My favorite is Ernie Chen's "Quantitative Trading: How to Build Your Own Algorithmic Trading Business" https://www.amazon.com/Quantitative-Trading-Build-Algorit

My favorite is Ernie Chen's "Quantitative Trading: How to Build Your Own Algorithmic Trading Business" https://www.amazon.com/Quantitative-Trading-Build-Algorithmic-Business/dp/0470284889 https://www.amazon.com/Quantitative-Trading-Build-Algorithmi... Warning: it is a lot of fun, thrilling, but hard to make money. My winning algos took a while to research, longer to automate, and often lost alpha quickly.