Name Year Author Note An Introduction to High-Frequency Finance 2001 Gencay et al Trading and Exchanges: Market Microstructure for Practitioners 2002 Larry Harris Algorithmic Trading and DMA: An introduction to direct access trading strategies 2010 Barry Johnson Expected Returns: An Investor's Guide to Harvesting Market Rewards 2011 Antti Ilmanen The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It 2011 Scott Patterson Algorithmic Trading: Winning Strategies and Their Rationale 2013 Ernest P. Chan High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems 2013 2nd Irene Aldridge Volatility Trading 2013 2nd Euan Sinclair Systematic Trading: A unique new method for designing trading and investing systems 2015 Robert Carver My Life as a Quant: Reflections on Physics and Finance 2016 Emanuel Derman The Volatility Smile 2016 Derman et al Machine Trading: Deploying Computer Algorithms to Conquer the Markets 2017 Ernest P. Chan Advances in Financial Machine Learning 2018 Marcos Lopez de Prado Machine Learning for Algorithmic Trading: Predictive models to extract signals from market and alternative data for systematic trading strategies with Python 2020 Stefan Jansen Quantitative Trading: How to Build Your Own Algorithmic Trading Business 2021 2nd Ernest P. Chan Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management 2022 2nd Chincarini and Kim