Price is the most visible signal produced by competition and interaction among a complex ecology of entities in a system called financial markets. This thesis deals with statistical analysis and model identification based on such signals. We approach this problem at various levels of...

In many studies of market microstructure, theoretical analysis quickly becomes in tractable for all but the simplest stylized models. This thesis considers two alternative approaches, namely, the use of experiments with human subjects and simulations with intelligent agents, to address some of...