With direct applications to markets
two excellent books with direct applications to markets:
Regression: Linear Models in Statistics, by Bingham and Fry.
Event History Analysis: Statistical theory and Application in the Social Sciences, by Blossfeld, Hamerle, and Mayer.
both highlly recommended
Zubin Al Genubi adds:
Previously recommended by Vic:
Event History and Survival Analysis: Regression for Longitudinal Event Data
I've used survival statistics for studying survival time between crashes, x-day highs/lows, ATH, bear markets. Poisson distributions are the distribution for time occurrences as well.
Big Al offers:
Free online book using R language:
Statistical Modeling: Regression, Survival Analysis, and Time Series Analysis, by Lawrence Leemis, William & Mary.