We examine the effects of iceberg orders on the optimal timing submission strategies of a risk-neutral market order trader. Using the order flow as a signal of hidden depth, we derive the optimal order placement times for a round-trip trade. We further analyse the impact of more information and...

We consider time series forecasting in the presence of ongoing structural change where both the time series dependence and the nature of the structural change are unknown. Methods that downweight older data, such as rolling regressions, forecast averaging over different windows and exponentially...

This article studies the cost function for the natural gas transmission industry. In addition to a tribute to H.B. Chenery, it firstly offers some further comments on a recent contribution (Yépez, 2008): a statistical characterization of long-run scale economies, and a simple reformulation of...