Haoxiang Zhu

Massachusetts Institute of Technology (MIT) - Sloan School of Management

Associate Professor of Finance

100 Main Street E62-623

Cambridge, MA 02142

United States

http://www.mit.edu/~zhuh

National Bureau of Economic Research (NBER)

Faculty Research Fellow

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

20

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17,798

CITATIONS
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Top 5,065

in Total Papers Citations

102

Scholarly Papers (20)

1.

Does a Central Clearing Counterparty Reduce Counterparty Risk?

Rock Center for Corporate Governance at Stanford University Working Paper No. 46, Stanford University Graduate School of Business Research Paper No. 2022
Number of pages: 31 Posted: 23 Feb 2009 Last Revised: 28 Apr 2011
Darrell Duffie and Haoxiang Zhu
Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 3,010 (3,210)
Citation 37

Abstract:

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central clearing, netting efficiency, counterparty risk, over-the-counter derivatives

2.

Do Dark Pools Harm Price Discovery?

Forthcoming, Review of Financial Studies
Number of pages: 53 Posted: 16 Dec 2010 Last Revised: 16 Nov 2013
Haoxiang Zhu
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,489 (4,408)
Citation 14

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dark pools, price discovery, liquidity, fragmentation, equity market structure

3.

A New Perspective on Gaussian Dynamic Term Structure Models

Review of Financial Studies, Forthcoming, AFA 2010 Atlanta Meetings Paper
Number of pages: 55 Posted: 23 Mar 2009 Last Revised: 13 Oct 2010
University of Southern California, Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,873 (7,161)
Citation 38

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dynamic term structure model, no-arbitrage, Gaussian, estimation

4.

Back-Running: Seeking and Hiding Fundamental Information in Order Flows

Rotman School of Management Working Paper No. 2583915
Number of pages: 63 Posted: 24 Mar 2015 Last Revised: 24 Jul 2018
Liyan Yang and Haoxiang Zhu
University of Toronto - Rotman School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,348 (12,680)

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back-running, order flow, order anticipation, high-frequency trading, price discovery, market liquidity, payment for order flow

5.

Shades of Darkness: A Pecking Order of Trading Venues

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 61 Posted: 17 Oct 2014 Last Revised: 27 Jun 2016
VU Amsterdam, INSEAD - Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,175 (15,278)

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dark pool, pecking order, fragmentation

6.
Downloads 1,032 ( 18,570)

Size Discovery

Forthcoming, Review of Financial Studies, Stanford University Graduate School of Business Research Paper No. 15-56
Number of pages: 62 Posted: 29 Oct 2015 Last Revised: 02 Nov 2016
Darrell Duffie and Haoxiang Zhu
Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,023 (18,454)

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size discovery, allocative efficiency, workup, dark pool, market design

Size Discovery

NBER Working Paper No. w21696
Number of pages: 62 Posted: 09 Nov 2015
Darrell Duffie and Haoxiang Zhu
Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 9 (564,998)

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7.

Optimal Issuance under Information Asymmetry and Accumulation of Cash Flows

Rock Center for Corporate Governance at Stanford University Working Paper No. 164, Stanford University Graduate School of Business Research Paper No. 13-12
Number of pages: 45 Posted: 18 Nov 2013 Last Revised: 20 Jul 2016
Ilya A. Strebulaev, Haoxiang Zhu and Pavel Zryumov
Stanford University - Graduate School of Business, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Rochester - Simon Business School
Downloads 926 (21,842)

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dynamic information asymmetry, financing, cash flow accumulation, issuance delay, optimal security

Welfare and Optimal Trading Frequency in Dynamic Double Auctions

Number of pages: 66 Posted: 16 Apr 2012 Last Revised: 23 Dec 2015
Songzi Du and Haoxiang Zhu
Simon Fraser University (SFU) - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 694 (32,288)
Citation 1

Abstract:

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trading frequency, welfare, high-frequency trading, dynamic trading, double auction

Welfare and Optimal Trading Frequency in Dynamic Double Auctions

NBER Working Paper No. w20588
Number of pages: 67 Posted: 22 Oct 2014
Songzi Du and Haoxiang Zhu
Simon Fraser University (SFU) - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 3 (601,448)
Citation 1

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9.
Downloads 688 ( 33,492)

Benchmarks in Search Markets

Journal of Finance, Forthcoming, Stanford University Graduate School of Business Research Paper No. 14-47
Number of pages: 62 Posted: 29 Oct 2014 Last Revised: 23 Nov 2016
Darrell Duffie, Piotr Dworczak and Haoxiang Zhu
Stanford University - Graduate School of Business, University of Chicago - Becker Friedman Institute for Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 623 (37,716)

Abstract:

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Benchmark, Search, Transparency, OTC markets, LIBOR

Benchmarks in Search Markets

NBER Working Paper No. w20620
Number of pages: 62 Posted: 27 Oct 2014
Darrell Duffie, Piotr Dworczak and Haoxiang Zhu
Stanford University - Graduate School of Business, University of Chicago - Becker Friedman Institute for Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 65 (319,327)

Abstract:

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10.

Are CDS Auctions Biased and Inefficient?

Forthcoming, Journal of Finance
Number of pages: 47 Posted: 10 Apr 2011 Last Revised: 03 Nov 2016
Songzi Du and Haoxiang Zhu
Simon Fraser University (SFU) - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 655 (35,509)
Citation 3

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credit default swaps, credit event auctions, price bias, manipulation, allocative efficiency, double auction

11.

Commodities as Collateral

Forthcoming, Review of Financial Studies
Number of pages: 54 Posted: 17 Nov 2013 Last Revised: 19 Apr 2016
Ke Tang and Haoxiang Zhu
Institute of Economics, School of Social Science, Tsinghua University and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 585 (41,200)

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commodity, collateral, financialization, theory of storage, capital control

12.

Mortgage Dollar Roll

Review of Financial Studies (Forthcoming)
Number of pages: 72 Posted: 27 Feb 2014 Last Revised: 05 Aug 2018
Zhaogang Song and Haoxiang Zhu
Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 574 (42,430)

Abstract:

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MBS, Dollar Roll, TBA, Specialness

13.

What Is the Optimal Trading Frequency in Financial Markets?

Review of Economic Studies, Forthcoming
Number of pages: 55 Posted: 24 Oct 2016 Last Revised: 24 Dec 2016
Songzi Du and Haoxiang Zhu
Simon Fraser University (SFU) - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 566 (43,072)

Abstract:

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trading frequency, allocative efficiency, high-frequency trading, double auction

14.
Downloads 477 ( 53,606)

QE Auctions of Treasury Bonds

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49 Posted: 31 Mar 2016 Last Revised: 09 Mar 2017
Zhaogang Song and Haoxiang Zhu
Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 302 (91,471)

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Auction, Federal Reserve, Quantitative Easing, Treasury Bond

QE Auctions of Treasury Bonds

FEDS Working Paper No. 2014-48
Number of pages: 55 Posted: 30 Jul 2014
Zhaogang Song and Haoxiang Zhu
Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 175 (156,949)

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auction, quantitative easing, Federal Reserve, treasury bond, specialness

15.

Non-Fundamental Speculation Revisited

Journal of Finance, Forthcoming, Rotman School of Management Working Paper No. 2922855
Number of pages: 15 Posted: 24 Feb 2017
Liyan Yang and Haoxiang Zhu
University of Toronto - Rotman School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 353 (79,121)

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16.

Finding a Good Price in Opaque Over-the-Counter Markets

Review of Financial Studies, Forthcoming
Number of pages: 38 Posted: 07 Nov 2009 Last Revised: 07 Nov 2011
Haoxiang Zhu
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 334 (81,622)
Citation 9

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over-the-counter market, search, adverse selection, market breakdown, fragmentation, outside options, bargaining

17.

Swap Trading after Dodd-Frank: Evidence from Index CDS

Number of pages: 59 Posted: 04 Oct 2017 Last Revised: 26 Jan 2018
Lynn Riggs, Esen Onur, David Reiffen and Haoxiang Zhu
Commodity Futures Trading Commission (CFTC), Commodity Futures Trading Commission (CFTC), U.S. Commodity Futures Trading Commission (CFTC) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 315 (90,264)

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Dodd-Frank Act, OTC Derivatives, Swaps, Swap Execution Facility, Request for Quotes, Auction, Competition, Winner's Curse, Relationship

18.

Risk and Return Trade-Off in the U.S. Treasury Market

Number of pages: 41 Posted: 03 Mar 2014
Eric Ghysels, Anh Le, Sunjin Park and Haoxiang Zhu
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 291 (95,472)

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bond risk premium, stochastic volatility, term structure models

19.

Risk Premia in Gold Lease Rates

UNC Kenan-Flagler Research Paper No. 2013-16, Finance Down Under 2014 Building on the Best from the Cellars of Finance
Number of pages: 41 Posted: 20 Mar 2013 Last Revised: 31 Oct 2013
Anh Le and Haoxiang Zhu
University of North Carolina Kenan-Flagler Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 251 (111,634)

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gold lease rates, risk premia, term structure, unspanned risk

20.

Bilateral Trading in Divisible Double Auctions

Journal of Economic Theory, Forthcoming
Number of pages: 36 Posted: 13 Jun 2016 Last Revised: 07 Dec 2016
Songzi Du and Haoxiang Zhu
Simon Fraser University (SFU) - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 159 (170,685)

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divisible double auctions, bilateral trading, bargaining, ex post equilibrium