The Science of Algorithmic Trading and Portfolio Management: Applications Using Advanced Statistics, Optimization, and Machine Learning Techniques

Very modern perspective, lucid, and of course great scientific coverage. A great end-to-end read for portfolio theory as well,

Very well written - close to perfect combination of formulas and qualitative explanation. The author does a good job of motivating why and explaining pros and cons.Does not get lost in mathematical detail but provides enough of it where someone could clearly follow his logic and use it in their own code.P.S - I am a Master's level student in a technical discipline.

In my opinion, This is by far the best book on the subject of algorithmic trading. Written beautifully and amazingly well, this book provides complex mathematical concepts and ideas in an extremely eloquent format. An ideal read for portfolio managers and academics alike, this book presents an understanding of transaction cost analysis and the trade off between risk and cost. The illustrations in this book are carefully chosen and extremely well presented. Highly recommended.