Reference
Resources
Books, courses, papers and data the modules lean on, with a note on what to take from each.
Books 67
- Options, Futures, and Other Derivatives (11th ed.) verified
John C. Hull
The standard reference for forwards, futures, binomial trees, Black–Scholes and Greeks. M07: futures mechanics, hedging, forward/futures pricing (chs. 2, 3, 5 in recent editions). M08: chs. 10–11, 13–15, 18–19. M09: Greeks, smiles, strategies. M10: commodity futures and Black's model. Chapter numbers drift between editions.
- Option Volatility and Pricing (2nd ed.) verified
Sheldon Natenberg
How option traders think: volatility, spreads, risk considerations, position adjustments. The practitioner's counterweight to Hull.
- Volatility Trading (2nd ed.) verified
Euan Sinclair
Realised-volatility estimators, the delta-hedged P&L derivation of M09 · 9.3, and the variance premium.
- Positional Option Trading verified
Euan Sinclair
Ch. 4 on the variance premium; event trading and sizing short-volatility positions.
- The Volatility Surface: A Practitioner's Guide verified
Jim Gatheral
Chs. 1–4 (local and stochastic volatility), ch. 2 (term structure and calendar no-arbitrage), ch. 11 (variance swaps). For depth.
- Advances in Financial Machine Learning verified
Marcos López de Prado
Backtest overfitting (chs. 11, 12, 14), triple-barrier and meta-labelling (ch. 3), sample uniqueness (ch. 4), purged cross-validation (ch. 7).
- Quantitative Trading verified
Ernest P. Chan
Practical backtesting and simple strategy families.
- Algorithmic Trading: Winning Strategies and Their Rationale verified
Ernest P. Chan
Ch. 1 backtesting pitfalls; ch. 2 ADF, Hurst exponent, half-life, Johansen; ch. 3 Bollinger bands and the Kalman filter for pairs; ch. 6 interday momentum.
- Analysis of Financial Time Series (3rd ed.) verified
Ruey S. Tsay
Ch. 1 returns and their distributions; chs. 2–4 linear models, GARCH family, Markov switching; ch. 7 extreme values, VaR and ES.
- The Econometrics of Financial Markets verified
John Y. Campbell, Andrew W. Lo and A. Craig MacKinlay
Ch. 1 (returns, aggregation, lognormal model) and ch. 2 (random-walk tests, variance ratios) for M02 · 2.1–2.4; ch. 4 (event-study analysis, J1 and J2) for M12.
- Time Series Analysis verified
James D. Hamilton
Ch. 3 stationary ARMA, ch. 4 forecasting, ch. 13 Kalman filter, ch. 17 unit roots, chs. 18–20 spurious regression, cointegration and Johansen, ch. 21 GARCH, ch. 22 regime switching.
- Stochastic Calculus for Finance I: The Binomial Asset Pricing Model verified
Steven E. Shreve
Chs. 1–2 one-period and multi-period no-arbitrage and the risk-neutral measure; ch. 4 American options. The proof reference for M08 · 8.3–8.4.
- Stochastic Calculus for Finance II: Continuous-Time Models verified
Steven E. Shreve
Ch. 3 Brownian motion and quadratic variation (3.7 reflection principle), ch. 4 Itô integral, Itô's lemma and the BSM PDE, ch. 5 Girsanov and risk-neutral pricing, ch. 6 Feynman–Kac, 7.2 maximum of Brownian motion with drift.
- Investment Valuation (3rd ed.) verified
Aswath Damodaran
Chs. 7–8 risk-free rate, ERP and beta; 11–12 growth and terminal value; 17–18 multiples; the chapter on valuing financial service firms for M06A.
- The Little Book of Valuation verified
Aswath Damodaran
Read the whole book in a weekend before M06.
- Valuation: Measuring and Managing the Value of Companies (7th ed.) verified
Tim Koller, Marc Goedhart and David Wessels
Chs. 2–3: the value driver formula, ROIC and growth. The chapters on banks and on cyclical companies for M06A.
- Financial Shenanigans (4th ed.) verified
Howard Schilit, Jeremy Perler and Yoni Engelhart
Taxonomy of accounting manipulation; companion to the forensic checklist of M06 · 6.8.
- What I Learned About Investing from Darwin verified
Pulak Prasad
A rigorous Indian long-term investing philosophy.
- Thinking, Fast and Slow verified
Daniel Kahneman
Parts III–IV: prospect theory and biases, from the source.
- Trading in the Zone verified
Mark Douglas
The probabilistic mindset of execution.
- A Man for All Markets verified
Edward O. Thorp
Autobiography: blackjack, Kelly in practice and Princeton–Newport.
- The Prize: The Epic Quest for Oil, Money, and Power verified
Daniel Yergin
The history of oil, which explains its present; the chapters on 1973 and 1990 for M12.
- Trading and Exchanges: Market Microstructure for Practitioners verified
Larry Harris
Chs. 1–6 (the trading industry, orders, market structures) and the chapters on order-driven markets and call auctions; later chapters on informed traders, liquidity and transaction-cost measurement. The best single book on how markets work.
- Empirical Market Microstructure verified
Joel Hasbrouck
Ch. 2 trading mechanisms; ch. 3 the Roll model; ch. 5 sequential trade; ch. 7 strategic trade (Kyle). The book page has Mathematica notebooks for each chapter.
- Market Microstructure Theory verified
Maureen O'Hara
Ch. 1 auction and dealer frameworks; chs. 3–4 information-based models.
- An Introduction to Probability Theory and Its Applications, Vol. I (3rd ed.) verified
William Feller
Ch. XIV, 'Random walk and ruin problems', 1–3: the classical treatment of M03 · 3.6.
- Trade Your Way to Financial Freedom (2nd ed.) verified
Van K. Tharp
Chapters on expectancy and position sizing, for the R-multiple vocabulary; ignore claims not backed by data.
- A First Course in Stochastic Processes (2nd ed.) verified
Samuel Karlin and Howard M. Taylor
Ch. 7: Brownian motion and first-passage problems with drift, behind the stop/target barrier results of M04A · 4A.6.
- Bond Markets, Analysis and Strategies verified
Frank J. Fabozzi
Ch. 2 bond pricing; ch. 4 duration and convexity.
- Superforecasting: The Art and Science of Prediction verified
Philip Tetlock and Dan Gardner
Calibration, base rates and the habits of good forecasters; the basis of the forecast journal of M13 · 13.8.
- The Intelligent Investor verified
Benjamin Graham
Ch. 20, 'Margin of Safety'.
- Coffee Can Investing verified
Saurabh Mukherjea, Rakshit Ranjan and Pranab Uniyal
The Indian quality-compounder screen discussed in M06 · 6.9.
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Nassim Nicholas Taleb
Free book (STEM Academic Press, 2020). Read chs. 3–4 after M02 for the case that moment-based statistics fail under power laws. arXiv 2001.10488 checked 6 Nov 2026 (full title: Statistical Consequences of Fat Tails: Real World Preasymptotics, Epistemology, and Applications).
- The Scam verified
Sucheta Dalal and Debashis Basu (first published 1993; later editions)
Narrative source for M01 Case 3 (the securities scam).
- How to Gamble If You Must verified
Lester E. Dubins and Leonard J. Savage (1965), McGraw-Hill
Bold play in subfair games: when the odds are against you, bet big and few times.
- The Kelly Capital Growth Investment Criterion: Theory and Practice verified
L. C. MacLean, E. O. Thorp and W. T. Ziemba (eds.) (2011), World Scientific
Reference collection of the Kelly literature.
- When Genius Failed verified
Roger Lowenstein (2000), Random House
Narrative history of LTCM: the M03 · 3.10.1 leverage case and the M08 LTCM case.
- Extremes and Related Properties of Random Sequences and Processes verified
M. R. Leadbetter, G. Lindgren and H. Rootzén (1983), Springer
Ch. 1: maxima of Gaussian sequences, behind the expected maximum Sharpe ratio in M04 · 4.6.
- Secrets for Profiting in Bull and Bear Markets verified
Stan Weinstein (1988)
Stage analysis, coded as a testable rule set in M04 · 4.2. Read as a hypothesis generator.
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William O'Neil (2009)
CAN SLIM, restated as testable rules in M04 · 4.2 (one chapter per letter; selling rules in 'When to Sell and Cut Your Losses' and 'When to Sell and Take Your Profit'). Publisher's page has the table of contents (ISBN 9780071614139). Read as a hypothesis generator.
- Trade Like a Stock Market Wizard verified
Mark Minervini (2013)
The Trend Template ('Trading with the Trend') and SEPA of M04 · 4.2; the VCP in 'A Picture Is Worth a Million Dollars'. Publisher's page has the table of contents (ISBN 9780071807227). Read as a hypothesis generator.
- Think & Trade Like a Champion verified
Mark Minervini (2017)
Volatility contraction patterns and trade management, for M04 · 4.2.
- How I Made $2,000,000 in the Stock Market verified
Nicolas Darvas (1960)
Darvas boxes, coded in M04 · 4.2. Read as a hypothesis generator.
- New Concepts in Technical Trading Systems verified
J. Welles Wilder (1978), Trend Research
Origin of ATR and RSI and Wilder's smoother (M04A · 4A.7).
- Trades, Quotes and Prices: Financial Markets Under the Microscope verified
Jean-Philippe Bouchaud, Julius Bonart, Jonathan Donier and Martin Gould (2018), Cambridge University Press
The chapters on metaorder impact and the square-root law, for depth on M05 · 5.5.
- Algorithmic and High-Frequency Trading verified
Álvaro Cartea, Sebastian Jaimungal and José Penalva (2015), Cambridge University Press
The optimal-execution chapters, which extend Almgren–Chriss with stochastic control (M05 · 5.7).
- Narrative and Numbers verified
Aswath Damodaran (2017)
Tying a company's story to the inputs of the DCF; for depth after the Little Book.
- The Corporate Life Cycle verified
Aswath Damodaran (2024)
How valuation inputs change as a company ages; for depth.
- Expectations Investing (revised ed.) verified
Michael J. Mauboussin and Alfred Rappaport (2021)
The reverse DCF as a discipline: read the expectations in the price before forming your own (M06 · 6.6).
- Common Stocks and Uncommon Profits verified
Philip A. Fisher
The scuttlebutt method and the qualitative quality checklist of M06 · 6.9.
- One Up On Wall Street verified
Peter Lynch
Lynch's company categories and PEG heuristic, discussed in M06 · 6.9.
- Mastering the Market Cycle verified
Howard Marks
Where we are in the cycle, as a complement to bottom-up valuation.
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National Institute of Securities Markets
The industry's own textbook for distributors: structure, documents, processes, taxation, the investor-service vocabulary used in M06B · 6B.1-6B.4. The current edition was not checked; download from the NISM site.
- An Engine, Not a Camera verified
D. MacKenzie (2006), MIT Press
How the Black–Scholes model reshaped the market it described; background for M08 Case A.
- Storage and Commodity Markets verified
J. C. Williams and B. D. Wright (1991), Cambridge University Press
The rigorous competitive-storage model; for depth on M10 · 10.2.
- Commodities and Commodity Derivatives verified
H. Geman (2005), Wiley
Reference text on commodity markets and derivatives.
- The World for Sale verified
J. Blas and J. Farchy
The commodity trading houses and how physical markets work.
- Monetary Theory and Policy verified
C. Walsh
Ch. 8: policy rules and the Taylor principle in New Keynesian models (M11 · 11.6).
- Expert Political Judgment verified
P. Tetlock (2005), Princeton University Press
Most experts' long-range political forecasts did little better than simple baselines (M13 · 13.8).
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models verified
S. Johansen (1995), Oxford University Press
Chs. 4–6 and 11: the full theory behind the Johansen method of M13A · 13A.6.
- Time Series Analysis by State Space Methods (2nd ed.) verified
J. Durbin and S. J. Koopman (2012), Oxford University Press
Ch. 4: filtering, smoothing and likelihood, for the Kalman-filter hedge ratio of M13A · 13A.9.
- Pairs Trading: Quantitative Methods and Analysis verified
G. Vidyamurthy (2004), Wiley
Practitioner book on cointegration-based pairs trading.
- Introduction to Risk Parity and Budgeting verified
T. Roncalli (2013), CRC Press
Chs. 1–2: risk contributions and risk budgeting, for M14 · 14.4.
- The Daily Trading Coach verified
B. Steenbarger (2009), Wiley
Process-focused self-coaching for traders (M14 · 14.9).
- Trading Psychology 2.0 verified
B. Steenbarger (2015), Wiley
The book behind the talk listed as steenbarger-psychology-2 (M14 · 14.9).
- Thinking in Bets verified
A. Duke (2018)
Judge decisions, not outcomes: separating skill from luck in the trade journal (M14 · 14.9).
- Way of the Turtle verified
C. Faith (McGraw-Hill, 2007)
The Turtle trend-following rules (breakout entries, ATR-based sizing and stops) by one of the traders; background for the trend rule of Playbook 15.11.