Fake News in Social Networks Paper (PDF)
Christoph Aymanns, Jakob Foerster, Co-Pierre Georg, and Matthias Weber

We propose multi-agent reinforcement learning as a new method for modeling fake news in social networks. This method allows us to model human behavior in social networks both in unaccustomed populations and in populations that have adapted to the presence of fake news. In particular the latter is challenging for existing methods. We find that a fake-news attack is more effective if it targets highly connected people and people with weaker private information. Attacks are more effective when the disinformation is spread across several agents than when the disinformation is concentrated with more intensity on fewer agents. Furthermore, fake news spread less well in balanced networks than in clustered networks. We test a part of these findings in a human-subject experiment. The experimental evidence provides support for the predictions from the model. This suggests that our model is suitable to analyze the spread of fake news in social networks.

The Disposition Effect in the NFT Market Link to Paper (SSRN)
Andrea Barbon, Charles Milliet, and Matthias Weber

We document a sizeable disposition effect in the market for non-fungible tokens (NFTs). Using a comprehensive transaction dataset from OpenSea, we show that NFT holders systematically realize gains prematurely while holding onto losses, mirroring behavior documented in traditional equity markets. Consistent with a high participation rate of retail investors and the lack of clear fundamental values, the effect is significantly more severe than in equity markets. We further find that the magnitude of the disposition effect attenuates in December, consistent with end-of-year tax-loss harvesting incentives, suggesting that on-chain transactions can be monitored by tax authorities. Finally, to address the NFT market’s episodic illiquidity, we introduce a novel measure of the disposition effect based on the time-to-sale of listed assets. Our findings extend behavioral finance theory to digital-asset markets and provide new tools for studying the disposition effect in illiquid trading environments.