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...

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...

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...

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...