This paper develops a framework to test alternative market microstructure models of the bid-ask spread. If, on the one … hand, information-based models result in bid and ask quotes that are non-Markovian, and the other hand, the Markov property … may hold in equilibrium settings where the market maker serves as an intermediary. …

comparison of alternative models of the short-term interest rate. Journal of Finance 47, 1209-1227], the generalised method of … moments (GMM) has been a popular technique for estimation and inference relating to continuous-time models of the short …-rate specifications. The current paper conducts a series of simulation experiments to document the bias and precision of GMM estimates of …

fundamentalists are key factors determining the path of price fluctuations. Fundamentalists are more able to dominate the market when … toward risk vary across time and market. The generally low level of risk bearing by fundamentalists could explain the …

dominate the market when they are more willing than positive-feedback traders to take risks. In addition, more crises occur as …' attitudes toward risk vary across time and market. The generally low level of risk bearing by fundamentalists could explain the …