This might be a good starting point.

https://www.wiley.com/en-us/Paul+Wilmott+Introduces+Quantita...

Thanks, I'll give it a shot

Eh, don't bother reading any financial literature that other commentators suggest you for this competition. With anonymized input data and even the nature of the problem (is it even short or long term prediction? the two are very different beasts), you're not going to use any financial domain knowledge here. Besides, the good stuff is rarely if ever openly published. Just keep in mind two useful unchanging truths about finance here: it's time series data and with very low signal-to-noise ratio, so overfitting is a major concern.

Start by reading/running notebooks ("kernels") and winners solutions from this and previous competitions with tabular/time series data, building models and then grid searching, stacking, bagging, boosting 'em up. Here's a bit aged but still useful guide how pros do it: https://mlwave.com/kaggle-ensembling-guide/

I have a book called Empirical Asset Pricing by Wayne Ferson. Seems like as good a place to start as any.

If you want something online, check out https://www.quantopian.com/

It looks like I'm a bit too novice for Empirical Asset Pricing. I'll check out the website though, thanks.

Yeah, I haven't read that book myself yet. Borrowed it from work. But it seems like the Real Deal. So you could just use it as a stepping stone, and just see what basic material the author recommends to work through beforehand. You can usually find these recommendations in the preface or similar.

What's your goal?

Primarily to learn for the sake of the thrill of learning. I would like to have a better understanding of the analytical methods for understanding markets. I'm interested in the application of game theory from more of a beginners point of view but any mathematical tools to understand the world better are interesting to me. I'm not really focused on making money, just interested in better intuition/understanding of economics.

To have fun exploring and learning.

And also rule the world.

I am not that ambitious, just one or two billion in assets.