Research examining the process of individual decision making over time is briefly reviewed. We focus on two major areas of work in choice dynamics: research that has examined how current choices are influenced by the history of previous choices, and newer work examining how choices may be made...

Despite recent interest in hyperbolic discounting, there has been little discussion of exactly what property of time preferences is instantiated by hyperbolic or quasi-hyperbolic functional forms. The paper revives an earlier proposal in Prelec (1989) that the key property is Pratt-Arrow...

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...