2,628 research outputs found
Emergence of long memory in stock volatility from a modified Mike-Farmer model
The Mike-Farmer (MF) model was constructed empirically based on the
continuous double auction mechanism in an order-driven market, which can
successfully reproduce the cubic law of returns and the diffusive behavior of
stock prices at the transaction level. However, the volatility (defined by
absolute return) in the MF model does not show sound long memory. We propose a
modified version of the MF model by including a new ingredient, that is, long
memory in the aggressiveness (quantified by the relative prices) of incoming
orders, which is an important stylized fact identified by analyzing the order
flows of 23 liquid Chinese stocks. Long memory emerges in the volatility
synthesized from the modified MF model with the DFA scaling exponent close to
0.76, and the cubic law of returns and the diffusive behavior of prices are
also produced at the same time. We also find that the long memory of order
signs has no impact on the long memory property of volatility, and the memory
effect of order aggressiveness has little impact on the diffusiveness of stock
prices.Comment: 6 pages, 6 figures and 1 tabl
Computing welfare losses from data under imperfect competition with heterogeneous goods
We study the percentage of welfare losses (PWL) yielded by imperfect competition under
product differentiation. When demand is linear, if prices, outputs, costs and the number of firms
can be observed, PWL is arbitrary in both Cournot and Bertrand equilibria. If in addition, the
elasticity of demand (resp. cross elasticity of demand) is known, we can calculate PWL in
Cournot (resp. Bertrand) equilibrium. When demand is isoelastic and there are many firms, PWL
can be computed from prices, outputs, costs and the number of .rms. In all these cases we find
that price-marginal cost margins and demand elasticities may influence PWL in a
counterintuitive way. We also provide conditions under which PWL increases or decreases with
concentration
An Edgeworth expansion for finite population L-statistics
In this paper, we consider the one-term Edgeworth expansion for finite
population L-statistics. We provide an explicit formula for the Edgeworth
correction term and give sufficient conditions for the validity of the
expansion which are expressed in terms of the weight function that defines the
statistics and moment conditions.Comment: 14 pages. Minor revisions. Some explanatory comments and a numerical
example were added. Lith. Math. J. (to appear
Selection of workers and firm heterogeneity
A model based on differences between workers regarding their preferences for wage and leisure drives the heterogeneity of firms result. The more industrious workers are driven to small firms due to free riding in large firms. An industry consisting of small and large firms turns out to produce more output than an industry consisting of only large firms. Some comparative statics results are derived with respect to the size of large firms, the productivity difference between firms, and monitoring capabilities
The âCoase Theoremâ vs. Coase Theorem Proper: How an Error Emerged and Why it Remained Uncorrected so Long
"I want to be a furious leopard with magical wings and super power": developing an ethico-interpretive framework for detecting Chinese students' funds of identity
The Avatar Project was a two-week English project in which Chinese high school students in an internationalised school in Shanghai China explored the topic of cultural and individual identity. The project synthesised prospective education with the Funds of Identity approach, both of which have particular relevance within an internationalised teaching context. During the project, students created three identity texts: a written reflection, a word cloud and an avatar which were later used as data for this article. This article presents findings from the project and critically evaluates the effectiveness of avatars and word clouds as strategies for detecting studentsâ funds of identity. A multimodal approach to data collection and analysis was adopted in order to ensure that the interpretation of studentsâ work remained situated within their lived experience. The project revealed the existence of social, practical, institutional and cultural funds of identity. However, it also detected more problematic forms of funds of identity related to political and philosophical beliefs which I label ideological and existential funds of identity. While avatars and word clouds were effective in drawing out studentsâ out-of-school identities, the written reflections were ultimately more useful in revealing studentsâ funds of identity and also ensuring that any interpretations remained within the participantsâ horizon of intended meaning. The project also brought about significant transformation in the way I viewed my students
A Simple Coase-Like Mechanism that Transfers Control of Government Spending Levels from Politicians to Voters
- âŠ