Advances in Financial Machine Learning by Marcos Lopez de Prado is one of the best books i read last year. Especially on back testing, strategy risk are my fav.

Nowadays RL and Gaussian processes are very popular on the trading side, as is applying attention-based NLP techniques for pattern recognition. If you are interested in stochastic calculus and convex strategies, John Hull's "Options, Futures and Other Derivatives" is a classic read. Another good book is Marcos Lopez de Prado's "Advances in Financial Machine Learning."

Here are the books on my desk:

C++:

"The C++ Programming Language", Stroustrup

"Programming: Principles and Practice Using C++", Stroustrup

Quant:

"Quantitative Trading", Dr. Ernest Chan

"Algorithmic Trading", Dr. Ernest Chan

"Machine Trading: Deploying Computer Algorithms to Conquer the Markets", Dr. Ernest Chan

"Advances in Financial Machine Learning", Marcos Lopez de Prado

"Options, Futures and Other Derivatives (10th edition)", John C. Hull

Buddhism:

"Open Heart, Clear Mind", Thubten Chodron

"Buddhism For Beginners", Thubten Chodron

"Working with Anger", Thubten Chodron

Reading For Pleasure:

"Naked Statistics", Charles Wheelan

"Algorithms to Live By", Brian Christian and Tom Griffiths

"Dark Pools"

"The Quants", Scott Patterson

"The Physics Of Wall Street", James Owen Weatherall

Plus some Chinese books, I wont bore with the details, unless anyone wants to know. Fun Fact, while I was in China for 8 weeks in late 2017 I bought 60 Chinese books and stuffed them in a suitcase. It cost me $4,000RMB (~$604 USD) to check all of my stuff and purchases home :-)

The Math books are:

"Discrete math", Susan Epp

"Discrete with Ducks"

various Calc books. If you want to learn math, find books that work for you. We all learn differently here.

My opinion: The Chan books are just amazing. Thought provoking and motivational. I am still reading the Prado book.

My opinion 2: If you ever want to slow down in life and learn what you are about, read about Buddhism. I'm not trying to start a flame war. It just works for me. It isn't being told what to believe because that is the way it is. I feel Buddhism lets me explore myself to find the right answers that work for me. Since studying my anger levels are in check. I am a better Husband. My wife comes first always.

The people at RenTech are not going to say much about their methods, understandably. What books would you recommend for financial quants interested in trading strategies rather than derivatives pricing (the areas can overlap)? I have worked in this capacity. Here are a few books I like:

Advances in Financial Machine Learning (2018)
by Marcos Lopez de Prado

Non-Linear Time Series Models in Empirical Finance (2000)
by Philip Hans Franses and Dick van Dijk
(covers Markov chains, used by RenTech, among other topics)

A Non-Random Walk Down Wall Street (1999)
by Andrew W. Lo and A. Craig MacKinlay