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...

Correctly measuring individual dynamics in labour market behaviour has become increasingly important as research and policy attention has become more focused on the relationships between current employment opportunities and past experience. Surveys collecting information on labour market...

We compare three EU countries that have recently experienced substantial but very different reforms of their family support systems: Austria, Spain and the UK. The structure of these systems is different: Austria emphases universal benefits, Spain tax concessions and the UK means-tested...

Das System der Volkswirtschaftlichen Gesamtrechnungen (VGR) in Deutschland wurde im Frühjahr 2005 von der Festpreisbasis auf das Vorjahrespreiskonzept (Kettenindexkonzept) umgestellt. Dadurch werden Substitutionseffekte besser berücksichtigt und die periodische Umbasierung der Zeitreihen...

First and higher order digits in data sets of natural and socio-economic processes often follow a distribution called Benford's law. This phenomenon has been used in many business and scientific applications, especially in fraud detection for financial data. In this paper, we analyse whether...