Sunday, January 11, 2009

Sinclair's Volatility Linkfest

Every few months I like to dig into a new trading book and occasionally come up with a winner. Right now I'm just getting into Euan Sinclair's well written "Volatility Trading." While I'd say it's generally an introduction to intermediate level topics with some solid mathematical backing, it does cover them quite well and includes a breadth of subjects from volatility measurement and forecasting, hedging, money management and trade evaluation, to psychology.

I also thought his "useful web sites" list was very good, as follows:

  1. - A quantitative trading forum.
  2. - Peter Ponzo's mathematics finance site.
  3. - Social Science Research academic papers.
  4. - National Bureau of Economic Research archive.
  5. - Papers organized by topic.
  6. - More statistical finance papers.
  7. - Backward citation reference links.
  8. - Historical options data.
  9. - Historical earnings release data.
  10. - My personal finance portal, an inch deep but a mile wide and free to boot.

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