda on Quantitative Investment Strategies (near the bottom of this page). The exposition is highly structured and rigorous, but I am missing in depth explanations on the different subjects. Therefore, I am looking for a textbook on, or potentially a detailed scientific review of the subject. Looking on the internet, most books I've found were mostly superficial treatment for non-practitioners or non-quantitative public. What I am looking for has the same level of sophistication as the exposition that Prof. Avellaneda shows. Unfortunately, he didn't wrote a book on the subject himself, as the book he wrote is more about derivative pricing (also an interesting subject, though).

New contributor
themightymoose is a new contributor to this site. Take care in asking for clarification, commenting, and answering. Check out our Code of Conduct.
  • $\begingroup$ We already have a list of suggested readings (both derivatives and pfolio management) here on this web site... quant.stackexchange.com/questions/38862/… $\endgroup$ – noob2 Apr 8 at 1:41
  • $\begingroup$ Even more specific is this question quant.stackexchange.com/questions/46567/… $\endgroup$ – noob2 Apr 8 at 1:43
  • $\begingroup$ I am not looking for yet another book on factor investing or derivative pricing. If you can find any of these books that address dispersion trading with WMC, modelling PCA factors with Ornstein-Uhlenbeck process and using them to trade mean-reversion... None of the book on these lists seem to address the same topics as the lecture. $\endgroup$ – themightymoose Apr 8 at 11:20
  • $\begingroup$ (1) OK, that clarifies your question quite a bit (maybe this paragraph could be appended to your question). (2) What you mention are academic research areas that Avellaneda is active in. My impression is that there are no books on these subjects yet. Perhaps Avellaneda can suggest academic papers to read (his' and others'). $\endgroup$ – noob2 Apr 8 at 17:03

Your Answer

themightymoose is a new contributor. Be nice, and check out our Code of Conduct.

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.