I recently stumbled the lecture notes of Prof. Avellaneda on Quantitative Investment Strategies (near the bottom of this page). The exposition is highly structured and rigorous, but I am missing in depth explanations on the different subjects. Therefore, I am looking for a textbook on, or potentially a detailed scientific review of the subject. Looking on the internet, most books I've found were mostly superficial treatment for non-practitioners or non-quantitative public. What I am looking for has the same level of sophistication as the exposition that Prof. Avellaneda shows. Unfortunately, he didn't wrote a book on the subject himself, as the book he wrote is more about derivative pricing (also an interesting subject, though).