When I was a student in the 1980s, all top science students wanted to break into the engineering or medical schools. Those who chose to major math/physics were laughed by their peers. Now, everyone want to be a quant. Many engineers become idiots!
Wow, pardon me, but that is pretty d*mn stupid. How could you not notice the strong similiarities between the hedge funds produced by the hype of the last few years (easily most hedge funds today) and mutual funds. It's the same scam, leech off investor money with fees no matter whether you win or lose. Don't confuse Medallion fund with most hedge funds. Just like with quality closed-end mutual funds, regular joe shmoe can't get into any fund that is great. Most mutual & hedge funds will take anyone, however.
However, the big differences are: 1) if a hedge fund loses money, they shut down, and 2) since they invest their own personal money, they lose even more. If a mutual fund loses money, they simply blame the stock market. And try to lobby to get hedge funds regulated.
There's a growing body of (academic) literature on the modelling of limit order books. One of the interesting and often referenced papers is "Econometric Models of Limit-Order Executions" authored by Andrew Lo of MIT (see paper nr. 31 at http://web.mit.edu/alo/www/articles.html). In this paper Lo et al. model the conditional distribution of limit-order execution times as a function of economic variables such as limit price, order size, and current market conditions, something that can be very useful for (high frequency) intraday trading.
I am skeptical about published papers/books. If it really can help you make money, they would not publish it. Jim Simons doesn't reveal anything about his method. There may be a few gems among those papers, but most of them are worthless in the real world.
I generally agree that only very few among the published papers contain descriptions of complete trading systems that are highly profitable. Even among the large crowd of academics, who only strive for (academic) fame and live for no other reason than conducting (groundbreaking) research and publishing their work (personally, I know a lot of these type of people among my friends), you'll be hard pressed to find somebody who is foolish enough to publish such kind of papers. However, many of the papers or books are devoted to more basic (sub) problems/topics and are part of research fields such as econometrics and statistics providing those among us who are focussed on developing the ultimate killer trading system/algorithm with valuable ideas, methods and directions to achieve our goals, in other words, they may provide us with (small) pieces of the puzzle. This is also my experience from working as a quant in which I must have read hundreds of (mostly academic) papers.
Have you developed any trading system derived from math models introduced in those papers? My strategy is based on traditional TA, which doesn't use high math. Although I'm a math major, I haven't touch math since I left school. It's a intimidating task for me to brush up my old math and dig into those papers.
I have used bits and pieces from a number of, lets say, more mathematically inclined papers, marrying them with elements from conventional technical analysis to develop trading systems. Usually, I stay away from papers that seem too esoteric, i.e. those containing theorems after theorems, including their proofs, and targeting a very limited crowd/cult of specialists.