We develop a sequential trade model of Iceberg order execution in a limit order book. The Iceberg-trader has the freedom to expose his trading intentions or (partially) shield the true order size against other market participants. Order exposure can cause drastic market reactions (“market...

At least since [1], a broad class of multiple comparison procedures, so-called simultaneous test procedures (STPs), is established in the statistical literature. Elements of an STP are a testing family, consisting of a set of null hypotheses and corresponding test statistics, and a common...

Stock picking is the field of financial analysis that is of particular interest for many professional investors and researchers. In this study stock picking is implemented via binary classification trees. Optimal tree size is believed to be the crucial factor in forecasting performance of the...

This note demonstrates that it is easily possible to compute technological parameters out of national income accounting data in the presence of bargaining in the labor market. Applying the method to US data, we obtain that the output elasticity with respect to capital exceed 0.5.

This paper discusses the paper "The Source of Historical Economic Fluctuations: An Analysis using Long-Run Restrictions" by Neville Francis and Valerie A. Ramey. It argues that these authors have made great progress both in the precise measurement of labor input as well as determining the effect...

We examine monthly variation in weekly work hours using data for 2003-10 from the Current Population Survey (CPS) on hours/worker, from the Current Employment Survey (CES) on hours/job, and from the American Time Use Survey (ATUS) on both. The ATUS data minimize recall difficulties and constrain...

This paper investigates to what extent the fundamentals of the real economy are re ected in the stock prices of Japan. A Markov switching VAR model with switching variances is used to test the structural identi cation scheme. Identification of fundamental and nonfundamental shocks is shown to be...

Estimating natural rate of unemployment (NAIRU) is important for understanding the joint dynamics of unemployment, in ation, and in Nation expectation. However, existing literature falls short in endogenizing inflation expectation together with NAIRU in a model consistent way. We develop and...

We develop a model to analyze the determinants and effects of an endogenous imperfect transferability of human capital on natives and immigrants. The model reveals that high migration flows and high skill-transferability are mutually interdependent. Moreover, we show that high mobility within a...

We develop a dynamic model of political competition. Each party has a policymotivated ideological wing and an office-motivated opportunistic wing. A blockade arises if inner-party conflict stops policy implementation. We use this model to study whether early elections should be used to overcome...