Yiqiao Yin’s Reading List

This is a list of books/scholarly papers recommended by me. The links are updated for the purpose of reference only and are not affiliated with any sales of Amazon website.

Books and Literature Author & Researcher
Global Economy Preview
AQR Library AQR Capital
Bill Gross Investment Outlook (Gross Outlook) Bill Gross
DoubleLine Capital Commentary DoubleLine Capital
ETF Site Report ETF.COM
IMF | Latest Research
IMF | World Economic Outlook
Template for Understanding Big Debt Crises Ray Dalio
Theoretical Statistics
Discovering Influential Variables: A Method of Partitions Herman Chernoff, Shaw-Hwa Lo, Tian Zheng
Estimating the Theoretical Error Rate for Prediction
Herman Chernoff, Shaw-Hwa Lo, Tian Zheng, Adeline Lo
Framework for Making Better Predictions by Directly Estimating Variables’ Predictivity
Adeline Lo, Herman Chernoff, Tian Zheng, and Shaw-Hwa Lo
Interaction-Based Learning for High-Dimensional Data with Continuous Predictors
Chien-Hsun Huang
Why Significant Variables Aren’t Automatically Good Predictors Adeline Lo, Herman Chernoff, Tian Zheng, and Shaw-Hwa Lo
Machine Learning and Learning Algorithms
Computer Age Statistical Inference: Algorithms, Evidence and Data Science Bradley Efron and Trevor Hastie
Learning Processes in an Asymmetric Threshold Network Bradley Efron, Trevor Hastie
The MINIST Database: Yann LeCun Handwritten Digits Research Yann LeCun
Stanford Convolution Neuro Network Stanford Computer Science Department
Yann LeCun Publications Yann LeCun
Inspiring Blogs
Blog of Bogle (BOB) John Bogle
The Grumpy Economist John Cochrane
Idiosyncratic Whisk Kevin Erdmann
The Money Illusion Scott Sumner
Social Science
Colossus: Rise and Fall of American Empire Niall Ferguson
The Crowd: A Study of the Popular Mind Gustave Le Bon
Experience And Education John Dewey
Educated: A Memoir Paperback Westover Tara
The Feminine Mystique Betty Friedan
The Meaning of Human Existence Edward O. Wilson
The Language Instinct: How the Mind Creates Language Steven Pinker
The Lives of the Twelve caesars Suetonias Tranquillis
The Magic of Reality Richard Dawkins
No Two Alike: Human Nature and Human Individuality Judith Rich Harris
Sapiens: A Brief history of Humankind Yuval Noah Harari
Natural Science
Infinitesimal: How a Dangerous Mathematical Theory Shaped the Modern World Amir Alexander
The Man of Numbers: Fibonacci’s Arithmetic Revolution Keith Devlin
Mathematics (Pure Math in Complex Analysis / Riemann Surfaces)
Complex Analysis Lars Ahlfors
A Course in Real Analysis John N. McDonald, Neil A. Weiss
Riemann Surfaces Hershel M. Farkas
Lectures on Riemann Surfaces Otto Forster
Auction Theory
Multiple-Object Auctions with Budget Constrained Bidders Jean-Pierre Benoit, and Vijay Krishna
Efficient Market Hypothesis
On the Impossibility of Informationally Efficient Markets Sanford J. Grossman; Joseph E. Stiglitz
Capital Asset Market
Capital Asset Prices: A theory of market equilibrium under conditions of risk William F. Sharpe
The Capital Asset Pricing Model: Some Empirical Tests Michael C. Jensen, Fischer Black, and Myron S. Scholes
Predicting Financial Distress of Companies Edward Altman
Interpreting Risk Premia Across Size, Value, and Industry Portfolios Ravi Bansal, Robert F. Dittmar, and Christian T. Lundblad
A Critique of the Asset Pricing Theory Tests Richard Roll
Do Industries Explain Momentum? Tobias J. Moskowitz and Mark Grinblatt
Does the Stock Market Overreact? Werner F. M. De Bondt and Richard Thaler
The Other Side of Value: The Gross Profitability Premium Robert Novy-Marx
The Cross-Section of Volatility and Expected Return Andrew Ang, Robert J. Hodrick, Yuhang Xing, and Xiaoyan Zhang
Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers Joseph D. Piotroski
The Pricing of Options and Corporate Liabilities Fischer Black and Myron Scholes
Investment Management
BlackRock Research Archive BlackRock Library
The Clash of the Cultures: Investment vs. Speculation John C. Bogle, Arthur Levitt Jr.
How the Economic Machine Works (PDF)* Ray Dalio
Security Analysis (The Classic 1934 Edition) Benjamin Graham and David Dodd
Principles Ray Dalio
A Continuous- Time Version of the Principal: Agent Problem Yuliy Sannikov
A Monetary History of the United States, 1867-1960 Milton Friedman, Anna Jacobson Schwartz
Systemic Illiquidity in the Federal Funds Market Adam B. Ashcraft and Darrell Duffie
Trade Dynamics in the Market for Federal Funds Gara Afonso and Ricardo Lagos
Over-the-counter markets Duffie, Darrell, Nicolae Garleanu, and Lasse Heje Pedersen
Securitization Gary B. Gorton and Andrew Metrick
Sluggish Inflation Expectations: A Markov Chain Analysis Narayana R. Kocherlakota
Global Market: Theory and Evidence
Brazil in Crisis Campbell R. Harvey, Christian Lundblad, and Diego Valderrama
Market Efficiency, Asset Returns, and the Size of the Risk Premium in Global Equity Markets Ravi Bansal and Christian T. Lundblad
The Rise and Fall of Nations: Forces of Change in the Post-Crisis World Ruchir Sharma

* A reference link from Bridgewater Associates website.