We model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties of markets, such as the diffusion rate of prices (which is the standard measure of...

It is widely believed that fluctuations in transaction volume, as reflected in the number of transactions and to a lesser extent their size, are the main cause of clustered volatility. Under this view bursts of rapid or slow price diffusion reflect bursts of frequent or less frequent trading,...

While taxation affects everybody who lives in a modern society, existing systems suffer from inconsistencies, operational imperfections, and high running costs. Amounts of tax paid by taxpayers are highly independent of the benefits received in return, which provides great freedom for...