Books I've used in class or found through other channels; spans Python, R, Java, C, C++, Finance, Data Science:

book_recs.md

Machine Learning and AI for Finance

Advances in Financial Machine Learning, de Prado: http://www.quantresearch.org/
Machine Learning for Asset Managers, de Prado
Machine Learning for Factor Investing, Guida: http://www.mlfactor.com/
Big Data and Machine Learning in Quantitative Investment, Guida
Artificial Intelligence in Finance, Hilpisch: https://home.tpq.io/

Trading Analytics and Algorithms

Python for Finance 2d ed, Hilpisch
Derivatives Analytics with Python, Hilpisch
Listed Vol & Variance Derivatives, Hilpisch
High-frequency Trading, O'Hara
Machine Trading, Chan
Algorithmic Trading, Chan

Data Science, ML, NLP

Python Data Science Handbook, VanderPlas: https://jakevdp.github.io/PythonDataScienceHandbook/
R for Data Science: https://r4ds.had.co.nz/
Data Science from Scratch, Grus: https://github.com/joelgrus/data-science-from-scratch
Hands-on ML with Scikit-learn and TensorFlow 2d Ed, Geron
Natural Language Processing with Python, Bird
Python for Data Analysis, Mckinney
Intro to ML with Python, Müller
Web Scraping with Python, Mitchell
The Data Science Handbook, Cady

General Python

HitchHiker's Guide to Python, Reitz: https://docs.python-guide.org/
Think Python, Downey
Head First Python, Barry
High Performance Python 2d ed, Gorelick
Python Cookbook, Beazley
Python Parallel Programming Cookbook, Zaccone
Cython: A Guide for Python Programmers, Smith

Finance & Trading

Options, Futures, and other Derivatives, Hull
Principles of Financial Engineering, Neftci
An Introduction to the Mathematics of Financial Engineering, Neftci
Volatility Smile, Derman
Adaptive Markets, Lo
Market Timing with Moving Averages, Zakamulin
Quantitative Momentum, Gray
Quantitative Value, Gray
Trend Following with Managed Futures, Greyserman
A linear Algebra Primer for Financial Engineering, Stefanica
A Primer for the Mathematics of Financial Engineering, Stefanica
Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, Shreve
Stochastic Calculus for Finance II: Continuous Time Variable, Shreve
Mathematical Finance, Alhabeeb
Portfolio Selection, Markowitz
A Complete Guide to the Futures Markets, Schwager
Diary of a Professional Commodity Trader, Brandt

Other Programming Topics

Pragmatic Programmer, Thomas
Regular Expressions, Friedl
Bash Pocket Ref, Robbins
UNIX in a nutshell, Robbins
vi and Vim Editors Pocket Reference, Robbins
Version Control with Git, McCullough
Managing Projects with GNU Make Mecklenberg
Learning the bash shell, Newham
Effective AWK Programming, Robbins

Java, C, C++

Head First Java, Sierra
Think Java, Downey
Problem Solving with C++, Savitch
Intro to C++ for Financial Engineers, Duffy
Problem Solving & Programming Design In C, Hanly

Linear Algebra, Stats & Probability, Calculus, Algorithms

Introduction to Algorithms, Cormen et al
Algorithms, 4th Ed, Sedgewick et al: https://algs4.cs.princeton.edu/home/
Elementary Linear Algebra, Anton
MIT OCW Stats: https://ocw.mit.edu/courses/mathematics/18-05-introduction-to-probability-and-statistics-spring-2014/
MIT OCW Calculus: https://ocw.mit.edu/resources/res-18-001-calculus-online-textbook-spring-2005/textbook/

Other

Thinking Fast and Slow, Kahneman
How to Create a Mind, Kurzwiel
The Art of Strategy, Dixit
Skin in the Game, Taleb
Superminds, Maloni
Algorithms to Live By, Christian et al