information and the nature of reality: from physics to metaphysics

is god an information-theoretic principle? i'd like to read this book and find out.

agile and iterative development: a manager's guide

by craig larman, 2004 (8th printing in 2007) 005.1 LAR

from the series edited by alistair cockburn of 'agile software development' fame. haven't read it, really, though it looks not to be written for in-depth reading. gives a high-level view of a number of agile techniques, including iterative & evolutionary, agile, scrum, extreme programming, unified process, and evo. some evidence for what works, lots of 'harvard business school' plots to give the gist of the ideas. looks like a good reference to cram with when a team needs to stay on course.

refactoring to patterns

by joshua kerievsky, 2005 (8th printing 2009) 005.16 KER

nice view on a more practical side of design patterns. instead of just looking at an ideal abstraction, this looks at how you refactor toward or away from a particular design pattern, or how you can migrate gradually between them. makes a good point that you rarely are making a dp from a blank slate; even if you are the head project architect, you can only do that at the beginning. once things are underway, or if you're working with an existing codebase, you have to refactor rather than design from scratch. handy tables in the inside covers as a quick reference. i read through chapter 4, to the beginning of the catalog of patterns.

i think i looked into buying this directly from the author's site, and i think you get a complementary ebook when you buy the hard copy.

presenting science: a practical guide to giving a good talk

by cigdem issever (+unicode goodies...) and ken peach

decent book with pointers about what makes a good (and bad) presentation.

some tips:
produce a written set of notes for each slide -- you can give this to someone who couldn't attend, as well as use it for preparation and reference while speaking.
provide a link on the title slide to a paper or papers covering more detail.

the speaker is responsible for everything that appears, and does not appear, on each slide.
the structure and appearance of the presentation, as well as the content, are part of the communication process.

scoping
knowing your audience tells you where you start, and knowing your conclusions tells you where you finish.
find out who the audience is, why they might be interested, and exactly how much time you have.
then write the conclusions slide -- why are you giving the talk, what is the message, and what do you want them to do or change once they've heard you?
now write the contents slide, to map the route that takes the audience from their start to your finish.

writing process
can go beginning to end, or maybe end to beginning.
or, start with the key slide ('money slide') and go forward and backward from there.

like goodlad said, you need to tell them what they need to hear, not what you want to say.

book: agile estimating and planning

by mike cohn, 2006 (11th printing 2011) 005.1 COH

p xxii. can't plan away uncertainty. we reduce uncertainty by gaining knowledge, and we gain knowledge by executing the plan. plan, plan, plan-do vs. plan-do-adapt, plan-do-adapt
anticipation vs. adaptation
estimate size, derive duration

ch. 1
p 3. "planning is everything. plans are nothing." -- field marshal helmuth graf von moltke (i always thought eisenhower said something like this. maybe he ripped it off.) also, "no plan survives contact with the enemy."
p ?. planning helps us see risk (uncertainty) and make decisions about it. eg, we can try the riskiest part first to see if it will work.
p 6. the most critical risk facing most projects is the risk of developing the wrong product
p 6. failed project: no one came up with any better ideas than what was on the initial list of requirements
p 9. an agile plan is one that we are not only willing, but also eager to change. we don't want to change the plan just for the sake of changing, but we want to change because change means we've learned something or that we've avoided a mistake.
p 10. spread planning evenly over the duration of the project

two week timebox, with half day each fortnight for planning. don't let external pressures change requirements during the timebox; they have to wait until the next one.

the knowledge and insight we gain from planning persists long after one plan is torn up and a revised one put in its place. agile planning is focused more on the activity of planning than on the plan, and an agile plan is one that is easy to change.

ch. 2
2/3 of projects have significant cost overruns
64% features rarely or never used
100% average schedule estimate overrun

traditional planning concerns activities performed rather than features delivered.
this leads to schedule overruns:
-activities don't finish early
-lateness is passed down
-activities are not independent

p. 12 ...

thinking in c++

lots of versions out there, but this one seems to be the best one of volume 1 i can find. (get the non-landscape one.) don't get that version of volume 2. it is old and incomplete. the 27 dec 2003 version of volume 2 is the print version; i can't find any electronic version other than the html. i think the quality and depth is bettern than vol 1, but it's too long for me to go through right now. c++ is definitely a language that has a vast landscape to explore. i think i would need to read the 'design and evolution' book to understand the rationale and really get at how things work, and i will eventually need to read the templates book and the gang of four design patterns book to know how to use it properly. maybe the 'effective' and 'exceptional' books, too. for now i will prioritize the parts of vol 2 that i haven't read yet. 1: Exceptions: p. 53-75 9: Multiple inheritance 10: Design patterns 6: Generic algorithms 7: Generic containers 8: Runtime type identification 2: Defensive Programming 5: Templates: template programming idioms - end (p. 252 in html imported to word doc) 11: Concurrency (might skip, focuses on specific library) a few tips to remember: -- return value optimization: return a constructor call; it saves a copy-ctor and dtor -- it's ok to throw in a ctor, as long as you clean up resource allocations first -- never throw in a dtor, since the dtor could have been called due to a previous exception and c++ requires 2 unhandled exceptions to crash the program -- throw by value, catch by reference: allow the exception handling to deal with the memory management -- deal with errors and catch exceptions at the nearest handler that has enough information to deal with them

REMINISCENCES OF A STOCK OPERATOR

by Edwin LeFevre. recommended by more than one trader, to give an accurate feel of what being a trader is really like. one trader i talked to described trading as a spiritual experience, that you have to do a gut check every day when you have that much on the line. amazon has a nice annotated copy available that gives good historical background information and explanation of some of the things that are harder to understand now. but gutenberg has the original up.

how i became a quant

very good book to get a feel for the kind of personalities in the quant world and peeks into the various places that quants work. also small glimpses into the types of problems quants work on. neil chriss has some interesting refs for using binomial and trinomial tree to match price/volatility of all available options simultaneously for european and american options. also, some other work he did on optimization of portfolio transition/liquidation combining transaction cost/liquidity with risk of holding a position too long. probably worth a look. peter j\"{a}ckel makes some interesting comments about (not surprisingly) the monte carlo method with low-discrepancy sequences in finance, in particular about getting good results with sobol' numbers in high dimensions. andrew weisman, big shot at merrill lynch, gives some warnings about the silicon ceiling: don't appear too nerdy or academic or people will think you can't make decisions. other aspects of the culture are more like a dog pack than a meritocracy. also, information-free performance enhancements: smoothing, selling volatility, and doubling up. use cvar to help with nonsymmetric hedge fund returns, resampled optimization to deal with difficult error estimation. risk metrics are ordinal, not cardinal, quantities. chapter 23 has an interesting reference to market microstructure -- using supply and demand curves on the level of bid/ask spread and probabilities of tick movements. also, a ref to a publisher that prints classic biographicals on turn-of-the-century market operators.

fifty years in wall street

a highly recommended book on the history of us finance and some of the big names and players during the latter half of the 19th century is out of copyright and available for free online. it's a heft tome (~1000 pages) but you can get plain text, pdf with scanned images, or djvu files here or here. the plain text looks like it was ocr and is pretty good quality, though might cause some problems with tts.

the ascent of money

just watched a documentary on pbs called 'the ascent of money' (google it, easy to find). nice 4-part series on some of the history of finance and how it ties in with the history of the world. should be required viewing. i hear the book is good, too, but the video is easier for lazy people like me.

thinking in c++

both volumes of the 2nd edition are freely available online, as is a draft version of 'thinking in python'. they're all a bit old, though they look like worthwhile reads.

quant job interview questions and answers

nice book by mark joshi et al. recent, relevant, $35 print on demand from lulu. lots of advice and questions to prep for that interview and gauge how ready you are to apply. good refs, including the big one by author 1 ('the concepts and practice of mathematical finance'); xlw, the c++ plug in maker for excel api; and 'thinking in c++' (available free online from various mirrors).

forecasting commodity markets: using technical, fundamental, and econometric analysis

1995 book by julian roche is a bit disappointing and maybe just dated; it mentions that less work has been done with commodity price prediction than in other markets, and the fact that i have had such a hard time finding refs on it bears that out. refers briefly, though apparently seriously, to the idea of using numerical patterns from astrological sources and the fibonacci series... yikes! it also briefly mentions the possibility of using futures for prediction, but then cops out with some easily overcome excuses about how hard it might be. the types of technical analysis that it cites are really dirt dumb simple, though it does justify that by stating that those predictions are only good in the short term anyway, and you're not going to have enough data to fit a complex model reliably.

one very worthwhile part of the book is the table of forecasting approaches on pages 175-179 (heavily adapted from strategic business forecasting, pp 159-164) and their characteristics, including short-, medium-, and long-term accuracies. looks like trend analysis, seasonal adjustments, and box-jenkins type arima models are easy ways to the top of the game.

ultrasonic transducers for nondestructive testing

by silk, 1984. many of the analytical approximate models seem dated, but the practical info on pzt transducers is probably still relevant.

introduction to inverse problems in imaging

by bertero and boccacci, this book is cited by many imaging papers and gives pretty good depth and breadth. the math gets right up to the point that i can't understand it anymore. might be worth having on the shelf.

an introduction to high frequency finance

nice 2001 book by dacorogna et al. shows a lot of the practical details that are very glossed over in academic papers and quickie whitepapers. some practical experience-type stuff, too. not sure if i ever really read past chapter 3, but skimming the rest shows some cool stuff.

the pragmatic programmer

book on programming recommended by travis oliphant. promises to take me from journeyman to master, if i decide to become a master someday.

the eagle and the lion

partway through reading a very good (if scholarlyly dry) book by james a. bill on us-iran relations covering the installation and deposing of the shah and the aftermath of the islamic revolution. only through chapter 7 so far, and the shah has just been overthrown. given the prominence of iron in world news these days, i think this history is important to understand.

cleaning up the office

found an old paper in my office: 'analytical parametric analysis of the contact problem of human buttocks and negative poisson's ratio foam cushions'. dead serious research, and i'm not sure but i think i did cite it once. it has the only account i could ever find for an analytical solution to hertz-like contact with a finite-thickness plate.  'game theory, maximum entropy, minimum discrepancy and robust bayesian decision theory', peter d. gr\:{u}nwald and a. philip dawid. shows the connection between maximizing entropy and minimizing worst-case expected loss. hefty tome, but relatively readable. the book, 'the statistical mechanics of financial markets', j. voit, 2005, looks like an interesting read. goes into some of the real areas of interest in quantitative finance from a physics perspective.

Information Theory, Inference, and Learning Algorithms

another book available online, including latex and octave, perl, etc, source. might be a good ref on IT basics, neural nets, coding, compression, and monte carlo.