Summa Management
Summa Management
Documents

Below is a hyperlinks selection from the several thousand practitioner, academic, and government documents and websites that we have reviewed in the course of our R&D. These articles are arranged by the following areas of interest and are listed alphabetically by title within each area:

DERIVATIVES
EARNINGS AND GUIDANCE
EXECUTION
FORECASTING
HEDGE FUNDS
MARKET BEHAVIOR
MARKET DATA
MARKET STRUCTURE & MICROSTRUCTURE
OTHER
NEWS
RULES & REGULATIONS
SECURITIES CLASSIFICATION SYSTEMS
SENTIMENT ANALYSIS
TECHNICAL ANALYSIS
TRADING VENUES & BROKERS
DERIVATIVES
An Approximate Formula for Pricing American Options (Ju, Zhong, 1999)
Closed Form Valuation of American Options (Bjerksund, Stensland, 2002)
Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (Bollen,
Whaley, 2004)
Facts and Fantasies About Commodity Futures (Gorton, Rouwenhorst, 2005)
Futures Contracts (Evans, 2015)
Goldman, BofA and Morgan Stanley are Top U.S. Equity Derivative Brokers (D’Antona Jr., 2014)
Inventories, Not Other Markets, Drive Commodities (Krishnan, 2007)
Options – Should You Buy or Write? (Allen, 2014)
Options – Up, down, Sideways, and Diagonal (Russ Allen, 2014)
Picturing Option Profits to Make Money in the Stock Market – Part 2 (Russ Allen, 2014)
Picturing Option Profits to Make Money in the Stock Market – Part 3 (Russ Allen, 2014)
Picturing Option Profits to Make Money in the Stock Market – Part 4 (Russ Allen, 2014)
Picturing Option Profits to Make Money in the Stock Market – Part 5 (Russ Allen, 2014)
Picturing Option Profits to Make Money in the Stock Market (Russ Allen, 2014)
Pinning and Maximum Pain in the Options Market (Russ Allen, 2015)
Put and Call Options (Evans, 2015)
Stock Illiquidity, Option Prices, and Option Returns (Kanne, Korn, Uhrig-Homburg, 2015)
The Pricing of Options and Corporate Liabilities (Black, Scholes, 1973)
The Volatility Smile and Its Implied Tree (Derman, Kani, 1994)
Uptick in Volatility Propels U.S. Listed Options Volume to 4.3B in 2014, Tabb Says (D’Antona Jr., 2015)

EARNINGS AND GUIDANCE
Conflict in Whispers and Analyst Forecasts:
Do Bulls and Bears Listen to Whispers? (Zaima, Harjoto, 2007)
Evidence that Stock Prices Do Not Fully Reflect the Implications of Current Earnings for Future Earnings (Bernard, Thomas, 1990)
I/B/E/S Summary History User Guide: A Guide to the I/B/E/S Summary Level Historical Earnings Estimate Database (2009)
NIRI White Paper: Guidance Practices (2014)
Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (Bernard, Thomas, 1989)
Standards of Practice for Investor Relations Earnings Release Content (2013)
Stock Price Reactions to Earnings Announcements (Bernard, 1992)
The Relative Accuracy of Analysts’ Published Forecasts Versus Whisper Forecasts Surrounding the Adoption of Regulation FD (Lynn, Adut, 2005)
Thomson Financial: Estimates Glossary: A Guide to Understanding the Terms and Conventions of the First Call and I/B/E/S Estimates Databases (2008)
Which One Should Be Your Guide? (Zaima, Harjoto, 2005)
Whisper forecasts of earnings per share: Is anyone still listening? (Brown, Fernando, 2011)
Whisper forecasts of quarterly earnings per share (Bagnoli, Beneish, Watts, 1999)
EXECUTION
‘Trade-Through’ Opens Market-Structure Dialogue
5 Compelling Reasons to Use Tick Charts
50 Shades of Compliance (Weisberger, 2015)
A Tale of Two Stories – How Two Events Have Impacted Market Structure (Weisberger, 2015)
After-Hours Trading: Understanding the Risks (SEC)
Algo Update: DASHing Towards Transparency (D’Antona Jr., 2015)
Algo Update: Neonet’s Capture Grabs Liquidity Anywhere (D’Antona Jr., 2015)
Algorithmic Trading and Direct Market Access
Alternative Execution (Siokos, Citigroup, 2006)
An In-DepthLook at Exchange Order Types (Rosenblatt, 2013)
An Introduction to Real-Time Stock Market Data Processing (Francis, 2013)
Analysis: Dark Pools and Best Execution (2015)
Are “Pinging” and “Front Running” Legal? One CFTC Exec Says No (D’Antona Jr., 2015)
Automated Trading System
BATS Files Market Structure Reform Petition with SEC (D’Antona Jr., 2015)
BATS Order Books, Order Routing
BATS Routing Strategies
Best Execution (TAG)
Best Execution Magazine – Derivatives Focus (2016)
Best Execution Magazine – Equities Focus (2016)
Best Execution Magazine – Post Trade Focus (2016)
Best Execution: Defining Best Execution in an Increasingly Complex Trading Environment (2010)
Bloomberg Connectivity and Gateway Integration
Bloomberg Trading Solutions
Bloomberg Trading Solutions Connectivity and Integration
BoAML Hires Nearly Two Dozen for U.S and U.K Equities Groups (D’Antona Jr.,2015)
Central Limit Order Book
Citi Launches Futures Trading on Citi Velocity System (D’Antona Jr., 2015)
Clearpool Launches New Iris Trading Technology to Help Traders’ Fill Rates (D’Antona Jr., 2015)
Combining Quote-Driven and Order-Driven Trading Systems in Next-Generation Stock Markets (Schwartz, Weber, 1997)
Connecting to New Markets: Eight Costliest Network Mistakes (Loveless,, 2015)
Constant Rate of Participation (Gueant, 2013)
Convergex: Electronic Market Coverage
Convergex: Sample Reporting Catalog
Cowen Announces CLEAN SEEK Algorithm Targeting Predatory Traders (D’Antona Jr., 2014)
Credit Suisse Advanced Execution Services (AES)
Credit Suisse AES Monthly Chartbook (CS Europe, 2014)
Credit Suisse Market Commentary on Odd Lot (Ab)users
Deutsche Asset & Wealth Management’s Mike Bellaro Overhauled His Trading Desk. Here’s How. (Albinus, 2015)
Direct Access Route Comparison (Schwab)
Direct Estimation of Equity Market Impact (Almgren, Thum, Hauptmann, Li, 2005)
DMA (Direct Market Access) (Fourex Brokers)
DMA Providers on the London Stock Exchange
Does Exchange Fragmentation Really Hurt the Equity Market? (Weisberger, 2014)
Electronic Trading
Electronic Trading 2.0 (Mangano, 2014)
Electronic Trading: The Nasdaq Vs. The NYSE
Everybody into the Pool: Dark Pools Can Benefit Traders and Investors
Execution and Block Trade Pricing with Optimal
Eze Software Adds Actionable IOIs and Other Features to Latest EMS Version (D’Antona Jr., 2015)
Fidelity – Trading Stocks
Fidessa Group plc
FINRA Names Kurtas as Head of Office of Advanced Data Analytics, D’Antona Jr., 2015)
FINRA Qualification Exams (FINRA)
FINRA Registration and Examination Requirements (FINRA, 2014)
Flash Boys Welcome: World Exchanges Woo High-Frequency Firms (Mamudi, et al., 2015)
Flash Crash One Year Later: Where’s the CAT?
Four Dangerous Myths about Best Execution (Lee, 2015)
FundSeeder
High Frequency Trading: All You Need To Know (Durden, 2014)
Hosted Direct Market Access
How to Buy Canadian Stocks
Implementation Shortfall – One Objective, Many Algorithms (ITG Inc., 2005)
Important Reminder: Prohibited Trading Practices Relating to Odd-Lot and Partial Round Lot Orders (2009)
Improving VWAP Strategies : A Dynamical Volume Approach (Bialkowski, Darolles, Le Fol, 2006)
Instinet’s Newport System Enters Broker OEMS Space (D’Antona Jr., 2014)
Intraday Price Change and Trading Volume Relations in the Stock and Stock Options Markets (Stephan, Whaley, 1990)
Is Rule 606 Broken? (Weisberger, 2015)
ITG Launches Server for U.S. – Canada Interlisted Stocks (D’Antona Jr., 2015)
KOR Group Best Execution Accreditation
Limit Order Book Models and Optimal Trading Strategies (Hoschler, 2011)
Low-Latency Trading (Hasbrouck, Saar, 2013)
Market Impact Measurement of a VWAP Trading Algorithm (Fraenkle, Rachev, Scherrer, 2011)
Market Statistics and Technical Analysis: The Role of Volume (Blume, Easley, O’Hara, 1994)
Merrill Lynch Institutional Sales
Midnight Trader Frequently Asked Questions
More traders bet on Asian markets (Direct Access, Volatility)
Morgan Stanley Prime Brokerage
NASDAQ Futures, Inc. (NFX) Off-Exchange Transactions Reference Guide (2015)
Natixix Product Catalog
News Traders (Harvey)
Ninety Percent of Institutions Use TCA to Find Alpha, Measure Trade Performance (D’Antona Jr., 2015)
NYSE Arca Smart Order Router
NYSE Moves to Prevent Abuses in Odd-Lot Trades
Odd Lot Fills – What do they tell you about your trading? (Marlin, 2013)
Odd Lot Trades Generate Controversy (2007)
Odd Lots -Another Weapon In The HFT Arsenal (2011)
Odd-Lot Dealer Definition (Financial Dictionary)
Odd-Lot Dealer Definition (Investor Words)
Odd-Lot Dealer Definition (NASDAQ)
Optimal Order Execution (Gatheral, 2011)
Optimizing Our Equity Market Structure (SEC, 2015)
Order Management Systems / Execution Management Systems (2007)
Order Type Overload (Chapman, 2013)
Practical Risk Analysis for Portfolio Managers and Traders (Madhavan, Yang, 2003)
Price, Trade Size, and Information in Securities Markets (Easley, O’Hara, 1987)
Quantitative Brokers Delivers Best Execution Algos Via REDIPlus
Quantitative Challenges in Algorithmic Execution (Almgran, 2009)
Quick Tips For Learning How to Buy Canadian Stocks
REDI Adds CLSA Americas to Multi-Broker Network (D’Antona Jr., 2015)
Relationship between Trading Volume and Security Prices and Returns (Sun, 2003)
Rosenblatt Surveys HFTs, Publishes Findings (D’Antona Jr., 2014)
Rosenblatt’s Let There Be Light, Monthly Dark Liquidity Tracker
Rosenblatt’s Monthly ETP Review (2015)
RTS Connectivity and Hosting
S3 Matching Technologies
SEC Announces Charges Against Wedbush Securities and Two Officials for Market Access Violations (SEC, ,2014)
SEC Announces Members of New Equity Market Structure Advisory Committee (SEC, 2015)
SEC Rule 606 Report – Goldman Sachs
SEC Rule 606 Report – Interactive Brokers
SEC Rule 606 Report – KCG
SEC Rule 606 Report – Liquidnet
SEC Rule 606 Report – Morgan Stanley
SEC Rule 606 Report – SunGard
SEC Rule 606 Report – TD Ameritrade
SEC Rule 606 Report – Tradestation
SEC Rule 606 Reports through VistaOne
SEC Set to Begin Debate on Order Protection Rule on May 13 (D’Antona Jr., 2015)
SEC to Hold Equity Market Structure Advisory Committee Meeting on October 27 (SEC, 2015)
SEC: Closing Price
SEC’S Stein Says Audit Trail Not Coming Anytime Soon (D’Antona Jr., 2015)
Sellside Order Management Systems – An Overview (Traders Magazine)
Series 55 – Exam Prep for the FINRA Series 55 Exam (securitiesce.com)
Series 62 – Exam Prep for the FINRA Series 62 Exam (securitiesce.com)
Special Study: Electronic Communication Networks and After-Hours Trading (SEC)
STA Market Structure Conference
Straight-Through Processing
SunGard Fox River Broker-Dealer Trade Execution Brochure
SunGard Fox River Trading and Connectivity
Surveying the HFT Community (Rosenblatt, 2014)
SXP Settles Quantlab Code-Theft Claim as Founders Go On Trial (Calkins, 2015)
Technical Analysis of Stocks & Commodities 2015 Readers’ Choice Awards
The Algo of Choice in Tough Times: The Human Equation (Cooper)
The Components of the Bid-Ask Spread: A General Approach (Huang, Stoll, 1997)
The Grand Bargain (Weisberger, 2015)
The HFT Believer: Mark Gorton of Tower Research (Albinus, 2015)
The Hidden Cost of Trading at the Close (Cushing, Madhavan, 2001)
The Market impact of large trading orders: Correlated Order Flow, Asymmetric Liquidity and Efficient Prices (Farmer, Gerig, Lillo, Waelbroeck, 2007)
The Past and Future of TCA and Best Execution (Domowitz, 2011)
The Trades of NYSE Floor Brokers (Sofianos, Werner, 1997)
Thematic Alpha Streams Improve Performance of Equity Portfolios (RavenPack, 2015)
This is how much a Bloomberg terminal costs (Seward, 2013)
TI Helps Buyside Avoid Predatory Traders with New Trade Routing Analysis (D’Antona Jr., 2015)
TMX Datalinx to Distribute WSH Earnings and Event Data Products (D’Antona Jr., 2015)
Top 2014 Trends: Fewer Algos but More Customization (D’Antona Jr., 2014)
Trade Execution: What Every Investor Should Know (SEC)
Traders Can Now Access European Equities via Sterling Trader System
Trading Costs and the Relative Rates of Price Discovery in Stock, Futures, and Option Markets (Fleming, Ostdiek, Whaley, 1996)
Trading Systems Guide 2015
Trading Volume, Information Asymmetry, and Timing Information (Chae, 2005)
Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory (Lo, Wang, 2000)
Types of Stock Orders and Order Routing (Evans, 2015)
Understanding Order Execution
Virtu Celebrates Another Year Without a Single Day of Losses (Mamudi, Picker, 2015)
Walls Between High- and Low-Touch Traders Begin to Crumble (D’Antona Jr., 2015)
What is an “Odd Lot” in stocks?
What is Best Execution? (Safarik, 2007)
What’s Not There: The Odd-Lot Bias in TAQ Data (O’Hara, et al., 2012)
What’s the difference between a Nasdaq market maker and a NYSE specialist?
FORECASTING
An Overview of Forecasting Methodology (Walonick, 1993)
Forecasting Theory (Jensen, 2004)
Forecasting Volatility in Financial Markets: A Review (Poon, Granger, 2003)
StarMine Analyst Revision Model (Thomson Reuters)
StarMine Earnings Quality Model (Thomson Reuters)
StarMine Intrinsic Value Model (Thomson Reuters)
HEDGE FUNDS
All Hail Ken Griffin, the New Hedge Fund King (Delevingne, 2015)
BattleFin Diary: Inside the Hedge Fund Hunger Games (Fligg, 2015)
FatKat, Financial Accelerating Transactions from Kurzweil Adaptive Technologies
Hedge Funds Gear Up for Another Big Short (Copeland, 2015)
Redline Ticker Now Supplies Bloomberg Data Feed (D’Antona Jr., 2015)
SEC Filings for Renaissance Fund
SEC Filings for SAC Capital Advisors LP
SEC Filings for Soros Fund Management LLC
Shareholder’s Square Table
Tech Firm Serving Hedge Funds Shows Perils in Money-Losing IPOs (Weinberg, 2015)
The Bottom Line by Carl Icahn
What’s Carl Icahn Buying? (Kimelman, 2014)
MARKET BEHAVIOR
A Note on Price Limit Performance: The Case of Illiquid Stocks (Chen, Kim, Rui, 2005)
A Supply and Demand Model for Stocks (Evans 2015)
A Theory of Intraday Patterns: Volume and Price Variability (Admati, Pfleiderer, 1998)
A. Gary Shilling
Aggressive HFT and Institutional Trading Activity – Who Leads Market Crashes? (Krawclw, Aldridge, 2015)
An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (Biais, Hillion, Spatt, 1995)
Are Monthly Seasonals Real? A Three Century Perspective (Jacobsen, Zhang, 2012)
Are Seasonal Anomalies Real? A Ninety-Year Perspective (Lakonishok, Smidt, 1989)
Bad News: Even after Panic, Stocks Aren’t Cheap (Rosenberg, 2015)
Berkeley Lab Computational Research – CIFT
Best marijuana stocks to buy now (Willard, 2014)
Bill Gross’s ‘Short of a Lifetime’ Would Mean Armageddon (Gilbert, 2015)
Can You Really Beat the Market? (Tepper, Harvey, 2015)
Disentangling Equity Return Regularities (Jacobs, Levy, 1988)
Do industries lead stock markets? (Hong, Torous, Valkanov, 2005)
Dynamics of Limit Order Markets – A Journey Across Time Scales (Kont, Larrard, 2011)
Economic News and the Yield Curve: Evidence from the U.S. Treasury Market (Balduzzi, Elton, Green, 1999)
El-Erian: Stocks have a lot lower to go from here (DiChristopher, 2015)
Goldman Gives Very Simple Explanation For Why The Market Could Keep Going Down (Weisenthal, 2014)
Goldman Sachs Expects the Stock Market to Follow a Very Specific Path in 2015 (Upland, 2015)
Gone Fishin’: Seasonality in Trading Activity and Asset Prices (Hong, Yu, 2008)
HFT Treasury Trading Hurts Market When News Is Released (Leising, 2014)
High-Frequency Trading and Price Discovery (Brogaard, 2014)
Historical Stock Market Performance (Evans, 2015)
Intraday Linkages Across International Equity Markets (Harju, Hussain, 2006)
Intraday Seasonalities and Macroeconomic News Announcements (Harju, Hussain, 2006)
Investor Psychology and Security Market Under- and Overreactions (Daniel, Hirshleifer, Subrahmanyam, 1998)
It’s a Bull Market for Speed Trader Virtu as Greece Roils Stocks (Regan, 2015)
Lead Lag Relationships between Futures and Spot Prices (Asche, Guttormsen, 2002)
Limit Order Trading (Handa, Schwartz, 1994)
Market Structure Analytics
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (Andersen, Bollerslev, Diebold, Vega, 2003)
MIDAS Market Information Data Analytics System (SEC)
Nasdaq Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs (Christie, Corwin, Harris, 2002)
Noise (Black, 1986)
Order Flow and Prices (Boehmer, Wu, 2007)
Order Submission Strategies and Information: Empirical Evidence from the NYSE (Beber, Caglio, 2005)
Price Discovery
Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve (Brandt, et al., 2005)
Price Fluctuations from the Order Book Perspective – Empirical Facts and a Simple Model (Maslov, Mills, 2001)
Proof that Properly Anticipated Prices Fluctuate Randomly (Samuelson, 1965)
Rare Events Analysis for High-Frequency Equity Data (Bozdog, Florescu, Khashanah, Wang, 2011)
Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets (Andersen, et al., 2006)
Slow Price Adjustment to Public News in After-Hours Trading (Li, 2016)
Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test (Low, MacKinlay, 1988)
Stock Price Clustering and Discreteness (Harris, 1991)
The Adjustment of Stock Prices to New Information (Fama, Fisher, Jensen, Roll, 1969)
The Behavior of Stock-Market Prices (Fama, 1965)
The Origin of Predictable Behavior (Heiner, 1983)
The Three Seismic Shifts That Are Shaking Up the World of Energy (Kennedy, 2015)
Traders’ Choice between Limit and Market Orders: Evidence from NYSE Stocks (Bae, Jang, Park, 2003)
Trading Mechanisms and Stock Returns: An Empirical Investigation (Amihud, Mendelson, 1987)
Trading Mechanisms and Stock Returns: An Empirical Investigation (Aamihud, Mendelson, 1987)
What Explains the Stock Market’s Reaction to the Federal Reserve Policy? (Bernanke, Kuttner, 2004)
What Moves the Bond Market (Fleming, Remolona, 1997)
What Pieces of Limit Order Book Information Matter in Explaining Order Choice by Patient and Impatient Traders? (Pascual, Veredas, 2008)
What really causes large price changes? (Farmer, Gillemot, Lillo, Mike, Sen, 2004)
Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (Christie, Schultz, 1994)
Why do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (Madhavan, Richardson, Roomans, 1997)
World’s Biggest Oil Trader Warns Crude Prices Could Dive Again (Smith, Rudnitsky, 2015)
MARKET DATA
After Hours Most Active (NASDAQ)
Analyzing an Electronic Limit Order Book (Kane, Liu, Nguyen, 2011)
Arca Web Book (NYSE Arca)
Barchart App Provides Data for Stocks, Futures and Forex in Single Place (D’Antona Jr., 2014)
CME Globex Brochure
CME Globex Reference Guide
Does the Open Limit Order Book Reveal Information About Short-run Stock Price Movements? (Hellstrom, Simonsen, 2006)
DTN.IQ Features
Exegy and IEX Prepare Launch of TOPS Data Feed (D’Antona Jr., 2015)
Exegy Brings FX Feed Handlers to Market (D’Antona Jr., 2015)
Exegy Feed Handler
Exegy Feed Handler Taps Bloomberg (D’Antona Jr., 2011)
Exegy Upgrades Its Virtual OrderBook, Options Direct Feeds (D’Antona Jr., 2014)
High-Frequency Data Filtering (Falkenberry, 2002)
IEX Makes Displayed Order Book Data Public on Its Website (D’Antona Jr., 2015)
InfoDyne Provides Consolidated Order Book Server Combining NASDAQ & ECN Depth of Book (PR Newswire, 2008)
Interactive Data Launches Continuous Pricing Service for Bonds (D’Antona Jr., 2014)
Market Data Products (BATS)
MarketAxess
Markit Financial Information Services
NASDAQ BookViewer 3.0 User Guide
NASDAQ BookViewer Overview (NASDAQ)
Nasdaq Gives Traders a Peek at IPO Order Book (D’Antona Jr., 2015)
Nasdaq to Provide SMARTS Broker Technology to Kyte (D’Antona Jr., 2014)
NASDAQ TotalView-ITCH 4.1
NASDAQ TotalView-ITCH 5.0
NASDAQ U.S. Equities Data Feeds
National Quotation Bureau
NYSE OPENBOOK Ultra Client Specification
NYSE OpenBook Ultra Overview (NYSE)
NYSE PDP Market Data Pricing (2016)
QuoteMedia Capabilities
Quotestream Professional
Rosenblatt’s Market Structure Analysis – US Securities Volumes (2015)
Studies of the Limit Order Book Around Large Price Changes (Toth, et al., 2009)
The Informational Content of an Open Limit Order Book (Cao, Hansch, Wang, 2003)
Trim Tabs Investment Research
MARKET STRUCTURE & MICROSTRUCTURE
A Review of Stock Market Microstructure (SIRCA, Comerton-Forde, Rydge, 2004)
BATS Order Type Guide
DirectEdge Order Type Guide
Equity Market Structure Literature Review Part I: Market Fragmentation (SEC 2013)
Equity Market Structure Literature Review Part II: High Frequency Trading (SEC, 2014)
FINRA: ATS OATS and Trade Reporting Guidance
How NASDAQ’s Opening and Closing Cross Works (Brain, 2007)
Market Microstructure (Stoll, 2001)
Market Microstructure: A Survey (Madhavan, 2000)
Market Microstructure: A Practitioner’s Guide (Madhavan, 2002)
NASDAQ Initial Listing Guide
NASDAQ Rules
NYSE Arca Auctions
NYSE Open and Closing Auctions
NYSE Rules
Rosenblatt’s Market Structure and Exchange Analysis – Canadian Trading Monthly (2015)
Rosenblatt’s Market Structure News Digest – Exchanges and Trading Venues (European Edition) (2015)
Rosenblatt’s Market Structure News Digest – Global Exchanges and Market Centers (2015)
Rules of BATS Exchange, Inc.
Securities Trading: Procedures and Principles Draft Teaching Notes (Hasbrouck, 2016)
The Microstructure of a US Treasury ECN: The BrokerTec Platform (Fleming, Mizrach, 2009)
The Microstructure of Stock Markets (Biais, Glosten, Spatt, 2002)
The New York Stock Exchange Systems and Trading Procedures (Hasebrouck, et al., 1993)
The Structure of the US Equity Markets (Blume, 2002)
Understanding the Special Opening Quotation (CME Group, 2014)
Wiley Series 55 Exam Review: Market Maker Responsibilities and Trade Reporting
NEWS
Acquire Media Capabilities
AcquireMedia: Harness the Impact of News Events Using Taxonomies to Pinpoint Critical Information
Business Wire National Distribution List
Compuware Agrees to $2.5 Billion Buyout (Gelles, 2014)
Comtex News Network
Contagious Speculation and a Cure for Cancer: A Nonevent That Made Stock Prices Soar (Huberman, Regev, 2001)
Cramer: I Was Wrong—Run Far Away from this Stock (Cramer, 2015)
Event Driven Trading and the “New News” (Leinweber, Sisk, 2011)
FDA Approves Merck’s New-Wave Cancer Drug (Loftus, 2014)
Haver Analytics
Here’s Carl Icahn’s Letter To Tim Cook Saying He Wants Apple To Buy Back $150 Billion In Stock Immediately (Lopez, 2013)
Jos. A. Bank Sales Are Crashing After the Retailer Killed the Main Reason Men Shopped There (Schlossberg, 2015)
M&A Insider (StreetInsider)
Moneybeat Deals of the Day
MT Newswires LiveBriefs Pro Brochure
New Analyst Biotech Stocks to Buy With Gigantic Implied Upside (Jackson, 2014)
NYSE Section 2 Disclosure and Reporting Material Information
Pew Research Center – The State of the News Media
Pew Research Center – The State of the News Media 2015 (Mitchell)
Relegence
Relegence Announces Availability of FirstTrack(TM) Intelligence Automation Solution (2003)
SEC Final Rule: Selective Disclosure and Insider Trading (2000)
SEC Form 8-K
Short Sellers Pounce on Pollo Loco (Scaggs, 2014)
Stock Price Reaction to News and No-News: Drift and Reversal After Headlines (Chan, 2001)
The Changing TV News Landscape (Jurowitz, et al., 2013)
Thomson Reuters Machine Readable News: Get an Edge with Ultra-Low Latency News and Company Announcements (2015)
Thomson Reuters Machine-Readable News Overview (2013)
Wall Street Horizon and AP Team Up for Hyper Fast News Delivery (D’Antona Jr., 2015)
OTHER
10 best-performing S&P 500 stocks of 2016 (Van Doorn, 2016)
Allston Accused by HFT Rival of Manipulating CME Prices (Leising, Kishan, 2014)
Almost Everything You Know About Investing Is Wrong (Solin, 2015)
An Introduction to Neural Networks (2004)
Digital Privacy Black Paper (Sovereign Man)
Economic Principles (Dalio, 2015)
Euro Money Market Study (European Central Bank, 2014)
Euro Money Market Survey (European Central Bank, 2013)
FX: Once Burned, Twice Shy (Daly, 2014)
How Did Einstein Think? (Norton, 2007)
International Center for Finance
Introduction to Financial Markets and Instruments (Evans, 2015)
Introduction to the World of Stocks (Equities) (Evans, 2015)
Man Vs. Machine: ECNs, ATS, HFTs—Who the Players Are (Pisani, 2010)
Pristine Trading
Reserve Currency
Standard Deviation
Standard Deviation and Variance
Stock FAQs: IPOs (Fidelity)
Strategas
The FX Disruptors: Why Russell Investments Built a Buyside FX Platform (Caruthers, 2015)
The Rich Get Richer as Stock Buybacks Surge (Cox, 2014)
Wall Street Is About To Start Bleeding Traders (Lopez, 2014)
When Best Buy Fails, This Is How It Will Happen (Maxfield, 2014)
RULES & REGULATIONS
Speech by SEC Staff: Regulation FD – An Enforcement Perspective (2000)
“Momentum Ignition” – The Market’s Parasitic ‘Stop Hunt’ Phenomenon Explained (Durden, 2012)
29th Annual Report of the Securities and Exchange Commission (SEC, 1963)
AES Analysis – Classifying Dark Counterparties (Credit Suisse, 2012)
Canadian Securities Exchange – Notice 2014-005 Notice & Request for Comments Changes to Odd Lot Matching
CME Fined Trader $55,000 for ‘Spoofing’ Treasury Futures (Louis, 2015)
CME Fines 3 Traders Over Gold, Gas Spoofing (Germaine, 2016)
CME Rulebook
Comment: Give Investors Top Priority in Stock Markets (Noll, 2015)
Convergex: The Pickard Washington Report on Regulation of the Financial Markets
Credit Suisse AES U.S. Order Handling Guidelines (2015)
Credit Suisse Releases Crossfinder Form ATS (D’Antona Jr., 2014)
Current Market Regulation Advisory Notices (MRANs)
Dark Pools Face SEC Plan to Shine Light on Their Operations (Michaels, 2015)
Detection of Potential Abusive Trading Behavior in Electronic Markets (Co, et al., 2015)
FCA Handbook (Financial Conduct Authority)
FINRA Corporate Securities Qualification Examination (Test Series 62) Study Outline
FINRA Equity Trader Qualification Examination (Series 55) Content Outline
FINRA Order Audit Trail System (OATS) (FINRA)
FINRA Prohibition Against Trading Ahead of Customer Orders (Trade-Through Rule)
FINRA Requires ATS to Report Trade Data (D’Antona Jr., 2014)
Four Things You Need to Know About MiFID II (Almqvist, 2015)
Frequently Asked Questions about Regulation FD (Thomsen, 2010)
How Many of these Expert Networks Are Being Investigated by the Feds? (Lubin, 2010)
India Might Seek to Curb HFT and Algorithmic Trading (D’Antona Jr., 2015)
Insider Trading and the Stock Market (Manne, 1966)
ITG Will Pay $20.3 Million Settlement For Secret Trading Desk (Albinus, 2015)
Layering (finance) (Wikipedia)
Manual of Publicly Available Telephone Interpretations (SEC, 2000)
MAR 1.6 Market Abuse (manipulating transactions) (FCA)
Market Regulation Advisory Notice on Disruptive Practices (CME, 2015)
Measuring closing price manipulation (Comerton-Forde, Putniņš, 2011)
National Market System
NYSE ARCA Rules
NYSE Listed Company Manual
NYSE Listed Company Manual – Minimum Numerical Standards for Non-U.S. Companies Equity Listings
NYSE Listed Company Manual – Notice and Filings with the Exchange
NYSE Listed Company Manual – Procedures for Public Release of Information; Trading Halts
NYSE Listed Company Manual – Products and Services Available to Issuers
NYSE Listed Company Manual – Section 6 Agencies, Depositories, Trustees
NYSE Listed Company Manual – Sponsored American Depository Receipts or Shares (“ADRs”)
NYSE Listed Company Manual – What’s New
NYSE Odd-Lot Order Requirements (2007)
NYSE Proposes Market Overhaul in Bargain With Dark Pools (Mamudi, 2014)
NYSE Regulation (NYSE)
NYSE Rules
NYSE Rules and Interpretations (NYSE Mkt)
OTC Newsletter – Odd Lot Trades Get Reported to the Consolidated Tape (OTC Markets, 2013)
Over-the-Counter
Regulating Merchants of Liquidity: Market Making from Crowded Floors to High-Frequency Trading (Dolgopolov, 2015)
Regulators Tie High-Speed Trading to Treasury Volatility (Katz, 2015)
Report of Special Study of Securities Markets (SEC, 1963)
Responses to Frequently Asked Questions Concerning Large Trader Reporting (SEC)
Rule Comments: SR-NASD-98-17 (SEC, 1998)
SEC Plans to Fix Flaw in Electronic Distribution System (Patterson, 2014)
SEC Proposes Significant Regulatory Changes for Alternative Trading Systems (Owens, et al., 2016)
SEC Regulation FD Interpretations (2001)
SEC Regulation NMS
SEC Regulation of Exchanges and Alternative Trading Systems (SEC, 1998)
SEC Responses to Frequently Asked Questions Concerning Rule 611 and Rule 610 of Regulation NMS (2008)
SEC Responses to Frequently Asked Questions Concerning Rule 611 and Rule 610 of Regulation NMS (SEC, 2008)
SEC Unanimously Votes HFT Firms Must Register with FINRA (Albinus, 2015)
Speech by SEC Staff: Regulation FD – An Enforcement Perspective (2000)
Speed Traders Now Have a Way to Cut Out Brokerages in Japan (Nakamura, Hasegawa, 2015)
The Trade-At Rule, Internalization, and Market Quality (Weaver, 2014)
Trade Reporting Frequently Asked Questions (FINRA)
U.S. Regulators Propose Rules to Shine Light on ‘Dark Pools’ (McCrank, 2015)
Virtu Starts Trading in China as Regulator Cracks Down on Algos (Detrixhe, Mamudi, 2015)
SECURITIES CLASSIFICATION SYSTEMS
Changes to Morningstar Global Equity Classification
Industry Classification, Redefined (by Revere, now FactSet)
Morningstar Global Equity Classification Structure
S&P Global Industry Classification Standard
SENTIMENT ANALYSIS
Descriptions of Inquirer Categories and Use of Inquirer Dictionaries
Deutsche Bank Thematic Report – Europe Sentiment Stock Selection Introducing the 3S
Deutsche Bank Thematic Report – Introducing the MIR (Salvini, Mesomeris, Avettand-Fenoel, Wang, 2011)
Enhancing Equity Trading Models with Corporate and Macro Sentiment Abnormality (Hafez, 2014)
Harvard IV Negative Word List
Incorporating Bidirectional Momentum Effects & Media Attention to Profitably Trade Linked Companies (Ramchandani, 2014)
J.P. Morgan – News Analytics – Can They Add Value to Your Quant Process? (J.P. Morgan Europe Equity Research, Dion, et al., 2011)
Loughran and McDonald Sentiment Word List Master Dictionary
Model (Deutsche Bank Quantitative Strategy, Avettand-Fenoel at al., 2012)
More Than Words: Quantifying Language to Measure Firms’ Fundamentals (Tetlock, et al., 2008)
News Articles and Momentum (Sinha, 2010)
On the Importance of Text Analysis for Stock Price Prediction (Lee, Sirdeanu, MacCartney, Jurafsky, 2014)
Textual Analysis – Bill McDonald’s Word Lists
Thomson Reuters News Analytics, Revolutionizing News Analysis (2010)
Thomson Reuters: Incorporating News Analytics into Quantitative Investment and Trading Strategies (Brown, 2010)
US Patent 20130138577 A1 Publication: Methods and systems for predicting market behavior based on news and sentiment analysis (Sisk, 2011)
When is a Liability not a Liability? Textual Analysis, Dictionaries, and 10-Ks (Loughran, McDonald, 2011)
TECHNICAL ANALYSIS
A Theory of Intraday Patterns: Volume and Price Variability (Ademati, Pfleiderer, 1988)
Advantages of Data-Based Intraday Charts (Folgeer)
An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (McInish, Wood, 1992)
Are You Trading Predictably? (Heston, et al., 2010)
DeMark Analytics
Forex forecasting (Wharton)
Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation (Lo, Mamaysky, Wang, 2000)
Great Technical Analysis Question (Seiden, 2014)
Identifying Noise Traders: The Head-and-Shoulders Pattern in U.S. Equities (Osler, 1998)
Methodical Madness: Technical Analysis and the Irrationality of Exchange- Rate Forecasts (Chang, Osler, 1999)
Momentum Trade Gives Evidence of Its Own Mortality: A Down Week (Hwang, 2015)
Reexamining the Profitability of Technical Analysis with Data Snooping Checks (Hsu, Kiuan, 2004)
Simple Logic for a Complex Trading Question (Seiden, 2014)
StarMine Price Momentum Model (Thomson Reuters)
Starmine Relative Valuation Model (Thomson Reuters)
StarMine Short Interest Model (Thomson Reuters)
Starmine Smart Holdings Model (Thomson Reuters)
Starmine SmartEstimates (Thomson Reuters)
Starmine Structural Credit Risk Model (Thomson Reuters)
Starmine Value-Momentum Model (Thomson Reuters)
Stay in the Trade Longer – Point and Figure Charting (Wendell, 2014)
Stay in the Trade Longer – Point and Figure Charting Part 2 (Wendell, 2014)
Stay in the Trade Longer – Point and Figure Charting Part 3 (Wendell, 2014)
Stock Market “Patterns” and Financial Analysis: Methodological Suggestions (Roberts, 1959)
Stupid Data Miner Tricks: Overfitting the S&P 500 (Leinweber, 1995)
The A-Z Guide to E-Mini Futures Trading (Daniels Trading)
Trading with the Trend (Seiden, 2014)
Trading with X Tick Charts: The Hidden Secret of Successful Traders
Up/Down Volume Ratio and Slope
TRADING VENUES & BROKERS
2009 Traders Magazine Special Report: Crossing Networks/ Dark Pools
50 Shades of Dark Pool (D’Antona Jr., 2013)
After Hour Trades
Asian Dark Pools Boom as Investors Seek to Hide Tracks (Gismatullin, 2015)
Can stocks be traded on more than one exchange, such as, for example, on both the Nasdaq and the NYSE?
Citadel LLC
Citadel Securities to Shut Down Apogee Dark Pool in U.S. (Dummett, Hope, 2015)
Convergex: Traders’ Guide to Global Equity Markets
Credit Suisse Plans to Sell U.S. Private Bank (Reuters/Segar, 2015)
Credit Suisse Plans Trader Profiles in Crossfinder Dark Pool (Mehta, 2011)
Credit Suisse’s Crossfinder Top Dark Pool During First FINRA Reporting Period (D’Antona Jr., 2014)
Crossing Networks and Dealer Markets: Competition and Performance (Hendershott, Mendelson, 2000)
Dark Pools Don’t Allow Market Makers to Profit Effortlessly (Weisberger, Montoya, 2015)
Dark Pools Still Popular, Despite Year of Regulatory Attention (Fahey, 2016)
Dark Side of the Pools: What Investors Should Learn from Regulators’ Actions
ECN Forex Brokers
ECNs/Exchanges
Electronic Communication Network (ECN) (Investopedia)
Electronic Communication Network (Wikipedia)
Electronic Market Coverage (Convergex)
Form ATS – Credit Suisse Crossfinder
Form ATS – Credit Suisse Light Pool
Form ATS – IEX Trading
Form ATS – Liquidnet
From crowd to cloud: The myth and magnitude of fragmentation in U.S. equities (SunGard, 2015)
I live in the U.S. How can I trade stocks in China and India? (Langager)
IEX Readies Application for Transition to Public Exchange (D’Antona Jr., 2015)
International Investing (SEC)
International Stock Trading (Fidelity)
Is There a Dark Pool Witch Hunt Going On? (Weisberger, 2015)
Issues Pending Suspension or Delisting (NASDAQ)
ITG Said in Talks to Buy Convergex for Brokerage Services (Monks, Mamudi, 2015)
KCG Rebrands and Relaunches its Dark Pool (D’Antona Jr., 2015)
Knight Capital Group
Lava Cools As Citi Exits ECN Business (Quast, 2014)
Markets: Exchange or Over-the-Counter (IMF) (Dodd)
NYSE Arca Equities
NYSE Arca Membership
NYSE Facts and Figures (NYSE)
NYSE Rules – Communication with the Public
NYSE Upgrades Its Technology Guts (Mamudi, 2015)
Order Types and Modifiers (NASDAQ)
OTC Markets
OTC Trading Description of Non-ATS OTC Trading in National Market System Stocks (Tuttle, 2014)
Over-the-Counter (Finance) (Wikipedia)
Over-the-Counter Market (SEC)
Pragma Trading
Prop Shop Says There is Linkage between Small Caps and Dark Liquidity (D’Antona Jr., 2015)
Pros And Cons Of Offshore Investing
REDI Grows Into Mature Startup – Part 1 (D’Antona Jr., 2015)
REDI Grows Into Mature Startup – Part 2 (D’Antona Jr., 2015)
Stock Exchanges (ISIN)
Stock Exchanges in Canada
Stocks Listed on Both American and Canadian Exchanges
Tales From The Dark Side – Part 1: The Transient Nature of Inflows (Viani, 2015)
Tales from the Dark Side Part 2: A-B-C or Always Be Crossing (Viani, 2015)
The New Stock Market: Sense and Nonsense (Fox, et al., 2015)
Then There Were Three (Chapman, 2013)
This Matters: Secondary Securities Markets
TMX Group
Triad Securities Sets Its Sights On Prime Brokerage (D’Antona Jr., 2015)
U.S. ATS/SDP Trading Volume Rises 16% in July, Hitting 35% of Total Off- Exchange Volume (D’Antona Jr., 2015)
UBS ATS FAQs (2015)
World Federation of Exchanges Annual Report and Statistics (2010)
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