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I recently stumbled the lecture notes of Prof. Avellaneda on Quantitative Investment Strategies (near the bottom of this page). The exposition is highly structured and rigorous, but I am missing in depth explanations on the different subjects. Therefore, I am looking for a textbook on, or potentially a detailed scientific review of the subject. Looking on the internet, most books I've found were mostly superficial treatment for non-practitioners or non-quantitative public. What I am looking for has the same level of sophistication as the exposition that Prof. Avellaneda shows. Unfortunately, he didn't wrote a book on the subject himself, as the book he wrote is more about derivative pricing (also an interesting subject, though).

themightymoose
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  • We already have a list of suggested readings (both derivatives and pfolio management) here on this web site... https://quant.stackexchange.com/questions/38862/what-are-the-quantitative-finance-books-that-we-should-all-have-in-our-shelves – nbbo2 Apr 08 '21 at 01:41
  • Even more specific is this question https://quant.stackexchange.com/questions/46567/reading-list-advanced-alpha-design – nbbo2 Apr 08 '21 at 01:43
  • I am not looking for yet another book on factor investing or derivative pricing. If you can find any of these books that address dispersion trading with WMC, modelling PCA factors with Ornstein-Uhlenbeck process and using them to trade mean-reversion... None of the book on these lists seem to address the same topics as the lecture. – themightymoose Apr 08 '21 at 11:20
  • (1) OK, that clarifies your question quite a bit (maybe this paragraph could be appended to your question). (2) What you mention are academic research areas that Avellaneda is active in. My impression is that there are no books on these subjects yet. Perhaps Avellaneda can suggest academic papers to read (his' and others'). – nbbo2 Apr 08 '21 at 17:03

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