When faced with decision-relevant information, decision-makers are often exposed to a multiplicity of different models, or accounts of how information should be interpreted. This paper proposes a theory of model selection — an account of what models decision-makers find compelling, and...

In tension with the standard assumption that individuals understand how to act on their beliefs about economic quantities, research measuring subjective beliefs has found that the relationship between beliefs and behavior is often quantitatively weak and that correcting beliefs often fails to...

Manipulation of financial markets has long been a concern. With the automation of financial markets, the potential for high frequency market manipulation has arisen. Yet, such behavior is hidden within vast sums of order book data, making it difficult to define and to detect. We develop a...

The class of generalized autoregressive conditional heteroscedastic (GARCH) models has proved particularly valuable in modelling time series with time varying volatility. These include financial data, which can be particularly heavy tailed. It is well understood now that the tail heaviness of...

Exchange traded funds (ETFs) that track a specified index are a financial technology that has risen dramatically in the last two decades. We model an ETF's optimal index replication strategy and show that it involves underweighting or omitting illiquid index assets. Instrumenting for ETF trading...

Discrete choice model is probably one of the most popularly used statistical methods in practice. The common feature of this model is that it considers the behavioral factors of a person and the assumption of independent individuals. However, this widely accepted assumption seems problematic...

This paper is concerned with the problem of click fraud detection. We assume each visitor of a website carries a latent indicator, which labels him/her as a regular or malicious user. Information such as number of clicks, number of page views (PVs) and time difference between consecutive clicks...

Does high-frequency trade increase or decrease volatility in financial markets during crises? We introduce a novel intraday volatility measure for ETFs, and find that during the COVID-19 crisis period, the withdrawal of high-frequency trade from large stock ETFs increases intraday ETF volatility...

COVID-19 has profoundly changed the way that we study and work. For students, especially primary and middle school students, online education has become a solution to learning problems. However, online and offline education have their own characteristics and different learning efficiencies in...

Homeowners face risk due to variation in annual property tax liabilities which may result in financial distress and eventual mortgage foreclosure. We show that an unintended consequence of a common property tax feature, assessment limitations, exposes households to more systematic risk despite...