This paper studies an order-driven stock market where agents have heterogeneous estimates of the fundamental value of the risky asset. The agents are budget-constrained and follow a value-based trading strategy which buys or sells depending on whether the price of the asset is below or above its...

Agent-based models of market dynamics must strike a compromise between the structural assumptions that represent the trading mechanism and the behavioral assumptions that describe the rules by which traders take their decisions. We present a structurally detailed model of an order- driven stock...

This paper studies the performance of four market protocols with regard to allocative efficiency and other performance criteria such as volume or volatility. We examine batch auctions, continuous double auctions, specialist dealerships, and a hybrid of these last two. All protocols are...

In this paper we analyze and interpret the quote price dynamics of 100 NYSE stocks with varying average trade frequencies. We specify an error-correction model for the log difference of the bid and the ask price, with the spread acting as the error-correction term, and include as regressors the...

Income is an important correlate for numerous phenomena in the social sciences. But manysurveys collect data with just a single question covering all forms of income. This raisesissues of quality, and these are heightened when individuals are asked about the householdtotal rather than own income...

The March Current Population Survey (CPS) is the primary data source for estimation oflevels and trends in labor earnings and income inequality in the USA. Time-inconsistencyproblems related to top coding in theses data have led many researchers to use the ratio ofthe 90th and 10th percentiles...

Recent theories of economic growth have stressed the role of externalities in generating growth. Using data from the Census Bureau that tracks all employers in the whole U.S. private sector economy, we examine the impact of these externalities, as measured by entrepreneurial activity, on...

We elicit the intertemporal Marginal Propensity to Consume (iMPC) based on hypothetical different size lottery winnings through questions in the 2023-24 Italian Survey of Consumer Expectations (ISCE). Survey respondents were asked to allocate three hypothetical lottery winning amounts (€1,000,...