This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the...

Do high frequency traders affect transaction prices? In this paper we derive distributions of transaction prices in limit order markets populated by low frequency traders (humans) before and after the entrance of a high frequency trader (machine). We find that the presence of a machine is likely...

Do high frequency traders affect transaction prices? In this paper we derive distributions of transaction prices in limit order markets populated by low frequency traders (humans) before and after the entrance of a high frequency trader (machine). We find that the presence of a machine is likely...

We study consequences of regulatory interventions in limit order markets that aim at stabilizing the market after an occurrence of a "flash crash." We use a simulation platform that creates random arrivals of trade orders, that allows us to analyze subtle features of liquidity and price...

We introduce choice-matching, a class of mechanisms for eliciting honest responses to a multiplechoice question (MCQ), as might appear in a market research study, opinion poll or economicsexperiment. Under choice-matching, respondents are compensated through an auxiliary task, e.g.,a personal...