Here is a list of white papers which contain academic research on the underlying concepts behind the Footprint. For anyone inclined to reading PhD research papers, these should provide some fodder for learning. We will add to it as we hear about others.These are all PDF links.
- Duration and Order Type Clusters
- How Wise Are Crowds – Kelley_Tetlock_Jan11
- The Quotation Behavior of ECNs and Nasdaq Market Makers
- The Informational Role of Stock and Option Volume
- The Effect of Tick Size on Volatility, Trade Behavior, and Market Quality
- Strategic Experimentation in a Dealership Market
- Screen Information, Trader Activity and Bid-Ask Spreads in a Limit Order Market
- Quote Setting and Price Formation in an Order Driven Market
- Limit Orders, Depth and Volatility
