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I am looking for an advanced introduction to statistics. I am currently interviewing for hedge fund positions, and a solid base in statistics would be quite helpful. As a math major I have significant (graduate level) background in analysis and probability, but somehow statistics has always evaded my course schedule. An ideal book would include several proofs in the exposition and a multitude of computational exercises.

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    $\begingroup$ The book "Time Series Analysis" by Hamilton is the ultimate book you need for a quant role in a hedge fund company. $\endgroup$
    – Gordon
    Commented Feb 26, 2016 at 15:20
  • $\begingroup$ @Gordon I'll be using that in a class next semester! $\endgroup$
    – Schmidt
    Commented Dec 9, 2016 at 7:38

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Tsay's Analysis of Financial Time Series should be what you're looking for.

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I think that "An Introduction to Statistical Learning: with Applications in R (Springer Texts in Statistics)" suggested by KarolisR could be useful but too much machine learning oriented. Moreover, such a book is for beginners.

As a thorough book (PhD level) on statistics, I suggest "Statistical Inference" by Casella and Berger.

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You could try this one: An Introduction to Statistical Learning: with Applications in R (Springer Texts in Statistics). Or maybe take a stats course on coursera/edx

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Advanced Algorithmic Trading, Mike Halls-Moore.

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