Milton Financial Market Research Institute LLC

Full recommended reading list

Our Full List: Best Recommended Books

To be a successful investor means a commitment to keep on learning. This can be from other successful investors, or it can be from relatively unknown investors who bring fresh new ideas and insights to the subject. Most great investors we know of maintain a healthy reading habit.

All the books below are ones that we have personally read, and thought they provided valuable information. Unlike other sites that market any book, we have read every book below and can whole heartedly recommend them.

This list will be updated regularly, so check back frequently.

INVESTMENT GENIUS
In this forgotten and valuable article written by genius investor Michael Burry he describes his investment strategy (+case studies). Sign up and download a copy of Michael Burry's article right now, for FREE!
We hate spam. Your email address will not be sold or shared with anyone else.

Harry Georgakopoulos is a Professor of Quantitative Finance at Loyola University and Quantitative Trader at XR Trading, LLC. He has been working as a quantitative trader in Chicago, IL in the high frequency space since 2007. Financial math and computing concepts are introduced and developed simultaneously. The text guides readers through a set of R programming exercises that culminate in several data-based trading strategies.

Mathematical superstar and inventor of fractal geometry, Benoit Mandelbrot, has spent the past forty years studying the underlying mathematics of space and natural patterns. What many of his followers don’t realize is that he has also been watching patterns of market change. In The (Mis)Behavior of Markets, Mandelbrot joins with science journalist and former Wall Street Journal editor Richard L. Hudson to reveal what a fractal view of the world of finance looks like.

Professor Harris has written an extraordinary book detailing the complex workings of modern equity markets. This book provides a wealth of institutional detail, and an integrated framework for understanding how markets actually work. If you want a book that explains in minute detail the process of a trade occurring then this is it.

Brett Lantz has spent more than 10 years using innovative data methods to understand human behavior. Fantastic book that covers most of the major machine learning algorithms with a great teaching approach that builds good programming habits. This is perhaps one of the most practical intro to machine learning books out there. The author explains the concepts really well and provides examples using R.

A Trader’s Journey From Data Mining to Monte Carlo Simulation to Live Training, award-winning trader Kevin Davey shares his secrets for developing trading systems that generate triple-digit returns. With both explanation and demonstration, Davey guides you step-by-step through the entire process of generating and validating an idea

In this bestselling book, Rishi K Narang offers in a straightforward, nontechnical style supplemented by real-world examples and informative anecdotes. Designed to make quantitative trading comprehensible to even the most math- or technophobic investor, this book takes you on a guided tour inside the black box. In plain English, Mr. Narang turns the lights up on what the quants are up to, once and for all lifting the veil of mystery surrounding quantitative trading.

The technology of extracting financial sentiment from news feeds and other such sources is one that has been slowly growing, supported by the accelerating infrastructure provided by the World Wide Web. The content of the Hand Book is organized to provide a rapid yet comprehensive understanding of this topic.

 

Norman Matloff, Ph.D., is a Professor of Computer Science at the University of California, Davis. He is the creator of several popular software packages, as well as a number of widely-used Web tutorials on computer topics. This book touches most of the aspects when programming in a modern, Big Data capable language R.

FRED PIARD gained extensive experience in the software industry, information systems consulting and marketing before discovering an interest in the financial markets. Self-taught in this field, he puts into practice what he learned from his previous activities to build his own methodology. From his years in research he has the ability to combine a systemic point of view and an analytic approach.

Dr. Chan has created a practical guide to algorithmic trading strategies that can be readily implemented by both retail and institutional traders alike. More than an academic treatise on financial theory, Algorithmic Trading is an accessible resource that blends some of the most useful financial research done in the last few decades with valuable insights Dr. Chan has gained from actually exploiting some of those theories in live trading.

The Hedge Fund Book provides real-world case studies of various hedge fund managers providing a solid foundation in specialized hedge fund knowledge for both financial professionals and those aspiring to enter this field. This book addresses everything you need to know about this popular segment of the financial industry within a case study format.

From bestselling author, investment expert, and Wall Street theoretician Jack Schwager comes a behind-the-scenes look at the world of hedge funds, from fifteen traders who’ve consistently beaten the markets. Includes interviews with Jamie Mai, Joel Greenblatt, Michael Platt, Ray Dalio, Colm O’Shea, Ed Thorp, and many more.

The ultimate behind-the-curtain look at the hedge fund industry, unlocking the most valuable stories, secrets, and lessons directly from those who have played the game best.Written by Maneet Ahuja, the hedge fund industry insider, The Alpha Masters brings the secretive world of hedge funds into the light of day. The book is meant to be an overview of the personalities we all read about and not so much a technical thesis.

The story of the billionaire trader Steven A. Cohen, the rise and fall of his hedge fund, SAC Capital, and the largest insider trading investigation in history. According to the author, there are three different types of edge, or information a hedge fund trader can obtain before trading a securty. There’s “white” edge, which is information known to the general public that anyone can find; there is “gray edge”, or information that’s not quite proprietary.

Unlike most investors, who live in fear of failure, Scott Fearon actively seeks it out. He has earned millions of dollars for his hedge fund over the last thirty years shorting the stocks of businesses he believed were on their way to bankruptcy. In Dead Companies Walking, Fearon describes his methods for spotting these doomed businesses, and how they can be extremely profitable investments.

Expanding on a 2007 interview in the literary magazine n+1, editor and interviewer Gessen draws together two years’ worth of interviews with a despairing anonymous hedge fund manager. HFM, as Gessen calls him, didn’t go to business school or major in economics, but has been working successfully in hedge funds for over a decade. With some context provided by Gessen, HFM schools readers in the stories behind the death of Bear Stearns, the collapse of Lehman Brothers, the plunging dollar, the bailouts, the Madoff scandal, and, finally, the upswing.

An expose on the delusion, greed, and arrogance that led to America’s credit crisis. The collapse of America’s credit markets in 2008 is quite possibly the biggest financial disaster in U.S. history. Confidence Game: How a Hedge Fund Manager Called Wall Street’s Bluff is the story of Bill Ackman’s six-year campaign to warn that the $2.5 trillion bond insurance business was a catastrophe waiting to happen.

Journalist Mallaby (The World’s Banker) gives unusually lucid explanations of hedge funds and their balancing of long and short positions with complex derivatives, but what really entrances him is their freedom from regulation, high leverage, and outsized performance incentives. In his telling, they empower a heroic breed of fund managers whose inspired stock picking, currency trading, and futures contracting outsmart the efficient market.

Liar’s Poker is the culmination of those heady, frenzied years—a behind-the-scenes look at a unique and turbulent time in American business. From the frat-boy camaraderie of the forty-first-floor trading room to the killer instinct that made ambitious young men gamble everything on a high-stakes game of bluffing and deception, here is Michael Lewis’s knowing and hilarious insider’s account of an unprecedented era of greed, gluttony, and outrageous fortune.

“Too Big to Fail” is an excellent book by financial journalist Andrew Ross Sorkin. It’s a compelling narrative that tells the story of how the nation’s largest financial institutions came to the brink of collapse – and almost took the entire economy with them in the great economic crisis of 2008.

This book provides a useful and very timely overview of key aspects of the hedge fund industry. It summarizes the basic properties of hedge fund returns, discusses why traditional performance measures may be misleading when analyzing hedge fund performance, and highlights important issues such as serial correlation, return smoothing, and illiquidity.

How are markets efficient enough to stump most investors, yet inefficient enough to allow hedge fund managers to earn huge profits? Lasse Pedersen, who has contributed greatly to the ‘new finance’ of liquidity and financial frictions, answers this question with a tour-de-force combination of original research and provocative interviews with hedge fund managers.

Fooling Some of the People All of the Time is the gripping chronicle of this ongoing saga. Page by page, it delves deep inside Wall Street, showing how the $6 billion hedge fund Greenlight Capital conducts its investment research and detailing the maneuvers of an unscrupulous company. Along the way, you’ll witness feckless regulators, compromised politicians, and the barricades our capital markets have erected against exposing misconduct from important Wall Street customers.

This volume is Graham’s timeless guide to interpreting and understanding financial statements. It has long been out of print, but now joins Graham’s other masterpieces, The Intelligent Investor and Security Analysis, as the three priceless keys to understanding Graham and value investing.

With an insider’s view of the mind of the master, Mary Buffett and David Clark have written a simple guide for reading financial statements from Warren Buffett’s succccessful perspective. Just as top musicians memorize scales, and the best golfers perfect swings at the driving range, investors who want sustainable, good returns must master the critical basics that Mary Buffett and David Clark lay out for us in this clear explanation of Warren Buffett’s methods.

Among the library of investment books promising no-fail strategies for riches, Benjamin Graham’s classic, The Intelligent Investor, offers no guarantees or gimmicks but overflows with the wisdom at the core of all good portfolio management. The hallmark of Graham’s philosophy is not profit maximization but loss minimization.

The book begins with a comprehensive introduction and overview, Expected Returns goes on to analyze the historical record, give a roadmap of terminology, explore rational and behavioral theories, and look at alternative interpretations for return predictability. A series of case studies provide detailed analysis of assets (equity, bond and credit risk premia, as well as alternative asset classes), dynamic strategy styles (value, carry, momentum, volatility) and underlying risk factors (growth, inflation, liquidity and tail risks).

With Buffett Beyond Value, you’ll learn that, contrary to popular belief, Warren Buffett is not a pure value investor, but a unique thinker who combines the principles of both value and growth investing strategies. You’ll also discover why understanding CEOs is more important than studying financial metrics.

Grove reveals his strategy of focusing on a new way of measuring the nightmare moment every leader dreads–when massive change occurs and a company must, virtually overnight, adapt or fall by the wayside. Learning about inflection points is an enormous lesson for every individual investor.

In this book, Joe Ponzio gives an “f-you” to Wall Street and teaches you how to become a sharp value investor who uses economic downturns to your advantage. By buying into companies you believe in—but that may be selling for less than their intrinsic value, like high-end retailers in a weak market and discount retailers in a strong one—you will profit from their long-term performance.

The core of the book describes the methods used to estimate the value of a stock; the ultimate objective is to identify those stocks worth buying, by comparing that estimated value to the price available on the market. This is where the author best demonstrate their teaching quality. Without over-simplifying, they use concrete examples to show which method should be used in which situation.

The Conscious Investor is an extraordinarily comprehensive and intensive study of valuation methods. John Price lays out all the approaches to identifying mispriced stocks and systematically details their comparative strengths and weaknesses. The result is a book of exceptional practical value for serious investors.

The book by Howard Schilit and Jeremy Perler dives deep into the dark world of corporate accounting, blowing apart common tricks corporate accountants use to make businesses look better than they are. Needless to say this is a MUST READ for short sellers. Powerful the dark side is.

Financial Forensics Body of Knowledge is the unique, innovative, and definitive guide and technical reference work for the financial forensics and/or forensic accounting professional, including nearly 300 forensic tools, techniques, methods and methodologies. Many of the tools have never before been published.

Explores use of statistical techniques such as Benford’s Law, descriptive statistics, correlation, and time-series analysis to detect fraud and errors. A full chapter presents various tests, along with real-world examples and case studies, to detect financial statement fraud.

Fraudsters are typically not aware of the digital pattern and tend to invent numbers with approximately equal digital frequencies. The digital analyst can easily check reported data for compliance with this digital law, enabling the detection of tax evasion, Ponzi schemes, and other financial scams. The forensic fraud detection section in this book is written in a very concise and reader-friendly style; gathering all known methods and standards in the accounting and auditing industry; summarizing and fusing them into a singular coherent whole; and can be understood without deep knowledge in statistical theory or advanced mathematics.

The Art of Short Selling by Kathryn Staley, an expert in the field, uses examples and instructions to show how it can be done successfully–while cautioning that it “is not for the faint of heart.” This book is an absolute fount of knowledge on how to train your mind to look at companies with a healthy skepticism not commonly found amongst most institutional analysts because of their bias.

Filled with real-life examples and expert advice, Financial Statement Analysis, will help you gain a firm understanding of the techniques that will help you interpret financial statements, which are designed to conceal more than reveal.

In a series of disarmingly simple arguments financial market analyst George Cooper challenges the core principles of today’s economic orthodoxy and explains how we have created an economy that is inherently unstable and crisis prone.

This is the collapse of work—most especially among America’s men. Nicholas Eberstadt, a political economist who holds the Henry Wendt Chair in Political Economy at the American Enterprise Institute, shows that while “unemployment” has gone down, America’s work rate is also lower today than a generation ago—and that the work rate for US men has been spiraling downward for half a century.

THE BUBBLE AND BEYOND describes how the expansive forces of industrial capitalism have been subverted by today’s predatory finance capitalism. How did it all happen and how will it affect us? The answer is a laundry list of issues: What is inflated debt? Debt deflation? Globalization? Privatization of public assets? The mortgage crisis? Bailouts? Fraud? Casino Capitalism? Junk economics and voodoo mathematics?

The deeply reported and lively narrative takes readers behind the scenes, to the inner sanctums of elite finance and to the secretive reaches of what came to be known as the “shadow banking” world. The story begins with the intense Morgan brainstorming session in 1994 beside a pool in Boca Raton, where the team cooked up a dazzling new idea for the exotic financial product known as credit derivatives.

After the economic meltdown of 2008, many pundits placed the blame on “complex financial instruments” and the physicists and mathematicians who dreamed them up. But how is it that physicists came to drive Wall Street? And were their ideas really the cause of the collapse? In The Physics of Wall Street, the physicist James Weatherall answers both of these questions.

Dark Pools is the fascinating story of how global markets have been hijacked by trading robots–many so self-directed that humans can’t predict what they’ll do next. Far more comprehensive and persuasive than even Michael Lewis’ Flashboys.

In Antifragile, Taleb stands uncertainty on its head, making it desirable, even necessary, and proposes that things be built in an antifragile manner. The antifragile is beyond the resilient or robust. The resilient resists shocks and stays the same; the antifragile gets better and better. A bold book explaining how and why we should embrace uncertainty, randomness, and error.

Whether you’ve been suspicious of the Fed for decades or barely know anything about it, as DiMartino Booth writes, “Every American must understand this extraordinarily powerful institution and how it affects his or her everyday life, and fight back.”

An amazing book by a true icon Edward O. Thorp launched revolutions in Vegas and on Wall Street by turning math into magic, and here he weaves his own life lessons into a page-turner as hot as a deck full of aces. This book is really worth your time.

Flash Boys is about a small group of Wall Street guys who figure out that the U.S. stock market has been rigged for the benefit of insiders and that, post–financial crisis, the markets have become not more free but less, and more controlled by the big Wall Street banks.

Where does money come from? Where does it go? Who makes it? The money magicians’ secrets are unveiled. We get a close look at their mirrors and smoke machines, their pulleys, cogs, and wheels that create the grand illusion called money.

Former economic hit man John Perkins shares new details about the ways he and others cheated countries around the globe out of trillions of dollars. Then he reveals how the deadly EHM cancer he helped create has spread far more widely and deeply than ever in the US and everywhere else—to become the dominant system of business, government, and society today. Finally, he gives an insider view of what we each can do to change it.

In The Dao of Capital, hedge fund manager and tail-hedging pioneer Mark Spitznagel—with one of the top returns on capital of the financial crisis, as well as over a career—takes us on a gripping, circuitous journey from the Chicago trading pits, over the coniferous boreal forests and canonical strategists from Warring States China to Napoleonic Europe to burgeoning industrial America, to the great economic thinkers of late 19th century Austria.

Thanks to 40 years of policy changes and bad decisions, only about 15 % of all the money in our market system actually ends up in the real economy – the rest stays within the closed loop of finance itself. The trend by which finance and its way of thinking have come to reign supreme – is perpetuating Wall Street’s reign over Main Street, widening the gap between rich and poor.