We report a large-scale examination of behavioral attenuation: due to information-processing constraints, the elasticity of people’s decisions with respect to economic fundamentals is generally too small. We implement more than 30 experiments, 20 of which were crowd-sourced from leading...

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...

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...

We report a large-scale examination of behavioral attenuation: due to information-processing constraints, the elasticity of people’s decisions with respect to economic fundamentals is generally too small. We implement more than 30 experiments, 20 of which were crowd-sourced from leading...

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...

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 examines how the rise of passive investing affects active management. I develop a parsimonious model of passive and active investment in which greater passive investment accelerates investors' learning about active managers' skill. The model provides a rational explanation, namely the...

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...

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...