Some trades based on differences in beliefs might cause more harm than good. Should they be restricted? If yes, how? We propose three limits on regulation aimed at protecting beneficial trades: Unanimity – the regulator should not object to trades with identical beliefs; Autarky – if the regulator does not object to two unrelated trades, both with identical beliefs, then it should not object to...

Trading volume and the number of trades are both used as proxies for market activity, with disagreement as to which is the better proxy for market activity. This paper investigates this issue using high frequency data for Cisco and Intel in 1997. A number of econometric methods are used, including GARCH augmented with lagged trading volume and number of trades, tests based on moment restriction...

The concept of t-(v, k) trades of block designs previously has been studied in detail. See for example A. S. Hedayat (1990) and Billington (2003). Also Latin trades have been studied in detail under various names, see A. D. Keedwell (2004) for a survey. Recently Khanban, Mahdian and Mahmoodian have extended the concept of Latin trades and introduced t-(v, k) Latin trades. Here we study the spec...

This paper develops a real-time structural model of price formation, and uses it to investigate the dynamics of effective quotes and bid-ask spreads between consecutive trades. There is some evidence that the effective bid-ask spreads increase over time when no orders arrive. The effective quotes are found to change over time when no orders arrive. The dynamics of bid and ask are different, and...

In this paper, the notion of trades over finite fields is introduced. In particular, trades over GF (3) (ternary trades) are studied. By considering the incidence matrix of t-subsets vs. k-subsets of a v-set as a parity check matrix of a ternary code, we obtain a new family of codes in which every codeword is a ternary trade. The spectrum of weights of these codes is discussed; a simple and fas...

In this note we introduce the concept of the trade space of a latin square. Computations using Sage and the GAP package Simplicial Homology are presented.