In this paper we develop a model of an order-driven market where traders set bids and asks and post market or limit orders according to exogenously fixed rules. The model seeks to capture a number of features suggested by recent empirical analysis of limit order data, such as; fat-tailed...

This article explores nonlinearities in the response of speculators' trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 to December 27, 2005, we reject linearity in all of these markets. Using smooth transition...

In this paper we formulate a baseline disequilibrium AS-AD model and empirically estimate it with time series data for the U.S.-economy. The version of the model used here exhibits a Phillips-curve, a dynamic IS curve and a Taylor interest rate rule. It is based on sticky wages and prices,...

We reformulate the traditional AS-AD growth model of the Neoclassical Synthesis (stage I) with a Taylor policy rule replacing the conventional LM-curve, with gradually adjusting wages as well as prices, and with perfect foresight on current inflation rates and an adaptively revised notion of an...

We consider the fate of output in the Cournot oligopoly model when the equilibrium is locally unstable. We discuss types of nonlinearities which may be present to bound the motion and introduce time lags in production and information which may serve as bifurcation parameters. In the case of...

A nonlinear exchange rate model based on the famous Dornbusch (1976) overshhoting model is modified to allow for explicit consideration of the sources of supply and demand in the foreign exchange market along the lines suggested by Kouri (1983). Imperfect substitutability between domestic and...

A number of recent emirical studies cast some doubt on the random walk theory of asset prices and suggest these display significant transitory components and complex chaotic motion. This paper analyses a model of fundamentalists and chartists which can generate a number of dynamic regimes which...

Assuming identical firms, a linear market demand function and a single factor of production, labour, we analyse the existence and stability of a homogeneous Cournot duopoly facing imperfect competition in both product and factor markets. Under the assumption of a fairly general wage function we...