Currently Reading

Queues, D.R. Cox & Walter Smith – Statistical analysis of queueing systems

War and Peace, Leo Tolstoy

Below are some books/articles I’ve found useful or interesting.

Maths

Bayesian Statistical Methods, Brian Reich & Sujit Ghosh – Bayesian data analysis and MCMC methods

Stochastic Differential Equations, Bert Øksendal – Excellent and extremely rigorous overview of the field highlighting numerous applications, as well as some interesting connections to harmonic functions

Time Series Analysis, James Hamilton

All of Statistics, Larry Wasserman

Gaussian Processes for Machine Learning, Carl Rasmussen & Christopher Williams – Connects theory to practice, exploring applications (including practical advice on kernel construction and optimisation) and addressing issues of approximation and computational complexity

Finance

Empirical Market Microstructure, Joel Hasbrouck

Options Pricing and Volatility, Sheldon Natenberg – Various options strategies and risk measures

The Physics of Wall Street, James Weatherall – Historical overview of quantitative finance

Flash Boys, Michael Lewis – Critical overview of HFT, exchange microstructure and regulation in the US

My Life as a Quant, Emanuel Derman – History of derivatives pricing techniques at Goldman Sachs, and the transition of STEM talent from engineering and hard sciences to the financial sector

The Man Who Solved the Market, Gregory Zuckerman – A history of Jim Simons and Renaissance Technologies, explaining the rationale behind particular decisions about the structure of the firm and the various difficulties involved

Advances in Financial Machine Learning, Marcos Lopez de Prado – A collection of interesting problems and techniques arising in the development and evaluation of quantitative trading strategies, including an excellent discussion of backtesting techniques and multiple testing problems, as well as various interesting approaches to feature engineering for equities strategies (presented in a frequency-agnostic way, but including discussion both of microstructural data and portfolio selection)

Epistemology

Rationality, Eliezer Yudkowsky – Essays on heuristics, biases, Bayesian epistemology, and critical thinking

Operational Philosophy, Anatol Rapoport – Presents a positivist view of epistemology centred around operational definitions

Thinking in Bets, Annie Duke – Dangers of hindsight bias (“resulting”) and significance of “skin in the game”

Novum Organum, Francis Bacon – Methodological considerations in science, the significance of experiment, and the problem of induction

The Black Swan & Fooled by Randomness, Nassim Taleb – Some epistemic issues in applying statistics to finance

Philosophy

Beyond Good and Evil & Thus Spake Zarathustra, Friedrich Nietzsche – Expounds the thesis that evolution towards the posthuman necessitates the transvaluation of all prior values

I Am Dynamite!: A Life of Nietzsche, Sue Prideaux – Useful biographical context on Nietzsche’s life

On Bullshit, Harry Frankfurt – Explores the phenomenon of speech motivated not by a desire to reveal or conceal truth, but by a desire to manipulate without concern for truth

Human Motivation

The Obstacle Is The Way, Ryan Holiday – Perspective, prioritisation, and overcomimg difficulty

Wanting: The Power of Mimetic Desire in Everyday Life, Luke Burgis – Explains what mimesis is, why it exists, how it manifests, what dangers it presents, and what to do about it

Man’s Search for Meaning, Victor Frankl – Highlights and explores the tendency of humans to cling to goal-centered narratives as a means of coping with contexts adverse to survival

Drive, Daniel Pink – Identifies autonomy, mastery, purpose as the three components of human motivation and explores each with relevant anecdotes

Human Action, Mises – Presents and defends a logical framework for analysing individual and interpersonal decision-making

History

The Ancient City, Numa Denis Fustel – Explains the historical development of religious, legal, and familial customs in ancient Greece and Rome

The Prince, Nicolo Machiavelli – Explains the mechanics and strategy of state expansion and autocratic governance in 15th/16th Century Italy/Europe.

Fiction

Dune, Frank Herbert – Economics, culture, power, struggle against nature

Atlas Shrugged & The Fountainhead, Ayn Rand – Individualism, self-interest, reason

Anna Karenina, Leo Tolstoy – Family, responsibility, envy, aristocracy

The Stranger, Albert Camus – Ennui, nihilism, death, alienation

Unsong, Scott Alexander – Theism, semiotics, modernity, rationality

Siddhartha, Herman Hesse – Self-discovery, spiritual independence, metaphysical transience

Stranger in a Strange Land, Robert Heinlein – Culture, communication, religion, ethics, government

The Old Man and the Sea, Ernest Hemingway

The Cyberiad, Stanislaw Lem – Cybernetics, information, randomness

Memoirs Found in a Bathtub, Stanislaw Lem – Absurdism, bureaucracy, meaning

Contact, Carl Sagan – SETI, technology, government

The Three Body Problem, Cixin Liu – SETI, technology, Chinese history