Ahh, I actually read Trading and Exchanges quite awhile ago but really need to read it again as I was too much of a newb at the time to really get much from it other than the concept of "front running".
Sorry if some of these don't work, it seems the paper download changes pretty quick to having to pay for it. If one does change it seems pretty easy to find the paper with google by just search for the title.
I thought this was an interesting comparison between double action markets and bookmakers, which i think might be relevant between specialist/market makers vs ECN
The Double-Auction Gambling Market: An Experimental Examination
http://www.encyclopedia.com/doc/1G1-167304929.html
I just ordered a new printer and haven't really felt like getting too deep into reading the PDfs. Here is more, I didn't think this post went through intially.
An Empirical Behavioral Model of Liquidity and Volatility
http://papers.ssrn.com/sol3/papers.c...act_id=1011403
A Simulation Analysis of the Microstructure of Double Auction Markets
http://papers.ssrn.com/sol3/papers.c...ract_id=841608
What Pieces of Limit Order Book Information Matter in Explaining the Behavior of Aggressive and Patient Traders?
http://papers.ssrn.com/sol3/papers.c...ract_id=489508
Understanding Order Flow
http://papers.ssrn.com/sol3/papers.c...ract_id=842482
Analysis of Limit Order Book and Order Flow
http://papers.ssrn.com/sol3/papers.c...ract_id=488422
Liquidity, Size and Cycle of Order Flow
http://papers.ssrn.com/sol3/papers.c...ract_id=621441
Stock Market Return, Order Flow and Financial Market Linkages
http://papers.ssrn.com/sol3/papers.c...ract_id=965649
Momentum Profitability and Market Trend: Evidence from Reits
http://papers.ssrn.com/sol3/papers.c...ract_id=872604
Andrew Lo's site has a really interesting paper on long portfolios using leverage, 130% long and 30% short...
130/30: The New Long-Only
http://web.mit.edu/alo/www/