Here’s some bad stuff. http://www.cnbc.com/id/
And here’s a related but different topic that’s been bugging me. I do not understand how co-movement happens. Let’s say you are scalping FAS. Suddenly with no warning there is a sudden drop – which comes back up in two minutes. They call these drops “market maker stop sweeps”. Stops get hit - or the scalper gets scared and sells – and either way the market maker can buy the stock cheaply. OK – that’s probably true. Trouble is – the drop will happen through out the market at exactly the same time. Are all those market makers on the phone with each other coordinating the sweeps? Not a likely explanation. So what is the explanation? I wonder if anybody knows. I googled “co-movement” looking for academic papers. But it was all about longer term co-movement – not second by second.