Forums  > Books & Papers  > Books and papers about market making - recommendations, discussion  
     
Page 1 of 1
Display using:  

pun1


Total Posts: 8
Joined: Aug 2016
 
Posted: 2017-01-06 10:55
Hello all,

I hope this is the right forum to ask. I would like to ask about quality books about the topic and share my (quite limited) knowhow.

I am interested in finding out about market making books, especially in equities markets (bot not necessarily). I was recommended the following books. What I would like to know is whether you believe these are worthwile to spend time with and if so, possibly provide a copy to my mail:

Euan Sinclair - Volatility trading, Option trading. The first one I have in PDF already, happy to share, but its quite easy to find on google anyway.
Baird - Market making
Also will be happy for any other suggestions - be it books or papers.

I recently read Algorithmic and High-Frequency Trading (2015), which has a chapter about MM strategies. If anyone is interested, I am up for a discussion about it and/or can provide some scans.

Maggette


Total Posts: 968
Joined: Jun 2007
 
Posted: 2017-01-06 16:51
Hi,

if you read the books bei Sinclair, you might already know that he is a member on this phorum (and a well respected that is).

I do not know his opinion on this point, but I do not agree with the idea sharing books online.

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

eeng


Total Posts: 15
Joined: Dec 2014
 
Posted: 2017-01-06 18:04
Also please note that the Sinclair and Baird books are related to option equity market making

pun1


Total Posts: 8
Joined: Aug 2016
 
Posted: 2017-01-06 18:24
Thanks for the reply. I believe that it is clear from my post that primarily I wanted to start a discussion. Asking about reviews/thoughts for the listed books and moreover, recommendations for books focused on equities. I also wanted to offer something in return.

I did not know that sharing information was viewed badly here. From reading through the forum, I noticed several times people exchanged papers (not sure about books, true) via e-mails. I did not intend to offend anybody and I apologize.

@Maggette - No, I did not read the books, as I was asking about forum's opinion of them. Thank you anyway for at least a short "review" - from your reply I suppose you would recommend them

Maggette


Total Posts: 968
Joined: Jun 2007
 
Posted: 2017-01-06 19:12
Yes. i think they cover stuff that is necessary (but insufficient) to work at an options market making desk.

Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...

Azx


Total Posts: 26
Joined: Sep 2009
 
Posted: 2017-01-06 19:44
I've read "Option Trading", "The Stock Market and Finance from a Physicists Viewpoint" and "Trading and Exchanges" that all deal with market making. Borrowed from the library, so no internet "sharing".

They're all worth a read, not for actually constructing a market making strategy but rather how to think about the problem.

The actual strategy constructing part seems to usually involve a stochastic control problem, e.g., see Optimal market making. Not sure what is used in practice, but I'm guessing that a large part of the secret sauce is how you actually go about backtesting your strategy.

filthy


Total Posts: 1258
Joined: Jun 2004
 
Posted: 2017-02-22 15:57
"but I'm guessing that a large part of the secret sauce is how you actually go about backtesting your strategy"

i think that is wrong on two counts:

1. there is no secret sauce. the cross hiring across firms sees to that.
2. i don't know of any iption mm firms that backtest mm strategies. and none rely on the theoretical arguments that have been published. AFAIK the academic stuff is more of an attempt to justify what traders have been doing for 50 years.

"Game's the same, just got more fierce"
Previous Thread :: Next Thread 
Page 1 of 1