Technically, the verb "splice" means to join. The splisosome complex is joining together the exon sequences and removing the introns. The activity is guided by splicing factors (U2, U1, etc.). Yes, there are sequences that mark the boundaries between introns and exons. A good introductory genetics or molecular biology textbook will have the relevant details.
I'm assuming you are very new to molecular biology. Introns are removed as part of the process of creating a mature mRNA transcript. The exons contain the coding information to create the protein. This is honestly high-school level knowledge.
You might want to start with an introductory biology textbook like Campbell "Biology".