Resources that I have found helpful for study are listed in semi-structured categories. A few could be placed in multiple categories or perhaps deserve one their own.

- Machine Learning (Murphy)
- Pattern Recognition and Machine Learning (Bishop)
- Elements of Statistical Learning
- Adaptive Patter Recognition and Neural Networks (Pao)
- Elements of Information Theory (Cover, Thomas)
- Data Classification (Aggarwal)
- Data Clustering (Aggarwal)
- Outlier Analysis (Aggarwal)
- Temporal Data Mining (Mitsa)
- Research by: David Blei

### ML/KD/DM

- Social Network Analysis (Wasserman)
- Statistical Analysis of Network Data (Kolczyk)
- Dynamic Processes on Complex Networks (Barrat)
- Models and Methods in Social Network Analysis (Carrington, Scott)
- Exponential Random Graph Models for Social Networks (Lusher,Koskinen)
- Papers on: Statistical Relational Learning
- Research by: Peter Hoff

### Networks/Relational Learning

- Numerical Optimization (Nocedal,Wright)
- Network Flows (Ahuja)
- Optimal Control Theory (Kirk)

### Optimization

- Monte Carlo Statistical Methods (Robert, Cassella)
- Computational Statistics (Givens)

### Simulation

- Bayesian Data Analysis (Gelman)
- Data Analysis using Regression and Multilevel/Hierarchical Models (Gelman)
- Modern Multivariate Statistical Techniques (Izenman)
- Statistical Inference (Casella, Berger)
- A First Course in Bayesian Statistical Methods (Hoff)

### Statistics

- Probability and Measure (Billingsley)
- Real Analysis and Probability (Dudley)
- Probability (Shiryaev)

### Probability

- Econometric Analysis of Cross Section and Panel Data (Wooldrige)
- Econometrics (Hayashi)
- Econometric Analysis (Greene)
- Analysis of Panel Data (Hsiao)
- Econometric Analysis of Panel Data (Baltagi)
- Analysis of Financial Time Series (Tsay)
- Multivariate Time Series (Tsay)
- Oxford Handbook of Economic Forecasting
- Oxford Handbook of Bayesian Econometrics
- Econometrics of Financial Markets (Lo)
- Discrete Choice Methods with Simulation (Train) [lecture videos on YouTube]

### Econometrics

- Causality (Pearl)
- Counterfactuals and Casual Inference (Morgan)
- Mostly Harmless Econometrics (Angrist)
- Probabilistic Graphical Models (Koller,Friedman) [lecture videos on Coursera]

### Model Selection/Causality/Identification

- Microeconomic Analysis (Varian)
- Microeconomic Theory (Mas-Colell)
- Recursive Macroeconomic Theory (Ljungqvist, Sargent)
- Economic Dynamics (Stachurski)
- Theory of Incentives (Laffont, Martimort)
- Theory of Industrial Organization (Tirole)
- Contract Theory (Bolton, Dewatripont)
- Investments (Bodie, Kane, Marcus)
- Hedge Funds (Lo)
- Investment Strategies of Hedge Funds (Stefanini)
- Theory of Corporate Finance (Tirole)