Books

• Evidence-Based Technical Analysis, David Aronson
• The Elements of Statistical Learning, Hastie, Tibshirani & Friedman
• Market Wizards, Jack D. Schwager
• New Market Wizards, Jack D. Schwager
• Stock Market Wizards, Jack D. Schwager
• Hedge Fund Market Wizards, Jack D. Schwager
• Pit Bull, Marty Schwartz
• Expected Returns, Antti Ilmanen
• Following the Trend, Andreas Clenow
• Thinking, Fast and Slow, Daniel Kahneman
• Options, Futures, and Other Derivatives, John Hull

Papers

• Evaluating Statistical Models
• On Over-fitting in Model Selection and Subsequent Selection Bias in Performance Evaluation
• Consistent Alpha Generation Through Structure
• Currency Momentum Strategies
• A Few Useful Things to Know about Machine Learning
• Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals
• Risk and Return in General: Theory and Evidence
• Trading Volatility, Correlation, Term Structure and Skew