The econometrics of financial markets
by John Y. Campbell · first published 1997
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This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including the predictability of asset returns, tests of the random walk hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chao
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Some good ones that I would check out are 1.) The Econometrics of Financial Markets (Campbell, Lo, MacKinlay) and 2.) Time Series Analysis (Hamilton). Note that I would check these out from a library before buying them as they are pretty advanced. That said, it really depends on what…
on “Ask HN: Are there any good books on statistical quant analysis?” ↗…book in his office [3]. 0. https://blog.headlandstech.com/2017/08/03/quantitative-tradi... 1. https://blog.headlandstech.com/ 2. https://blog.janestreet.com/ and https://signalsandthreads.com/ 3. The Econometrics of Financial Markets, https://www.amazon.com/gp/product/0691043019/
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