Opinion dynamics is an opinion evolution process of a group of agents, where the final
opinion distribution tends to three stable states: consensus, polarization, and fragmentation …

Big data is revolutionizing the finance industry and has the potential to significantly shape
future research in finance. This special issue contains papers following the 2019 NBER-RFS …

Markets are different now, transformed by technology and high frequency trading. In this
paper, I investigate the implications of these changes for high frequency market …

We define low-latency activity as strategies that respond to market events in the millisecond
environment, the hallmark of proprietary trading by high-frequency traders though it could …

We investigate odd‐lot trades in equity markets. Odd lots are increasingly used in
algorithmic and high‐frequency trading, but are not reported to the consolidated tape or in …

We analyze a rational expectations equilibrium model to explore the implications of
information networks for the financial market. When information is exogenous, social …

This paper investigates the impact of retail attention on stock price crash risk in the Chinese
stock market. Developing a composite measure of retail attention emphasizing its dynamic …

Exchange-traded funds (ETFs) are among the fastest-growing types of innovative financial
products. The emergence and spread of these instruments have been facilitated by the …

We provide a model to understand the effects of commodity futures financialization on
various market variables. We distinguish between financial speculators and financial …

Using listed firms from 16 heavy pollution industries in China, we show that investor
attention can significantly improve the quality of corporate environmental information …