It seems like a very long while since my bachelor. Checking my bookshelf the other day I was thinking to flag some of those books which helped or inspired me along the way. Here they are in no particular order.
- Time Series:
Elements of Financial Risk Management Clear and to the point, 5 stars.
Value at Risk Extensive and thorough.
The Art of R Programming: A Tour of Statistical Software Design By far the best for learning R.
Data Mining with R: Learning with Case Studies High quality code.
ggplot2: Elegant Graphics for Data Analysis Now almost standard for data representation for R users.
Introduction to Scientific Programming and Simulation Using R Liked it very much, just shy of “The Art of Programming”.
An Introduction to the Bootstrap Very good.
Resampling Methods for Dependent Data For time series bootstrapping.
Analysis of Financial Time Series Very popular textbook
Introductory Time Series with R Good for beginners
Time Series Analysis and Its Applications: With R Examples
Not highly rated, but I found it to be very useful, good source for spectral domain analysis.
Quantitative Trading: How to Build Your Own Algorithmic Trading Business In MATLAB, good for beginners.
Trading in the Zone Nice, ideas are good and clearly outlined.
The New Market Wizards Cheap book that worth its weight in gold. Not quantitative.
Market Wizards Same goes for this one.
Reminiscences of a Stock Operator Excellent “oldy” novel, still highly relevant.
Inside the House of Money Excellent. A collection of interviews with different style money managers. Not for absolute beginners due to the professional jargon used throughout the book.
The Invisible Hands Similar to the previous one, this time from the risk management perspective.
Econometric Theory and Methods Thorough and extensive, as a result, a bit heavy on the algebra side.