Research Papers

[darthtrader]

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

[BlowFish]

	Quote:	darthtrader
	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

First paper looked difficult I quickly abandoned that. Third one appears to have gone.

The second one was a little more interesting however it seems pretty obvious that if it is a FIFO order matching system people will exploit that by placing limit orders at certain levels and then cancelling if they subsequently do not wish to trade at that level. The other thing that does not appear to be discussed is the effect of tick size. Too small a tick size deters people from offering liquidity 'early' (in the form of limit orders) as it costs a relatively smaller amount to join late. So the answer seems obviously yes but less so in markets with smaller tick size. e.g. If you look at say YM compared to ES the difference in the order book is greater than would be suggested by the different total contracts traded. YM is thinner than you would expect as it is cheap to better the inside bid/ask. Another side effect of this is increased volatility.

If this sort of stuff interests you a useful and practical book that deals with the effect different exchange regulations have on how the participants operate is Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris. A truly great book that offers a whole lot more solid trading information.

Cheers.

[darthtrader]

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/

[waveslider]

http://www.cxoadvisory.com/blog/

Seen this?

Good quant stuff, summarized to alleviate headaches