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. Agents are assumed to have three components to the expectation of future asset returns, namely-fundamentalist, chartist and noise trader. Furthermore agents differ in the characteristics describing these components, such as time horizon, risk aversion and the weights given to the various components. The model developed here extends a great deal of earlier literature in that the order submissions of agents are determined by utility maximisation, rather than the mechanical unit order size that is commonly assumed. In this way the order flow is better related to the ongoing evolution of the market. For the given market structure we analyze the impact of the three components of the trading strategies on the statistical properties of prices and order flows and observe that it is the chartist strategy that is mainly responsible of the fat tails and clustering in the artificial price data generated by the model. The paper provides further evidence that large price changes are likely to be generated by the presence of large gaps in the book.Comment: 15 pages, 11 figure

Citizen science broadly refers to the active engagement of the general public in scientific research tasks. Citizen science is a growing practice in which scientists and citizens collaborate to produce new knowledge for science and society. Although citizen science has been around for centuries, the term citizen science was coined in the 1990s and has gained popularity since then. Recognition of citizen science is growing in the fields of science, policy, and education and in wider society. It is establishing itself as a field of research and a field of practice, increasing the need for overarching insights, standards, vocabulary, and guidelines. In this editorial chapter we outline how this book is providing an overview of the field of citizen science.

Citizen science practices have different frames to general scientific research – the adoption of participatory methods in research design has long been pursued in citizen science projects. The citizen science research design process should be inclusive, flexible, and adaptive in all its stages, from research question formulation to evidence-based collective results. Some citizen science initiatives adopt strategies that include co-creation techniques and methodologies from a wide variety of disciplines and practices. In this sense, the will to collaborate between researchers and other stakeholders is not new. It is traditionally found in public participation in science, including participatory action research (PAR) and the involvement of civil society organisations (CSOs) in research, as well as in mediatory structures, such as science shops. This chapter critically reviews methodologies, techniques, skills, and participation based on experiences of civic involvement and co-creation in research and discusses their limitations and potential improvements. Our focus is on the reflexivity approach and infrastructure needed to design citizen science projects, as well as associated key roles. Existing tools that can be used to enhance and improve citizen participation at each stage of the research process will also be explored. We conclude with a series of reflections on participatory practices.

Lab-in-the-field experiment reveals that humans display a reduced set of consistent behavioral phenotypes in dyadic games.

We study the exponential Ornstein–Uhlenbeck stochastic volatility model and observe that the model shows a multiscale behaviour in the volatility autocorrelation. It also exhibits a leverage correlation and a probability profile for the stationary volatility which are consistent with market observations. All these features make the model quite appealing since it appears to be more complete than other stochastic volatility models also based on a two-dimensional diffusion. We finally present an approximate solution for the return probability density designed to capture the kurtosis and skewness effects.