Maurer and Schäfer propose the Shannon entropy as an appropriate one-dimensional measure of behavioral trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic versus non-algorithmic trading and empirical data from the Deutsche Börse electronic cash equity trading system, Xetra. The results reveal pronounced differences between algorithmic and non-algorithmic traders. In particular, trading patterns of algorithmic traders exhibit a medium degree of regularity, while nonalgorithmic trading tends towards either very regular or very irregular trading patterns.

Innovative auction design has to consider both the outcome of market processes in terms of market quality and the business models of market participants. Recent competition for, and cost pressure in acquiring retail order flow has changed the role of market access intermediaries, i.e. banks or brokers, in European equity markets. They are attempting to extract a higher value out of the retail order flow especially by providing internal matching against their own trading books commonly referred to as internalization. In this environment, Deutsche Borse designed an innovative equity trading market model fully integrated into its Xetra trading system. The paper presents this market model (Xetra BEST) based on an analysis of the changing role of market access intermediaries. It derives and validates design requirements for a model that aims at maintaining a high level of market efficiency while serving the needs of market access intermediaries in an internalization framework.

Non‐monotonic hazard functions and the autoregressive conditional duration model Get access Joachim Grammig, Joachim Grammig Department of Economics and Business Administration, University of Frankfurt Search for other works by this author on: Oxford Academic Google Scholar Kai‐Oliver Maurer Kai‐Oliver Maurer Department of Economics and Business Administration, University of Frankfurt Search for other works by this author on: Oxford Academic Google Scholar The Econometrics Journal, Volume 3, Issue 1, 1 June 2000, Pages 16–38, https://doi.org/10.1111/1368-423X.00037 Published: 20 March 2002 Article history Received: 01 August 1999 Published: 20 March 2002

This paper is concerned with the effect of vocational training on individual unemployment duration in West Germany. The data base used in this study is the German Socio-Economic Panel (GSOEP) for West Germany for the period from 1984 to 1994. The econometric model is a semi-parametric single risk discrete time duration model. To take into account a possible selection bias, an instrumental variable for actual participation in vocational training is used. This instrumental variable is the predicted participation propensity obtained by estimating a probit model for the participation in vocational training measures. The main results show that prior participation does have a significant effect on the reduction of unemployment duration in the short run. However, this effect does not persist in the long run.

Summary This paper is concerned with the effect of vocational training on individual unemployment duration in West Germany. The data base used in this study is the German Socio-Economic Panel (GSOEP) for West Germany for the period from 1984 to 1994. The econometric model is a semi-parametric single risk discrete time duration model. To take into account a possible selection bias, an instrumental variable for actual participation in vocational training is used. This instrumental variable is the predicted participation propensity obtained by estimating a probit model for the participation in vocational training measures. The main results show that prior participation does have a significant effect on the reduction of unemployment duration in the short run. However, this effect does not persist in the long run.