A continuous time econometric modelling framework for multivariate financial market event (or `transactions`) data is developed in which the model is specified via the vector stochastic intensity. This has the advantage that the conditioning sigma-field is updated continuously in time as new...

Using a stochastic sequential game in ergodic equilibrium, this paper models limit order book trading dynamics. It deduces investor surplus and some agents` strategies from depth`s stationarity, while bypassing altogether agents` intricate forecasting problems. Market inefficiency adjusts to...

A continuous time econometric modelling framework for multivariate market event (or transactions) data is developed in which the model is specified via the vector stochastic intensity. This has the advantage that the conditioning sigma-field is updated continuously in time as new information...

For financial assets whose best quotes almost always change by jumping by the market`s price tick size (one cent, five cents, etc.), this paper proposes an estimator of Quadratic Variation which controls for microstructure effects. It measures the prevalence of alternations, where quotes jump...

Financial assets` quoted prices normally change through frequent revisions, or jumps. For markets where quotes are almost always revised by the minimum price tick, this paper proposes a new estimator of Quadratic Variation which is robust to microstructure effects. It compares the number of...

This paper models limit order books where each trader is uncertain of the underlying distribution in the asset`s value to others. If this uncertainty is rapidly resolved, fleeting limit orders are submitted and quickly cancelled. This enhances liquidity supply, but leaves intact established...

We study price formation in securities markets, using the sequential trade framework of Glosten and Milgrom [7]. This paper makes one basic methodological advance over previous research on sequential securities trading: we allow traders to choose from n trade sizes in a multi-period market,...

In real-life, individuals are often assigned to binary treatments according to existing treatment protocols.  Such protocols, when designed with “taste-based†motives, would be productively inefficient in that the expected returns to treatment for the marginal treatment recipient...

Partial mean processes with generated regressors arise in several important econometric problems, such as the distribution of potential outcomes with continuous treatments and the quantile structural function in a nonseparable triangular model.  This paper proposes a fully nonparametric...

This study analyses behaviour of women community based organisations in two districts in Nepal in reducing prevalence of child malnutrition in member households. Our survey focused on three sets of women organisations: those that receive intensive external support are compared with those that...