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/Trading-Exchanges-Market-Microstructur...
I'm finding this a more interesting and detailed read than _Capital Markets for Quantitative Professionals_. For instance, the book traces through everything that happens when placing, executing, and settling typical trades.
On the other hand, I've taken the Canadian Securities Course, so perhaps Capital Markets is a better introduction for total beginners.
I would highly suggest picking up the book, Trading and Exchanges: Market Microstructure for Practitioners (http://www.amazon.com/dp/0195144708) by Larry Harris. To trade effectively you need to understand how the markets work and this book provides and outstanding tour through the markets, who participates in them, and why they do or don't make money.
There are innumerable ways to make money in the markets. Long term, short term, technical or fundamental, with retail platforms like Ninja or going very sophisticated and connecting directly to an exchange like NASDAQ using native protocols like ITCH and OUCH. Don't let naysayers distract you from your goal--for every naysayer there is always a counter point.
If you want some motivation, read through this IamA at reddit: http://www.reddit.com/r/IAmA/comments/9s9d7/iama_100_automat...
This does a really good job of explaining how having people fulfilling different roles viz trader, dealer, investor results in being able to buy and sell whatever you want whenever you want. I wish I could send a copy to everyone who thinks flipping second-hand goods on Craigslist is arbitrage.