References

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Econometrics Literature

Basic literature related to econometrics.

• Econometric Analysis by William H. Green: Basic econometric methods.
• Time Series Analysis by James Douglas Hamilton: Time series methods.
• Econometrics by Fumio Hayashi: GMM approach to econometrics.
• Econometric Analysis of Cross Section and Panel Data by Jeffrey M. Wooldridge: Balanced/unbalanced Panel data, instruments, etc.

Financial Market Inneficiency

• (PDF) A Non-Random Walk Down Wall Street by Andrew W. Lo & A. Craig MacKinlay: Variance ratio tests, etc.

Finance Theory/Asset Pricing

• Principles of Financial Economics by Stephen F. LeRoy, Jan Werner, and Stephen A. Ross
• Theory of Financial Decision Making by Jonathan E. Ingersoll
• Asset Pricing John H. Cochrane

Market Microstructure

• Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris
• Market Microstructure Theory by Maureen O'Hara.
• An Introduction to High-Frequency Finance by Michel M. Dacorogna, Ramazan Gençay, Ulrich A. Müller, Richard B. Olsen, Olivier V. Pictet.

General Portfolio Management

• Quantitative Equity Portfolio Management: Modern Techniques and Applications by Edward E. Qian, Ronald H. Hua, and Eric H. Sorensen
• Quantitative Equity Portfolio Management by Ludwig B Chincarini and Daehwan Kim
• Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk by Richard C. Grinold and Ronald N. Kahn

Statistical Learning