Nicolas11 

With respect to statistical arbitrage... There is a some introductory words in: Ernest P. Chan, Quantitative Trading: How to Build Your Own Algorithmic Trading Business, Wiley 2008 ... but do not buy it only for this. I am just mentioning in case you already have this book. An interesting reference is: Ganapathy Vidyamurthy, Pairs Trading, Quantitative Methods and Analysis, Wiley 2004 Two thirds of the book are dedicated to statistical arbitrage based on co-integration. Nicolas

I've read both of those and unfortunately both are severely lacking. They cover the basic ideas (which are essentially trivial) in a long-winded way but then completely ignore implementation issues and the success factors determining the profitability of stat arb trades, which are the parts that actually make the money.

There are a couple of interesting academic papers (just search for pairs trading/statistical arbitrage on google scholar) but they too are really lacking useful info in the most important areas...at least they're short though.

Well... If you say that Vidyamurthy is "trivial" (and I believe you), it confirms that it was a wise decision for me to walk away from this arbitrage field.

Social Science Research Network (SSRN) Home Page

Favorite website for the money maths papers.

Post is a little old but if still interested, I had done a lot of stat arb for a few years when with a prop firm, VERY capital intensive, thus potentially running high haircut fees or in pairs such as CMCSA-CMCSK, where you are shooting for a few pennies, potentially costly commission fees.
Whatever you do, best of luck in your direction