Python for Data Analysis: Data Wrangling with Pandas, NumPy, and IPython, Wes McKinney, O’Reilly, 2012

Mandatory if you are working with financial time series

Wes McKinney is the primary author of pandas, a python library for data analysis. This book is a description of pandas and their use.

Pandas extends the data analysis capabilities of python beyond that provided by numpy and scipy with a set of data structures (primarily the DataFrame) and functions designed to handle time series data. There are functions for cleaning, aligning, transforming, and other data munging tasks — all described and discussed with excellent examples.

While this book has no references to machine learning, this book is required reading and a key reference for anyone working with machine learning, financial time series, and python.