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I have finished listening to the Financial Market lectures from Yale, available freely in iTunes (video link, audio link). It is great, Robert Shiller was able to keep me interested thorough with his references to historical events and great explanation. He also bring in some interesting guest lectures to talk about their experience. Anyone who is interested in finance will definitely benefit from this lectures, be it you are a novice or expert.
I only listen to the audio lectures, usually play them on iPhone on my way to and fro work which is roughly an hour journey. I realize that I was able to concentrate better without needing to watch, especially in the morning, but I still recommend downloading the video as certain material is best absorb with visual help. As I usually sleep late due to various commitments, I was less consistent in progress but I am glad I finally finished it.
I am particularly interested in the intersection between finance and computing. Having previously created an Expert Advisor (Automated Trading System) using MetaTrader 4. The main strategy is to use some technical analysis to predict positions to open and close. The system is already complete but due to missing and inaccurate data, I couldn't optimize and refine the strategy. It is currently on my backlog, as I pursue to improve on my financial knowledge.
The next step for me is to read The Intelligent Investor, having finished Common Stock and Uncommon Profit. Both are great financial classics. I also bought Security Analysis in my Kindle but I am going to leave it to the last. I plan to pick up One Up On Wall Street first. That should keep me occupied for a while.