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Scholarly Papers

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.

Reconstructing the Order Book

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

Information Conveyed By Japanese Candlestick Chart Patterns: An Apparent Anomaly In The Weak Form Of The Efficient Market Hypothesis

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

The Scale of Market Quakes

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

Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis

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

A Market Neutral Statistical Arbitrage Trading Model

Thomas Ho Financial Models – Tons of Great Stuff