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 :)

Ernie Chan's book, "Quantitative Trading: How to Build Your Own Algorithmic Trading Business ", is a good starting point. It's a nice blend of theory and pragmatic practice. Chan provides example implementations in Matlab to help readers get started.

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

Chan's blog is informative as well,

http://epchan.blogspot.com/

These might interest you:

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

http://collective2.com/

Haven't read it yet, but it's sitting in my to-read statck:

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

Sounds like just an intro. Some of the other books Amazon recommends on that page might be worth checking out too.

Hadn't started implementing any systems yet, but earlier this year I ordered these and they've been ultra-educational at least for figuring out how to get started, vocabulary, etc.:

High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems http://www.amazon.com/gp/product/0470563761

Inside the Black Box: The Simple Truth About Quantitative Trading http://www.amazon.com/gp/product/0470432063

Quantitative Trading: How to Build Your Own Algorithmic Trading Business http://www.amazon.com/gp/product/0470284889