Do minority employees join network groups due to social identity, dissatisfaction with conditions at work, or career costs and benefits? Results show that joining is driven by social identity as well as expected costs (backlash) and benefits (career enhancement) but not by dissatisfaction,...

We develop a dynamic model to simultaneously characterize the liquidity demand and supply in limit order book. The joint dynamics is modelled in a unified Vector Functional AutoRegressive (VFAR) framework. We derive a closed-form maximum likelihood estimator under sieves and establish asymptotic...