Lacking payment systems become a bottleneck for the vision of the Information Economy. In many cases payments of fractions of a cent, so-called micropayments, are of particular interest. In this paper we propose a framework to evaluate payment systems. The framework consists of a well structured...

A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is assumed that there exist monotonic transformations such that the normalised series can asymptotically be represented by independent Brownian motions. Rank test procedures based...

This paper analyzes a two-stage sealed-bid auction that is frequently employed in privatization, takeover, and merger and acquisition contests. This auction format yields the same expected revenue as the open ascending (English) auction, yet is less susceptible to preemptive bidding and...

We analyze the dynamics of a game of sequential bidding in the presence of stochastic scale effects in the form of stochastic economies or diseconomies of scale. We show that economies give rise to declining expected equilibrium prices, whereas the converse is not generally true. Moreover,...

Motivated by the Kyle-Back model of “insider trading”, we consider certain classes of linear transformations of two independent Brownian motions and study their canonical decomposition as semimartingales in their own filtration. In particular we characterize those transformations which...

We propose a nonparametric test for checking parametric hypotheses about the stationary density of weakly dependent observations. The test statistic is based on the L2-distance between a nonparametric and a smoothed version of a parametric estimate of the stationary density. It can be shown that...

When people decide about saving and consumption across the various periods of their life time they take into account their life expectancy when comparing present and future needs and resources for satisfying them. The experimental design, applied at two sites (Humboldt-University at Berlin and...

Individuals frequently transfer commodities without an explicit contract or an implicit enforcement mechanism. We design an experiment to study whether such commodity transfers can be viewed as investments based on trust and reciprocity, or whether they rather resemble presents with...

We prove geometric ergodicity and absolute regularity of the nonparametric autoregressive bootstrap process. To this end, we revisit this problem for nonparametric autoregressive processes and give some quantitative conditions (i.e., with explicit constants) under which the mixing coefficients...