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A great variety of references can be cited to the interdisciplinary area of Econophysics, covering both theory and application. Here, we propose a tentative list of readings that may used as preliminary study material. More advanced topics can be found in published papers (especially in Physica A: Statistical Mechanics and its Applications). Finally, Wikipedia is always a great place to start!

Books:

Cuthbertson, K. and Nitzsche, D., 2004, Quantitative Financial Economics: Stocks, bonds and Foreign Exchange, 2nd Ed., UK: John Wiley & Sons.

Mandelbrot, B., and Hudson, R., 2004: The Misbehavior of Markets: A Fractal View of Financial Turbulence, NY: Basic Books.

Mantegna, R., and Stanley, E., 2000: An introduction to Econophysics - Correlations and Complexity in Finance, UK: Cambridge University Press.

Richmond, P., Mimkes, J., and Hutzler, S., 2013: Econophysics & Physical Economics, UK: Oxford.

Savoiu, G., (Editor) 2013: Econophysics - Background and Applications in Economics, Finance, and Sociophysics, UK & USA: Academic Press.

Sinha, S., Chatterjee, A., Chakraborti, A., and Chakrabarti, B., 2011: Econophysics - An Introduction, DE: Wiley-VCH.

Small, M., 2005, Applied Nonlinear Time Series Analysis: Applications in Physics, Physiology and Finance, World Scientific Publishing.

Papers (the list is indicative):

Arthur, B., 1999: Complexity and the Economy, Science, 284(5411), pp. 107-109. doi: 10.1126/science.284.5411.107.

Kakarot-Handtke, E., 2013: Toolism! A critique of Econophysics, MPRA Paper No. 46630, posted 30. Online at http://mpra.ub.uni-muenchen.de/46630/

Rickles, D., 2008: Econophysics and the complexity of financial markets, in Handbook of the Philosophy of Science - Vol. 10: Philosophy of Complex Systems, North Holand: Elsevier. http://www.sciencedirect.com/science/article/pii/B9780444520760500195

Vasconcelos, G., 2004: A guided walk down Wall Street - An introduction to Econophysics, Brazilian Journal of Physics, 34(3B), pp. 1039-1065. http://arxiv.org/abs/cond-mat/0408143