I can recommend this [0] book. It's focused on financial time series and trading, but the techniques covered in the book are generic enough to apply to all kinds of time series, you can just ignore the finance parts. If you search hard enough you can find the PDF for free online. The way they treat convolution operators and efficiently approximate them with fixed-size EMAs was quite interesting to me. It's definitely a bit dated, but that's some of its charm.

[0] https://www.amazon.com/Introduction-High-Frequency-Finance-R...

Flash Boys is quite inaccurate with respect to how HFT works. Read this book instead

http://www.amazon.com/Introduction-High-Frequency-Finance-Ra...

Books I would recommend for beginners:

Evidence Based Technical Analysis: http://www.amazon.com/Evidence-Based-Technical-Analysis-Scie...

Pairs Trading: http://www.amazon.com/Pairs-Trading-Quantitative-Methods-Ana...

Quantitative Trading: http://www.amazon.com/Quantitative-Trading-Build-Algorithmic...

An Introduction to High Frequency Finance: http://www.amazon.com/Introduction-High-Frequency-Finance-Ra...

Trading and Exchanges: Market Microstructure for Practitioners: http://www.amazon.com/Trading-Exchanges-Market-Microstructur...

I also wrote a couple of very introductory articles, sadly I never got past part #2: http://www.bitcortex.com/2008/12/28/pragmatic-automated-trad... http://www.bitcortex.com/2009/01/04/pragmatic-automated-trad...

I am could mentor 1-2 HN readers that are serious about getting into quant trading. Just let me know you are interested :)