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Social media platforms provide a source for transmitting information that can become widely accepted. However, in this process of transmission, information becomes susceptible to distortion. In this study, we assessed people’s semantic (i.e., prior expectations) and recognition memory for pop culture content, as a function of confidence and perceived information source. In Experiment 1, we inve...

For a dynamic limit order market, we present a Markov perfect equilibrium with Edgeworth cycles. In equilibrium, when sellers enter the market consecutively, the best quote decreases tick by tick, then jumps more than one tick, creating a hole in the book. The next quote rebounds to the less aggressive level, and the same cycle starts over again. Holes can relate to the high kurtosis of transac...

Quote extraction and attribution is the task of automatically extracting quotes from text and attributing each quote to its correct speaker. The present state-of-the-art system uses gold standard information from previous decisions in its features, which, when removed, results in a large drop in performance. We treat the problem as a sequence labelling task, which allows us to incorporate seque...

Recent empirical work has studied point processes of transactions in financial markets and observed clear time dependent patterns in these arrival times. However, these studies do not examine the timing of quoted price changes. This paper formulates a bivariate point process to jointly analyze transaction and quote arrivals. In microstructure models, transactions may reveal private information ...

In this paper, we illuminate the origins of the crumbling quote signal employed by IEX, provide detailed analyses of its performance, and discuss its continuing evolution.