Sida Li

University of Illinois at Urbana-Champaign

601 E John St

Champaign, IL 61820

United States

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 22,166

SSRN RANKINGS

Top 22,166

in Total Papers Downloads

3,272

SSRN CITATIONS

4

CROSSREF CITATIONS

4

Scholarly Papers (5)

1.

Should Passive Investors Actively Manage Their Trades?

Number of pages: 40 Posted: 23 Nov 2021 Last Revised: 29 Dec 2021
Sida Li
University of Illinois at Urbana-Champaign
Downloads 1,900 (12,307)

Abstract:

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Exchange-Traded Funds (ETFs), index investing, execution costs, self-indexing, sunshine trading

2.
Downloads 751 ( 47,786)
Citation 2

Who Provides Liquidity and When?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 54 Posted: 21 Jan 2017 Last Revised: 08 Jun 2020
Sida Li, Xin Wang and Mao Ye
University of Illinois at Urbana-Champaign, Nanyang Technological University (NTU) - Division of Banking & Finance and University of Illinois at Urbana-Champaign
Downloads 730 (48,947)
Citation 1

Abstract:

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Algorithmic trading, High-frequency trading, Liquidity, Tick Size

Who Provides Liquidity, and When?

NBER Working Paper No. w25972
Number of pages: 65 Posted: 26 Jun 2019 Last Revised: 19 Nov 2021
Sida Li, Xin Wang and Mao Ye
University of Illinois at Urbana-Champaign, Nanyang Technological University (NTU) - Division of Banking & Finance and University of Illinois at Urbana-Champaign
Downloads 21 (717,435)
Citation 3

Abstract:

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3.

The Optimal Price of a Stock: A Tale of Two Discretenesses

Number of pages: 63 Posted: 08 Mar 2021 Last Revised: 06 Nov 2021
Sida Li and Mao Ye
University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads 314 (136,100)

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Nominal price, liquidity, tick and lot sizes, stock split

4.
Downloads 250 (171,670)

Refusing the Best Price?

Number of pages: 55 Posted: 16 Feb 2021 Last Revised: 23 Mar 2022
Sida Li, Mao Ye and Miles Zheng
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 248 (172,413)

Abstract:

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Regulation NMS, Order Types, Routing, Make/Take Fees, High-Frequency Trading

Financial Regulation, Clientele Segmentation, and Stock Exchange Order Types

NBER Working Paper No. w28515
Number of pages: 52 Posted: 01 Mar 2021 Last Revised: 01 Jun 2022
Sida Li, Mao Ye and Miles Zheng
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 2 (916,852)
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5.

Who Supplies Liquidity, and When?

Number of pages: 63 Posted: 15 Aug 2018
Sida Li, Xin Wang and Mao Ye
University of Illinois at Urbana-Champaign, Nanyang Technological University (NTU) - Division of Banking & Finance and University of Illinois at Urbana-Champaign
Downloads 57 (495,727)
Citation 5

Abstract:

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