Studies of the limit order book around large price changes

We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask imbalance, the number of queuing limit orders, the activity (number and volume) of limit orders placed and canceled, etc. The relaxation of the quantities is generally very slow that can be described by a power law of exponent $\approx0.4$. We introduce a numerical model in order to understand the empirical results better. We find that with a zero intelligence deposition model of the order flow the empirical results can be reproduced qualitatively. This suggests that the slow relaxations might not be results of agents' strategic behaviour. Studying the difference between the exponents found empirically and numerically helps us to better identify the role of strategic behaviour in the phenomena.Comment: 19 pages, 7 figure

The role of a matchmaker in buyer-vendor interactions

We consider a simple market where a vendor offers multiple variants of a certain product and preferences of both the vendor and potential buyers are heterogeneous and possibly even antagonistic. Optimization of the joint benefit of the vendor and the buyers turns the toy market into a combinatorial matching problem. We compare the optimal solutions found with and without a matchmaker, examine the resulting inequality between the market participants, and study the impact of correlations on the system.Comment: 7 pages, 5 figures, minor modification

A theoretical and empirical investigation of nutritional label use

Due in part to increasing diet-related health problems caused, among others, by obesity, nutritional labelling has been considered important, mainly because it can provide consumers with information that can be used to make informed and healthier food choices. Several studies have focused on the empirical perspective of nutritional label use. None of these studies, however, have focused on developing a theoretical economic model that would adequately describe nutritional label use based on a utility theoretic framework. We attempt to fill this void by developing a simple theoretical model of nutritional label use, incorporating the time a consumer spends reading labels as part of the food choice process. The demand equations of the model are then empirically tested. Results suggest the significant role of several variables that flow directly from the model which, to our knowledge, have not been used in any previous empirical work

Observations sur la langue dans les lettres adressées a Š. Ljubić

Dans le présent article sont examinées certaines questions portant sur la langue et l\u27orthographe telles qu\u27on peut les constater dans les lettres faisant partie du legs de Š. Ljubić conservé dans les Archives historiques de Zadar. Leur date se situe autour de la moitié du 19e siècle. Les auteurs de ces lettres sont I. Kukuljević Sakcinski, A. Torkvato Brlić, B. Petranović et Š. Starčević. Donc, un Zagrébien, un autre provenant de Slavonie et deux Dalmates, dont l\u27un était Serbe et l\u27autre Croate. De cette manière dans ces lettres sont représentées toutes les couches et structures et les principaux courants de la Croatie avec leurs vues sur la langue littéraire

Growth accounting in economic history:Findings, lessons and new directions

There is now a large volume of growth accounting estimates covering the long run experience of advanced countries. However, most of the studies in economic history are not based on state-of-the-art methods. There is a trade-off between maintaining international comparability and achieving the best results for individual countries. A one-size-fits-all approach will not always do justice to the variety of historical experiences since the conventional assumptions may sometimes be inappropriate. Nevertheless, growth-accounting studies have produced some eye-catching results which provide food for thought both for economic historians and for growth economists. These include (1) the finding that TFP growth was comparatively slow during the First Industrial Revolution, (2) Solow's famous conclusion that TFP growth accounted for 7/8ths of American labour-productivity growth was atypical, (3) the impact of new general-purpose technologies on growth typically takes a long time to materialize, ICT being the notable exception and (4) that capital-deepening was much more important relative to TFP growth in east Asian than in western European catch-up growth. Growth accounting is undoubtedly a valuable item in the cliometrician's toolkit. Nonetheless, we anticipate the introduction of more sophisticated methods and look forward to progress in understanding what explains marked differences in TFP performance

Crowd computing as a cooperation problem: an evolutionary approach

Cooperation is one of the socio-economic issues that has received more attention from the physics community. The problem has been mostly considered by studying games such as the Prisoner's Dilemma or the Public Goods Game. Here, we take a step forward by studying cooperation in the context of crowd computing. We introduce a model loosely based on Principal-agent theory in which people (workers) contribute to the solution of a distributed problem by computing answers and reporting to the problem proposer (master). To go beyond classical approaches involving the concept of Nash equilibrium, we work on an evolutionary framework in which both the master and the workers update their behavior through reinforcement learning. Using a Markov chain approach, we show theoretically that under certain----not very restrictive-conditions, the master can ensure the reliability of the answer resulting of the process. Then, we study the model by numerical simulations, finding that convergence, meaning that the system reaches a point in which it always produces reliable answers, may in general be much faster than the upper bounds given by the theoretical calculation. We also discuss the effects of the master's level of tolerance to defectors, about which the theory does not provide information. The discussion shows that the system works even with very large tolerances. We conclude with a discussion of our results and possible directions to carry this research further.This work is supported by the Cyprus Research Promotion Foundation grant TE/HPO/0609(BE)/05, the National Science Foundation (CCF-0937829, CCF-1114930), Comunidad de Madrid grant S2009TIC-1692 and MODELICO-CM, Spanish MOSAICO, PRODIEVO and RESINEE grants and MICINN grant TEC2011-29688-C02-01, and National Natural Science Foundation of China grant 61020106002.Publicad

Wholesale pricing in a small open economy

This paper addresses the empirical analysis of wholesale profit margins using data of the Dutch wholesale sector, 1986. At the heart of the analysis is the typical nature of wholesale production: wholesalers do not produce a tangible product, but offer a service capacity. This has an immediate impact on the identification, interprelation and measurement of determinants of profit variations. A model is set up to explain variations in wholesale profit margins, which is inspired by two widely applied approaches to industry pricing: the behavioural mark-up model and the marginalist price-cost model

Schools out : Adam Smith and pre-disciplinary international political economy

In this article, I argue that invocations of Adam Smith in international political economy (IPE) often reveal the influence therein of a disciplinary ontological disaggregation of economic and non-economic rationality, which I claim is obscured by the tendency to map its complex intellectual contours in terms of competing schools. I trace the origins of the disciplinary characterisation of Smith as the founder of IPE's liberal tradition to invocations of his thought by centrally important figures in the perceived Austrian, Chicago and German historical schools of economics, and reflect upon the significance to IPE of the reiteration of this portrayal by apparent members of its so-called American and British schools. I additionally contrast these interpretations to those put forward by scholars who seek to interpret IPE and Smith's contribution to it in pre-disciplinary terms, which I claim reflects a distinct ontology to that attributed to the British school of IPE with which their work is often associated. I therefore contend that reflection upon invocations of Smith's thought in IPE problematises the longstanding tendency to map its intellectual terrain in terms of competing schools, reveals that the disciplinary ontological consensus that informs this tendency impacts upon articulations of its core concerns and suggests that a pre-disciplinary approach offers an alternative lens through which such concerns might be more effectively framed

Why is management research irrelevant?

At least since 1980, there has been a practically continuous, but somewhat fragmented discussion on the relevance of management research. This discussion has addressed practically all fields of management; here, besides general management, operations management, project management and construction management are examined in more detail. Although many different proposals have been made to rectify the situation, no definitive resolution has been found. In this paper, it is argued that prior analyses have not reached the root causes of the irrelevance problem. By an analysis of the recent history of management research, the following novel findings are reached. First, the root cause of the irrelevance is argued to lie in the 1959 reports on American business education, written by Pierson and Gordon & Howell. Second, while the proposed direction in the 1959 reports was deficient in several ways, the rejection of production as an integral part of organizations and management has been perhaps the most damaging feature of those reports. Third, current research on management suffers from a variety of immediate causes for irrelevance, insufficiently recognized by the scholarly community. It is suggested that reaching the root causes for irrelevance will facilitate finding suitable cures