Market Trading

Algorithmic Trading & DMA by Barry Johnson (2010), reviewed by Scott C. Locklin
Inside the black box, by Rishi K. Narang (2009)
The Truth About High-Frequency Trading: What Is It, How Does It Work, and Is It a Problem?, by Rishi K. Narang (2014), reviewed
Algorithmic and High-Frequency Trading by Cartea, Jaimungal, and Penalva, Cambridge, 2015
MIT course 15.487 Algorithmic Trading and Quantitative Investment Strategies syllabus (Spring 2017)
All about hedge funds, by Ezra Zask (2nd edition, 2013)
Active Portfolio Management, by Grinold and Kahn (2000), reviewed by Scott C. Locklin. A follow-up was published in 2019.
Trading and Exchanges, by Larry Harris (2002)
Modern Portfolio Theory and Investment Analysis, by Elton, Gruber et. al.
Investments, by Bodie, Kane and Marcus
Finance Theory I, by Andrew Lo, MIT open courseware
Data Mining, by Witten and Frank
Python for Data Analysis, by McKinney
MIT IAP 2020: The business of quant: Lecture 1 2 3 4, by Rohit Singh
Value and Utility Functions, lecture slides from Darthmouth ENGS41 class
Medium.com: Trade Sizing & Kelly Fraction I, I, III, by Joshua Greenwald
The Man Who Solved the Market, by G. Zuckerman (2019)
Podcasts at chatwithtraders.com