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

"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 students’ funds of identity. A multimodal approach to data collection and analysis was adopted in order to ensure that the interpretation of students’ 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 students’ out-of-school identities, the written reflections were ultimately more useful in revealing students’ funds of identity and also ensuring that any interpretations remained within the participants’ horizon of intended meaning. The project also brought about significant transformation in the way I viewed my students