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... (http://www.amazon.com/Quantitative-Trading-Build-Algorithmic-Business/dp/0470284889) Chan's blog is informative as well, http://epchan.blogspot.com/
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Quantitative Trading: How to Build Your Own Algorithmic Trading Business
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