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 :)
http://www.amazon.com/Evidence-Based-Technical-Analysis-Scie...
Bottom line (but very controversial among any diverse group of investors): it doesn't work. I always try to steer people away from it if - it's one of those big choices in life (like choosing a good wife or husband) that can have a major impact a few decennia down the line.