知乎live：量化交易参考书目, by 董可人
理论相关
Market Microstructure Theory, Maureen O’Hara:
微观结构的开山鼻祖，理论性很强，通过数学模型刻画不同类型的交易者，适合做过交易之后回过头来看
Commodities and Commodity derivatives: Modeling and Pricing for Agriculturals, Metals and Energy, Helyette Geman:
期货交易入门级别的参考书，大宗商品市场介绍
Trading Commodities and Financial Futures: A Step-by-Step Guide to Mastering the Markets, George Kleinman:
交易员写的书，从交易员视角看市场
策略相关
The Science of Algorithmic Trading and Portfolio Management, Robert Kissell:
教科书式的入门书籍，结构清晰 （董可人特别推荐）
Algorithmic Trading and DMA: An introduction to direct access trading strategies, Barry Johnson:
经典书籍，话题广；某些具体话题的深度不够
市场结构
Trading and Exchanges: Market Microstructure for Practitioners, Larry Harris:
欧美金融市场结构；交易所，各种交易角色地位和目的
Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading, Joel Hasbrouck:
偏学术理论；与实际交易有些区别
Market Microstructure in Practice, Charles-Albert Lehalle, Sophie Laruelle:
对高频交易分析比较多
访谈类
Traders of the New Era Expanded Edition: Interviews with a Select Group of Day and Swing Traders Who are Still Beating the Markets in the Era of High Frequency Trading and Flash Crashes, Fernando Oliveira:
一批日内交易员的访谈；交易员与高频算法的竞争
Trading in the Zone: Master the Market with Confidence, Discipline and a Winning Attitude, Mark Douglas:
帮助读者成为一个更好的交易员