Books for Algo Trading

[Once_Set]

Hi,

can anyone recommend any books to prepare for Algo trading interviews?

I have limited knowledge in time series, other specialised statistics subjects and data mining, and was wondering whether there is a way for me to learn some of those things from books?

Often, the job spec asked for some knowledge in those areas.

thanks!

 

[yetanotherquant]

Hi,
my book can be a good start for you. You will not find any advanced models there but you will get the first hands-on expirience with real market data.
At http://www.yetanotherquant.com you find first two chapters and all R-scripts.

 

[Once_Set]

thanks, are there any other skills needed? will the interviews mostly entail coding and statistics or more brainteaser-like questions? Is it completely necessary to know all this in advance?

 

[yetanotherquant]

It depends.
I, for one, was once extensively asked technical questions (and got an impression that I do not answer interview questions but rather solve their real problems for free). Then there was an HR-Girl with usual stuff and finally (after 3 hours) an arrogant quant via Video-Conference with brainteasers.

But in either case, if you want to pass the interview, learn programming and statistics.

 

[mhy]

I have this book:
http://www.amazon.com/Algorithmic-Trading-DMA-introduction-strategies/dp/0956399207

I've barely read it so no idea whether it is any good or not.