Here is a list of books I feel any analytics expert (not just sports) should have encountered. I am biased towards my books a bit, so some of mine are on the list. I am not an expert programmer so I do not have any favorites for programming.
You need to be great at high school math (not just good) so you should work every problem in the beautiful
Art of Problem Solving by Sandor Lehoczky and Richard Rusczyk.
For probability I love
Understanding Probability by Henk Tijms, 3rd edition
Henk is probably the world’s greatest probabilist (excuse the pun!)
For calculus based probability (joint distributions, etc.) I love the underrated gem by George Wadsworth
Introduction to Probability and Random Variables.
For a practical guide to stochastic processes I recommend Ed Kao’s masterful
An Introduction to Stochastic Processes.
Ed’s book is great on non-stationary stochastic processes.
By far the best introduction to intermediate stats book I have seen is
Statistics and Data Analysis: From Elementary to Intermediate by Dorothy Dunlop and Ajit Tahane
After mastering this book you can move on to
All of Statistics, Larry Wasserman which gives you a concise view of statistical theory
I think resampling is vastly underused in analytics and I love
Mathematical Statistics with Resampling and R Laura Chicara and Tim Hestenberg.
A great book on R and Analytics is Johannes Ledolter’s
Data Mining and Business Analytics with R.
You cannot go wrong with any of Ledolter’s books so I also recommend
Testing 123 (experimental design)
Statistical Methods for Forecasting
To get to the frontiers of modern statistics I recommend
Elements of Statistical Learning by Trevor Hastie and Robert Tibshirani.
For multivariate statistics
Applied Multivariate Statistical Analysis by Richard Johnson and Dean Wichern is tops.
For an introduction to operations research I recommend my
Most important OR topic that most analysts know little about is dynamic programming which I introduce, but then I recommend Dimitri Bersetkas’ two volume classic
Dynamic Programming and Optimal Control
For learning how to think Daniel Kahneman’s Thinking Fast and Slow is a masterpiece. Don’t miss Michael Lewis’ new The Undoing Project which humanizes Tversky and Kahneman. The Undoing Project will break your heart several times.
For a goo understanding of microeconomics I recommend
Microeconomics by Besanko and Brautigan.
For game theory I recommend Gibbons’
Game Theory for Economists
For a quick introduction to critical thinking I love The Art of Thinking Clearly by Rolf Dobelli
To know everything that Excel can do (short of macros) I recommend my book (just out)
Microsoft Excel 2016 Data Analysis and Business Modeling.
For Excel macros the analyst needs to master my colleague and coauthor’s book
VBA for Modelers 4th edition
For books on specific analytic subjects see below
No book is adequate but (I am biased) I think my Mathletics will get you going. You need to keep searching the Internet daily to keep up. Definitely read the Rating Teams chapter for a quick intro on how to rate sports teams.
For an introduction I recommend my book Marketing Analytics but the advanced reader needs to master Blattberg and Kim’s opus magnus Database Marketing.
There are so many great books here but I love David Luenberger’s Investment Science (2nd edition) and John Hull’s Options Futures and Other Derivatives (9th edition)
At a basic to intermediate level I love Chopra and Meindl’s Supply Chain Management 6th edition.
For advanced readers try
Fundamentals of Supply Chain Theory by Snyder and Shen and David Simchi-Levi’s The Logic of Logistics, 2013.
Hope this list is helpful!