The Elements of Statistical Learning
Hastie, Tibshirani, Friedman
30 people recommended it in 17 threads, 2009–2023.
1 commenter pushed back on it — worth reading the threads.
What people on Hacker News said
The Elements of Statistical Learning. Probably the single most respected book in machine learning. Exhaustive and essential.
First, read fucking Hastie, Tibshirani, and whoever. Chapters 1-4 and 7. If you don't understand it, keep reading it until you do.
Although it isn't specifically about economics or markets, you should at least read it.
From a technical point of view, The Elements of Statistical Learning, by Tibshirani, Friedman, and Hastie. Far and away the most illuminating demonstration that so many ML / AI techniques have a long-standing statistical foundation, and, essentially, everything boils down to the linear model.
But given that they distribute the PDF for free it's worth checking out.
I think both explain statistical ML clearly at just the right level of detail.
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