This list mostly comprises work regarding short term investment topics. I'm always updating this list and if you find something good please send it my way with a link. I don't host any of these files. Many of these were recommended to me. Google scholar or any pdf search engine will do. Consensus is my favorite.
Simulating and Analyzing Order Book Data: The Queue-Reactive Model
The Information Content of an Open Limit-Order Book
Automatic Synthesis of Trading Systems
Patterns in High Frequency FX Data: Discovery of 12 Empirical Scaling Laws
The Predictive Power of Price Patterns
The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward
Optimal Process Approximation: Application to Delta Hedging and Technical Analysis
“Large” vs. “Small” Players: A Closer Look at the Dynamics of Speculative Attacks
Micro Approaches to Foreign Exchange Determination
Rare Event Analysis for High-Frequency Equity Data
High Frequency Trading Goethe UIniversitat
Asymmetric Information in the Interbank Foreign Exchange Market
Market Microstructure and the Profitability of Currency Trading
The Microstructure of Currency Markets
Exchange Rate Forecasting, Order Flow and Macroeconomic Information
Arbitrage in the Foreign Exchange Market: Turning on the Microscope
Foreign Exchange Market Structure, Players And Evolution
Survival of Overconfidence in Currency Markets
Price Discovery in Currency Markets
Extreme Returns: The Case of Currencies
Foreign Exchange Microstructure: A survey of Empirical Literature
Hedge Funds and the Origins of Private Information in Currency Markets
Stop Loss Orders and Price Cascades in Currency Markets
Macro Lessons from Microstructure
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
Relation of Expected Gain to Kelly Formula
High Frequency Trading and Price Discovery
Stock Price Pattern Recognition – A Recurrent Neural Network Approach
