I am a Pure Maths PhD. As I would like to break into quantitative researcher jobs after graduation, I need to pick up statistics, programming and quantitative finance finance.

I have been reading time series analysis by Hamilton and Box Jenkins et al. Also, statistics and Data Analysis for Financial Engineering by Ruppert and Matterson.

I think I need to improve on my statistics background. So may I know what statistics books should I use that have applications in finance?

  • 1
    $\begingroup$ Hi: if you're reading hamilton's text and can follow it, then there's no need for you to get a statistics book. OTOH, by statistics book, do you mean a mathematical statistics text or a linear models-regression type text or a multivariate statistics text ? $\endgroup$
    – mlofton
    Aug 6, 2019 at 3:03
  • $\begingroup$ Maybe all of them? Actually I am not sure what can be applied in quantitative finance. As long as it can be applied in quantitative finance, then I am interested to learn it. . $\endgroup$
    – Idonknow
    Aug 6, 2019 at 3:16
  • $\begingroup$ I believe cointegration is not covered in Hamilton's text but it is widely used in quantitative finance, especially algorithmic trading. $\endgroup$
    – Idonknow
    Aug 6, 2019 at 5:03
  • $\begingroup$ I think my interest is more towards to Statistical analysis in quantitative finance. $\endgroup$
    – Idonknow
    Aug 6, 2019 at 5:07
  • $\begingroup$ Do you think that my question is better suited to quantitative finance stack exchange? $\endgroup$
    – Idonknow
    Aug 6, 2019 at 5:13

2 Answers 2

  1. David Ruppert, David S. Matteson Statistics and Data Analysis for Financial Engineering: with R examples covers some useful models for QF, both in the sense of time series analysis (e.g. GARCH) and the sense of assessing the values of firms (e.g. Fama-French).
  2. Marcos Lopez de Prado Advances in Financial Machine Learning is basically a treasure map if you happen to have tens of millions of dollars to invest in building a QF trading house.

While not exclusively about finance, these two books cover important applications and statistical concepts :

  1. Essentials of Stochastic Processes.
  2. An Introduction to Statistical Learning.

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