Nobody has suggested it yet, so for context I'd suggest reading The (Mis)Behaviour of Markets, by Mandelbrot. It's not about trading algorithms per se, but it does put the maths behind a lot of them into perspective. It'll also tell you why certain strategies (like selling cheap options) are much,…
……大宗商品等等。- 《华尔街的扑克脸》（The Poker Face of Wall Street）：一篇随笔漫谈，讲的是赌博、金融工具投机以及保险等事物之间的相似之处。- 《市场的（错误）行为》：伯努瓦·曼德博总结了他利用多重分形几何思想对市场建模的部分研究。- 《财富公式》（Fortune's Formula）：更通俗科普版的凯利判式（Kelly criterion）论文集锦。……
…commodities, among other things. - The Poker Face of Wall Street: a wandering tale on the similarities between betting, speculation in financial instruments, and insurance, among other things. - The (Mis)Behaviour of Markets: Benoit Mandelbrot summarises some of his research into modeling markets with multifractal geometric ideas. - Fortune's Formula: a more pop-sci friendly version of the Kelly criterion paper collection.…
既然还没人推荐，那为了了解背景，我建议读读曼德博的《市场的（错误）行为》。它本身并不是讲交易算法的，但它确实能让你看清很多算法背后的数学本质。它还会告诉你为什么某些策略（比如卖出廉价期权）要……得多
Nobody has suggested it yet, so for context I'd suggest reading The (Mis)Behaviour of Markets, by Mandelbrot. It's not about trading algorithms per se, but it does put the maths behind a lot of them into perspective. It'll also tell you why certain strategies (like selling cheap options) are much,…
彼得·伯恩斯坦的《与天为敌》（Against the Gods）、詹姆斯·格雷克的《混沌》（Chaos），以及伯努瓦·B·曼德博和理查德·L·哈德森合著的《市场的（错误）行为》（The (Mis)Behaviour of Markets）。
Against the Gods by Peter L Bernstein, Chaos by James Gleick, and The (Mis)Behaviour of Markets by Benoit B Mandelbrot and Richard L Hudson.
……大宗商品等等。- 《华尔街的扑克脸》（The Poker Face of Wall Street）：一篇随笔漫谈，讲的是赌博、金融工具投机以及保险等事物之间的相似之处。- 《市场的（错误）行为》：伯努瓦·曼德博总结了他利用多重分形几何思想对市场建模的部分研究。- 《财富公式》（Fortune's Formula）：更通俗科普版的凯利判式（Kelly criterion）论文集锦。……
…commodities, among other things. - The Poker Face of Wall Street: a wandering tale on the similarities between betting, speculation in financial instruments, and insurance, among other things. - The (Mis)Behaviour of Markets: Benoit Mandelbrot summarises some of his research into modeling markets with multifractal geometric ideas. - Fortune's Formula: a more pop-sci friendly version of the Kelly criterion paper collection.…