Microstructure, HFT etc If you’re new to the modern trading infrastructure or want a comprehensive primer, check Chs. 1—5 from Joel Hasbrouck’s superb notes here.
Alexandre (aka “Sniper”) Laumonier has an awesome blog on HFT (mostly hardware-side).
Market-data provider Nanex had an iconic series of documented high-frequency “anomalies” about 10 years ago (red links on the left) which I think remains pretty relevant today (mostly software-side).
MiscellaneaYou’re probably familiar with it at this point, but https://stackexchange.com is the best crowd resource for programming, math, and stats out there. You may even find helpful tips there to some of the homework questions!
Particularly useful to simplify or re-write expressions when you’re stuck, WolframAlpha is great. Also pretty good for numerical and visual solutions. It does require some experience to get the best out of it, as its AI is a bit not-I sometimes.
The podcast Odd Lots by Tracy Alloway and Joe Weisenthal often brings great guests to chat about off-the-beaten-path financial topics. Free on Spotify.
Financial IndustryA valuable resource to pick up current trends in the finance industry is to skim white papers firms distribute. These have various degrees of academic rigor, but some of the best publicly available are AQR’s and Two Sigma’s. Bloomberg’s Matt Levine also has a (daily-ish) newsletter highly influential in the industry.
Technical ReferencesThese notes by Joseph C. Watkins are a great guide on discrete time stochastic processes. More math heavy-handed than class slides.