I am spending more and more of my study time reading scholarly research on market microstructure. I was first drawn to this area of research by listening to Gary Norden, and that has heavily shaped my view of markets. There are many claims in the trading world, and few of them are backed up by empirical research. The study of market microstructure is the one place I have found empirical evidence relevant to day trading futures. Many in the trading world contend that such study is pointless because trading algorithms dominate this domain. It may be true that it's hard to use the most straight forward applications of this information, but I have still found it to be an extremely worthwhile pursuit.
The study of market microstructure has provided answers with compelling empirical evidence to many of the most fundamental questions about how markets work. Without these key insights many retail traders pursue dead ends.
There have been attempts to start such threads in the past, but they didn't get far. It is a large and complicated area of study that I feel is too big to tackle all on your own. So I will be using this thread to share some of the research that is out there, and the insights we can gain from them. When I see discussion on the forum that I think market microstructure can answer I will try to address them here. And yes there will be math.