Some of this maybe a repeat to people as I often get asked for recommendations on how to get into algorithmic trading.
http://www.amazon.ca/Fortunes-Formula-Scientific-Betting-Cas... The history of hte first real quant
http://www.amazon.ca/Dark-Pools-Machine-Traders-Rigging-eboo... The history of the rise of algorithmic trading
The phyisics of wall street was mentioned by someone else, great book
http://www.amazon.ca/Quants-Whizzes-Conquered-Street-Destroy... This profiles 4 famous traders including Simons, alos a great book
http://www.amazon.ca/Heard-Street-Quantitative-Questions-Int... A must read if you want to get into quantitative finance.
As always, email if you'd like to chat.
The principles are pretty simple from a probabilistic perspective: it's just a matter of making inferences from the available information and choosing an optimal course of action from that. Information theory provides a nice framework for this basis, imo.
You can find this introduction (including topics like Kelly's criterion etc) in Cover's Elements of Information Theory, a good introduction to information theory in general if you like.
By the I really enjoyed dark pools. No practical knowledge, but a pleasure to read.
aka a photo?
Pretty cool regardless of name. :)