I am a newbie for quant trading, and I am very interested to start a career in this field.
Appreciate if anyone can share some good reference books here. 
Quant trading actually consists of a wide range of knowledge from mathematics, finance, and programming. The list below is categorized to the best of my knowledge. Hope you will find it useful!
- General Reading and Story
- Fundamentals
- Programming
- Statistics, Mathematics and Time-Series Analysis
- Economics and Finance
1. General Reading and Story
- My Life as a Quant by Emanuel Derman
- Quant Job Interview Questions and Answers by Mark Joshi
- Fischer Black & the Revolutionary Idea of Finance by Perry M.
- Inside the Black Box by Rishi K. Narang
- The Wealth of Nations by Adam Smith
- The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution by Gregory Zuckerman (2019)
- Algorithmic Trading: Winning Strategies and Their Rationale by Ernest P. Chan (2013)
2. Fundamentals
- Fundamentals of Futures and Options Markets by John C. Hull
- Essentials of Investments by Zvi Bodie, Alex Kane & Alan Marcus
- Financial Modeling by Simon Benninga
3. Programming
- Python for Data Analysis by Wes McKinney
- Modern Computational Finance by Antoine Savine
- Mastering Python by Michael B. White
- Applied Computational Economics and Finance by Mario J. & Paul L.
- Advances in Financial Machine Learning by Marcos Lopez de Prado
4. Statistics, Mathematics and Time-Series Analysis
- Analysis of Financial Time Series by Ruey S. Tsay
- The Art and Science of Technical Analysis by Adam H. Grimes
- An Introduction to Statistical Learning by Gareth J. & Trevor H.
- Statistical Inference by George Casella & Roger Berger
- Mathematics for Economics by Carl P. Simon & Lawrence E. Blume
- A Primer For The Mathematics Of Financial Engineering by Dan S.
- The Concepts and Practice of Mathematical Finance by Mark Joshi
- Financial Calculus by Martin Baxter &Andrew Rennie
- Mathematical Methods for Financial Markets by Monique J.
- Stochastic Calculus and Applications by Samuel N. & Robert J.
5. Economics and Finance
- Introductory Econometrics: A Modern Approach by Jeffrey W.
- Advanced Financial Risk Management by Donald R. & Deventer K.
- Financial Decisions and Markets: A Course in Asset Pricing by John Y.
- Expected Returns: A Guide to Harvesting Market Rewards by I. Anti
In last century, trading systems began as chart analysis, where patterns and rules are specified, entry points identified, and trades follow. However, as the financial market become more and more efficient, these kind of rule-based algorithms become less profitable. Therefore, many traders nowadays are exploring the applicability of machine learning and artificial intelligence to design a trading system.
In moving to machine learning, traders change their mindset from rules to data.
- Rule: define a rule, then see what happens later.
- Data: identify a desirable trade, then see what happened earlier.
In order to compete in trading, your system will need to have some machine learning programs to handle market changes. Here some good textbooks to prepare you for machine learning.
- Pattern Recognition and Machine Learning by Christopher M. Bishop
- Machine Learning: A Probabilistic Perspective by Kevin P Murphy
- Reinforcement Learning by Richard S. Sutton, Andrew G. Barto
Original Posted by - b'I can beat Buffett':In last century, trading systems began as chart analysis, where patterns and rules are specified, entry points identified, and trades follow. However, as the financial market become more and more efficient, these kind of rule-based algorithms become less profitable. Therefore, many traders nowadays are exploring the applicability of machine learning and artificial intelligence to design a trading system.In moving to machine learning, traders change their mindset from rules to data.
- Rule: define a rule, then see what happens later.
- Data: identify a desirable trade, then see what happened earlier.
In order to compete in trading, your system will need to have some machine learning programs to handle market changes. Here some good textbooks to prepare you for machine learning.
- Pattern Recognition and Machine Learning by Christopher M. Bishop
- Machine Learning: A Probabilistic Perspective by Kevin P Murphy
- Reinforcement Learning by Richard S. Sutton, Andrew G. Barto
It's true that algorithmic trading is changing from "rule" to "data".
