Papers I’ve read closely enough to implement and stress-test myself.
The Price Impact of Order Book Events
Implemented Cont, Kukanov & Stoikov's 2010 order-flow paper from scratch on four years of SOXL tick data — 23 million one-second bars — and reproduced its headline result: R² ≈ 0.67, positive on all 1,000 trading days. Then spent weeks proving the signal never survives the spread — six strategies, taker and maker, every one dead. A measured study of the difference between a signal and an edge.