This paper introduces an order-driven market with heterogeneous investors, who submit limit or market orders according to their own trading rules. The trading rules are repeatedly updated via simple learning and adaptation of the investors. We analyze markets with and without learning and...

This paper considers the maximum likelihood estimation of a class of stationary and invertible vector autoregressive fractionally integrated moving-average (VARFIMA) processes considered in Luceno (1996). The coverage of this class of VARFIMA processes is quite general and includes the model...

This paper investigates the Information content of daily trading volume with respect to the long-run or high persistent and the short-run or transitory components of the volatility of daily stock market returns using bivariate mixture models. For this purpose, the Standard bivariate mixture...