I've been finding some pretty interesting stuff in the academic research paper basement...If anyone else finds research papers along the lines that would fit in the trading style of most people here please post in this thread(ie. not real interested in exotic derivative type research).
Some this stuff is quite math heavy and I've only printed out a few to actually read over but probly worth a look.
Forecasting in Continuous Double Auction
http://papers.ssrn.com/sol3/papers.c...ract_id=924760
Does The Option to Cancel an Order in a Double Auction Market Matter?
http://papers.ssrn.com/sol3/papers.c...ract_id=292152
Probabilistic Properties of the Continuous Double Auction
http://papers.ssrn.com/sol3/papers.c...4PaperDownload