As with most things, I believe its more about learning to think in the right way than a specific knowledge base. In research in general it rarely the quantity of somebodies knowledge that enables them to make big breakthroughs, its more to do with how they approach problems. Einstein didnt come up with relativity because he knew the most about physics, he did it because he was able to deconstuct the problem in an insightful way.
if you are really new, id recommend http://www.amazon.co.uk/Stock-Market-Edges-quantitative-developing-ebook/dp/B00DY73M24/ref=pd_sim_kinc_2?ie=UTF8&refRID=1K8J7CGJMJ866JVBWMC8
the strategies are pretty basic, and id wager most have no edge, or such a small one not to justify the time implementing them. But its a couple of pounds, and has quite a good methodology that one can learn a bit from. even though they are simple, taking the time to implement the strategies will probably get you thinking in a more research orientated way, not to mention teach you about model building.
99% of what i learned from my research in engineering came from sitting in front of matlab just trying things out. grab a good book on portfolio theory, implement a mainstream model and see what happens. If it works, try to interogate what are the good and bad points, and try to improve it. If it doesnt, try to understand why not. I struggled at first when i started learning finance, because you want a quant 101 book that lays it all out. The reality is these books dont really exist, as 99% of those who develop strategies that really work well can make much more money trading on them or selling them to prop houses than by publishing them and having the edge dissappear. if you can learn to be guided by your own investigations (guided in bits by others work) you will be in a far better place than most.
It normally takes phd students 3-4 years to develop new research, and they do it full time, so the wisest thing to do is to treat the first bit of time as a learning exercise. problem solving without any real guide is a hard thing to do, but its essental to learn, as if you ever to develop a new strategy, there wont be any specific literature to help you. after doing that for a good period of time, you can develop a sort of research sense, which is invaluable too. Most Dr's and above can look at a thesis on new work they havent researched and in about 10 mins choose 3 or 4 lines of enquiry to pursue, not to mention highlight any weaknesses. They cant do this because they have read more textbooks than you or I (I dont think my supervisor had read one in about 20 years), but because they have so much experience of tackling novel and new problems.