A lot of people haved asked how they can learn more about data science and quantitative research, so I thought I'd compile some resouces I've personally enjoyed. 

ML 

• Hastie - Elements of Statistical Learning 
• Peter - Mathematics for Machine Learning 
• Murphy - Probabilistic machine learning 
• Russell - Artificial Intelligence: A Modern Approach 
• Petersen - Matrix Cookbook
• Boyd - Convex Optimization

Econometrics 

• Wooldridge - Introductory Econometrics 
• Shumway - Time Series Analysis and Its Applications 
• Yamane - Courses 
• Lambert - A graduate course in econometrics 
• Cunningham - Causal Inference: The Mixtape 
• Taboga - Statlect
• Bali - Empirical Asset Pricing

Quant 

• Dama - On Automated Trading
• Paleologo - Elements of Quantitative Investing
• Mudders are invited to join Harvey Mudd Data Science

Brainteaser Collections: 

• Zhou - A Practical Guide To Quantitative Finance Interviews
• Crack- Heard on The Street
• Mosteller - Fifty Challenging Problems in Probability
• Winkler - Mathematical Puzzles
• Mathai - An Introduction to Geometrical Probability
• Lehoczky - The Art of Problem Solving

Competitive Programming

• Laaksonen - Competitive Programmer’s Handbook
• Qi - USACO Guide
• Kogler - Algorithms for Competitive Programming
• Problem Banks: CodeForces, AtCoder, Project Euler, Kattis, CodinGame