Reddit mentions of Analysis of Financial Time Series

What part of finance are you interested in?

Asset pricing?

• Asset Pricing - Cochrane
  
• Dynamic Asset Pricing Theory - Duffie
  
  Corporate Finance?
  
  
• Theory of Corporate Finance - Tirole
  
• Theoretical Foundations of Corporate Finance - Matos
  
  Behavioral Finance?
  
  
• Inefficient Markets - Schleifer
  
  Financial Econometrics?
  
  
• The Econometrics of Financial Markets - Campbell, Lo, Mackinlay
  
• Analysis of Financial Time Series - Tsay
  
  Market Microstructure?
  
  
• Market Microstructure Theory - O'Hara
  
• Empirical Market Microstructure - Hasbrouck

Try /r/algotrading they have an decent sidebar.

I would also suggest:

An Introduction to Analysis of Financial Data with R by Tsay

Analysis of Financial Time Series, again by Tsay

Algorithmic Trading and DMA by Johnson

Empirical Market Microstructure by Hasbrouck

Sure no problem. I went thought the first few chapters in this book by Tsay:

 

https://www.amazon.com/Analysis-Financial-Time-Ruey-Tsay/dp/0470414359

 

Then I downloaded free finance data online where I could find it and also from this site called Quandl:

 

https://www.quandl.com/

 

I then loaded the data into a database and wrote a small application (using python, R, and java) to pull the time series data from the database and implement the calculations that I understood in that book.

 

I talked about this project in my cover letter for any job I applied to. It was definitely helpful in job interviews to be able to discuss what I had done. I also learned a lot because when I started I didn't have very much experience with programming so it was definitely a good learning experience.

If you want help getting started, let me know what questions you have and i'll send you some notes.

 

Edit: The book below (by Makridakis/Hyndman) is much simpler book and is a better introduction to time series than the book in the first link above. I read this first got a basic understanding of time series and forecasting. After getting through a few chapters in Hyndman, the Tsay book is much easier to understand. But in either case building small application that implement these methods in either of these books is a great exercise.

 

https://www.amazon.com/Forecasting-principles-practice-Rob-Hyndman/dp/0987507109/

 

You can also get the contents of that book for free at this link:

 

https://www.otexts.org/fpp

If you are interested in financial applications, this book is great: http://www.amazon.com/Analysis-Financial-Wiley-Probability-Statistics/dp/0470414359/ref=sr_1_1?s=books&ie=UTF8&qid=1345211947&sr=1-1&keywords=financial+time+series

I found this book and going by it, they say it is a classic and a good thing is that it does not start from the Gaussian distribution of returns assumption. I hope it helps you.

https://www.amazon.de/Analysis-Financial-Wiley-Probability-Statistics/dp/0470414359