Scope: Anything from markets, securities and market structure. Covers global primary and secondary trading markets as well as trading, retail, and commercial securities. Links for Domestic Equity and Fixed income markets, Macro Investing, Market summaries, and quarterly reviews.
Regulatory: SIFMA, CFTC, ISDA, FDIC, BIS, …
- Market implied term structure of econometric data
- Market correlation of market and econometric data for simulation
- Retail cashflow model dependency on market data
Good markets references are difficult to come by.
Fama, E. F. (2017). The Fama Portolio.
Guo, x., Lai, T., Shek, H., & Wong, S. (2016). Quantitative Trading: Algorithms, Analytics, Data, Models< optimization. Chapman and Hall.
Hasbrouck, J. (2007). Empirical Market Microstructure. UK: Oxford University Press.
Lewis, M. Flashboys.
Lowenstein, R. When Genius Failed.
O’Hara, M. Market Microstructure Theory. Cambridge , MA: Blackwell.
Patterson, S. Dark Pools.
Stignum, M., & Crescenzi, A. (2007). Stignum’s Money Market. McGraw-Hill company.