[youtube https://www.youtube.com/watch?v=CkkQkMlaZpc?rel=0]

Introduction: windows on the world Michael Lewis starts off by saying that the mental picture of stock market that most people away from Wall Street carry has changed dramatically over the last decade. He claims that his intent of writing this book is to draw a picture that is the new reality of U.S markets. Hidden in plain sight Only Michael Lewis can take a “laying a fiber optic cable” story and make it in to a page turner.

[youtube https://www.youtube.com/watch?v=z2qWcDmZAyQ?rel=0]

Joel Hasbrouck (NYU) has written a concise teaching note that serves as a primer to securities markets trading protocols. The document is ~100 pages and gives a 10,000 ft. view of rules for U.S securities markets. Here are some points from the teaching note: Informed trading works like a tax on uninformed traders A sequential trade model to hypothesize the behavior of informed, uninformed and passive traders

The following two papers analyze the scaling property of index returns and individual stock returns : Scaling of the distribution of fluctuations of financial market indices Scaling of the distribution of price fluctuations of individual companies In this post, I will briefly summarize the main contents of the papers. Scaling of the distribution of fluctuations of financial market indices : It is well known that index returns and stock return distributions observed in reality are far from Gaussian.