Reddit reviews The Econometrics of Financial Markets
We found 5 Reddit comments about The Econometrics of Financial Markets. Here are the top ones, ranked by their Reddit score.
Princeton University Press
What part of finance are you interested in?
Asset pricing?
Corporate Finance?
Behavioral Finance?
Financial Econometrics?
Market Microstructure?
Definitely read both books, although you may appreciate Cochrane's more if you like asset pricing. Keep an open mind -- in my experience many students enter PhD programs planning on doing asset pricing, then move to corporate finance. That is what I did.
I'm not aware of any recent machine learning asset pricing papers in the top journals, so I can't point you in that direction (although, to be honest, I don't do asset pricing, so I'm not the best resource). You may like the Santa Fe market -- which is a simulated financial market. It's a little old, but you may find value in it.
If you really like econometrics, I'd suggest taking a look at Hamilton's Time Series Analysis or Campbell, Lo, and MacKinlay's The Econometrics of Financial Markets. They're both very mathy, as they are more about the econometric techniques used in empirical research than they are about the research itself. You'll likely run into one or the other in your grad program.
Those are courses in statistics / econometrics. Time series will probably cover topics in a book like this. http://www.amazon.com/Econometrics-Financial-Markets-John-Campbell/dp/0691043019/
Multivariate analysis sounds like a general econometrics course which would likely cover topics from a book like this.
http://www.amazon.com/Introductory-Econometrics-Modern-Approach-Economics/dp/1111531048/
The first book is probably more advanced than what will be covered in the courses, the second book is probably more introductory than what will be covered the courses. In my opinion anyone who thinks they might work with observational data someday should find econometrics quite useful.
Two recommendations for asset pricing/financial econometrics
Cochrane (2005): https://www.amazon.com/Asset-Pricing-John-H-Cochrane/dp/0691121370
Campbell, Lo and MacKinlay (1998): https://www.amazon.com/Econometrics-Financial-Markets-John-Campbell/dp/0691043019
Don't worry, the up votes have spoken for who's post is ludicrous, and it is yours.
Here are some reading resources for you:
http://www.amazon.com/Stochastic-Methods-Economics-Advanced-Textbooks/dp/0444862013/ref=sr_1_6?s=books&ie=UTF8&qid=1309949494&sr=1-6
http://www.amazon.com/Econometrics-Financial-Markets-John-Campbell/dp/0691043019/ref=pd_sim_b_2
and, to ensure you can understand one of these:
http://www.amazon.com/Economics-Dummies-Business-Personal-Finance/dp/0470879483/ref=sr_1_1?s=books&ie=UTF8&qid=1309949559&sr=1-1