James Douglas Hamilton - Time Series Analysis

The time series analysis is a must for every statistical arbitrage quant trader.The book by James Douglas Hamilton is a perfect and up-to-date review of all basic time-series techniques. You can find here topics such as:

• Vector Error Correction Model - Full Information Maximum Likelihood estimation of cointegrating vectors.
• Stochastic Volatility Models - GARCH, FIGARCH etc.
• Generalized Method of Moments
• Kalman Filter

This is a book with high level of PhD mathematics. A little bit simpler book that covers same topics is "New Introduction to Multiple Time Series Analysis" by Helmut Lütkepohl.