| A randomized microstructure based on the Voronoi diagram is proposed for micromagnetic models. Simulations illustrate variability of extrinsic magnetic properties with microstructure, medium noise dependence on medium properties, and jitter dependence on trackwidth.

We present a numerical method for the approximation of microstructure in martensitic crystals by piecewise laminates, and we give computational results for several three-dimensional models of martensitic microstructure by using piecewise second-order laminates.

This article aims at reviewing recent empirical and theoretical developments usually grouped under the term Econophysics. Since its name was coined in 1995 by merging the words “Economics” and “Physics”, this new interdisciplinary field has grown in various directions: theoretical macroeconomics (wealth distributions), microstructure of financial markets (order book modeling), econometrics of f...

Exploring a possible correlation between the efficient price and the noise, as HL do, is an exciting and challenging task. By examining the volatility signature plots of trades and quotes, HL report that RV estimates based on quotes at very high frequency decrease. This is different from many earlier findings on volatility signature plots based on transaction prices. It is important to figure o...

In this article, we develop a model for the evolution of real estate prices. A wide range of inputs, including stochastic interest rates and changing demands for the asset, are considered. Maximizing their expected utility, home owners make optimal sale decisions given these changing market conditions. Using these optimal sale decisions, we simulate the implied evolution of housing prices provi...

A central limit theorem for the realized volatility estimator of the integrated volatility based on a specific random sampling scheme is proved. The estimator is shown to be also robust to market microstructure noise induced by price discreteness and bid-ask spreads.

This paper investigates the relation between liquidity and information based trading and the possible impact of market microstructure changes on this relationship. A model similar in spirit to that of wEasley et al. (1996b) J. Financ. 51(3) (1996) 811–833x is used to determine how often new information occurs and how it influences the composition of orders submitted to the market. There have be...

This study reports experimental market power and efficiency outcomes for a computational wholesale electricity market operating in the short run under systematically varied concentration and capacity conditions. The pricing of electricity is determined by means of a clearinghouse double auction with discriminatory midpoint pricing. Buyers and sellers use a modified Roth–Erev individual reinforc...

Modern financial markets compete aggressively for trading activity and investor interest. Information technology, once a crucial element in streamlining paper flows and operations, is now a strategic resource used in attracting or retaining market liquidity. Established exchanges introduce technology to enhance their markets. New market venues challenge the status quo and rely on technology to ...