Waiting times between orders and trades in double-auction markets

In this paper, the survival function of waiting times between orders and the corresponding trades in a double-auction market is studied both by means of experiments and of empirical data. It turns out that, already at the level of order durations, the survival function cannot be represented by a single exponential, thus ruling out the hypothesis of constant activity during trading. This fact has direct consequences for market microstructural models. They must include such a non-exponential behaviour to be realistic.Comment: 19 pages, 3 figures, paper presented at the WEHIA 2005, Colchester, U

Trust models in ubiquitous computing

We recapture some of the arguments for trust-based technologies in ubiquitous computing, followed by a brief survey of some of the models of trust that have been introduced in this respect. Based on this, we argue for the need of more formal and foundational trust models

Keys in the Clouds: Auditable Multi-device Access to Cryptographic Credentials

Personal cryptographic keys are the foundation of many secure services, but storing these keys securely is a challenge, especially if they are used from multiple devices. Storing keys in a centralized location, like an Internet-accessible server, raises serious security concerns (e.g. server compromise). Hardware-based Trusted Execution Environments (TEEs) are a well-known solution for protecting sensitive data in untrusted environments, and are now becoming available on commodity server platforms. Although the idea of protecting keys using a server-side TEE is straight-forward, in this paper we validate this approach and show that it enables new desirable functionality. We describe the design, implementation, and evaluation of a TEE-based Cloud Key Store (CKS), an online service for securely generating, storing, and using personal cryptographic keys. Using remote attestation, users receive strong assurance about the behaviour of the CKS, and can authenticate themselves using passwords while avoiding typical risks of password-based authentication like password theft or phishing. In addition, this design allows users to i) define policy-based access controls for keys; ii) delegate keys to other CKS users for a specified time and/or a limited number of uses; and iii) audit all key usages via a secure audit log. We have implemented a proof of concept CKS using Intel SGX and integrated this into GnuPG on Linux and OpenKeychain on Android. Our CKS implementation performs approximately 6,000 signature operations per second on a single desktop PC. The latency is in the same order of magnitude as using locally-stored keys, and 20x faster than smart cards.Comment: Extended version of a paper to appear in the 3rd Workshop on Security, Privacy, and Identity Management in the Cloud (SECPID) 201

Evolutionary Model of the Personal Income Distribution

The aim of this work is to establish the personal income distribution from the elementary constituents of a free market; products of a representative good and agents forming the economic network. The economy is treated as a self-organized system. Based on the idea that the dynamics of an economy is governed by slow modes, the model suggests that for short time intervals a fixed ratio of total labour income (capital income) to net income exists (Cobb-Douglas relation). Explicitly derived is Gibrat's law from an evolutionary market dynamics of short term fluctuations. The total private income distribution is shown to consist of four main parts. From capital income of private firms the income distribution contains a lognormal distribution for small and a Pareto tail for large incomes. Labour income contributes an exponential distribution. Also included is the income from a social insurance system, approximated by a Gaussian peak. The evolutionary model is able to reproduce the stylized facts of the income distribution, shown by a comparison with empirical data of a high resolution income distribution. The theory suggests that in a free market competition between products is ultimately the origin of the uneven income distribution