We explore the impact of fake news on asset price dynamics within the asset-pricing model of Brock and Hommes (1998). By polluting the information landscape, fake news interferes with agents' perception of the dividend process of the risky asset. Our analysis reveals that fake news decreases the...

A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that liquidity balance on best bid/best ask is quite informative...