Mao Ye

University of Illinois at Urbana-Champaign

406 Wohlers

1206 South 6th Street

Champaign, IL 61820

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

17

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10,882

CITATIONS
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SSRN RANKINGS

Top 13,176

in Total Papers Citations

29

Scholarly Papers (17)

1.

The Externalities of High Frequency Trading

Number of pages: 56 Posted: 26 May 2012 Last Revised: 18 Mar 2014
Mao Ye, Chen Yao and Jiading Gai
University of Illinois at Urbana-Champaign, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 2,880 (3,776)
Citation 17

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Externality, Positional Game, High-Frequency Trading, Liquidity, Price Efficiency, Quote Stuffing , Supercomputing

What’s Not There: The Odd-Lot Bias in TAQ Data

Johnson School Research Paper Series No. 31-2011, Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 47 Posted: 23 Jul 2011 Last Revised: 18 Mar 2014
Maureen O'Hara, Chen Yao and Mao Ye
Cornell University - Samuel Curtis Johnson Graduate School of Management, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 1,172 (16,266)

Abstract:

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TAQ data, Odd-lots, Price Discovery, Transparency, Order Imbalance, Retail Trading

What’s Not There: The Odd-Lot Bias in TAQ Data

Johnson School Research Paper Series No. 16-2012, AFA 2013 San Diego Meetings Paper
Number of pages: 57 Posted: 17 Mar 2012 Last Revised: 18 Mar 2014
Maureen O'Hara, Chen Yao and Mao Ye
Cornell University - Samuel Curtis Johnson Graduate School of Management, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 467 (58,263)

Abstract:

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3.

A Glimpse into the Dark: Price Formation, Transaction Cost and Market Share of the Crossing Network

Number of pages: 59 Posted: 10 Jan 2010 Last Revised: 19 Jun 2011
Mao Ye
University of Illinois at Urbana-Champaign
Downloads 1,233 (15,347)
Citation 7

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Crossing Network, Dark Pool, Price Discovery, Liquidity

4.

Why Trading Speed Matters: A Tale of Queue Rationing under Price Controls

Number of pages: 44 Posted: 10 Aug 2014 Last Revised: 13 Aug 2017
Chen Yao and Mao Ye
The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 887 (25,123)
Citation 2

Abstract:

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High-Frequency Trading, Liquidity, Tick Size, Price Controls, Queue Rationing

5.

Why Discrete Price Fragments U.S. Stock Exchanges and Disperses Their Fee Structures

Number of pages: 65 Posted: 26 Nov 2014 Last Revised: 04 Sep 2017
Yong Chao, Chen Yao and Mao Ye
University of Louisville - College of Business - Department of Economics, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 718 (33,630)

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price dispersion, market fragmentation, make-take fees, exchange competition, two-sided market

Sparse Signals in the Cross-Section of Returns

Number of pages: 50 Posted: 16 May 2015 Last Revised: 17 Feb 2017
University of Illinois at Urbana-Champaign - College of Business, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads 645 (38,230)

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Return Predictability, Out-of-Sample Fit, Sparsity, The LASSO

7.

Tick Size Constraints, Market Structure, and Liquidity

Number of pages: 51 Posted: 24 Nov 2013 Last Revised: 18 Mar 2014
Mao Ye and Chen Yao
University of Illinois at Urbana-Champaign and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 489 (55,574)
Citation 1

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price constraints, high-frequency trading, maker/taker fees, liquidity, tick size non-price competition

8.

Discrete Pricing and Market Fragmentation: A Tale of Two-Sided Markets

American Economic Review, Vol. 107, No. 5, 2017
Number of pages: 5 Posted: 23 Jan 2017
Yong Chao, Chen Yao and Mao Ye
University of Louisville - College of Business - Department of Economics, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 366 (78,785)

Abstract:

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Discrete Pricing, Market Fragmentation, Two-Sided Markets

9.

Price Manipulation, Price Discovery and Transaction Costs in the Crossing Network

Number of pages: 57 Posted: 18 Mar 2012
Mao Ye
University of Illinois at Urbana-Champaign
Downloads 366 (78,785)

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crossing network, dark pool, price manipulation, price discovery, liquidity, rational expectation equilibrium

Designated Market Makers Still Matter: Evidence from Two Natural Experiments

Journal of Financial Economics (JFE), Forthcoming, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 36 Posted: 04 Jun 2016 Last Revised: 16 Nov 2016
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads 237 (125,561)

Abstract:

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Designated Market Makers, Liquidity, High-Frequency Trading

Designated Market Makers Still Matter: Evidence from Two Natural Experiments

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 36 Posted: 01 Aug 2016 Last Revised: 20 Oct 2016
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads 120 (228,970)

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Market Makers, HFTs, Liquidity, Obligations, Trading halt

Investment-Horizon Spillovers: Evidence From Decomposing Trading-Volume Variance

Number of pages: 49 Posted: 04 Jan 2015 Last Revised: 02 Jun 2016
Alexander Chinco and Mao Ye
University of Illinois at Urbana-Champaign - College of Business and University of Illinois at Urbana-Champaign
Downloads 222 (134,063)

Abstract:

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Investment Horizon, Trading Volume, Wavelet Variance

Investment-Horizon Spillovers

Number of pages: 36 Posted: 05 Jun 2016 Last Revised: 25 Jul 2017
Alexander Chinco and Mao Ye
University of Illinois at Urbana-Champaign - College of Business and University of Illinois at Urbana-Champaign
Downloads 75 (313,163)

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Investment Horizon, Trading Volume, Wavelet Variance

12.

Who Provides Liquidity and When?

Finance Down Under 2018 Building on the Best from the Cellars of Finance Paper
Number of pages: 64 Posted: 21 Jan 2017 Last Revised: 03 Feb 2019
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 272 (109,463)

Abstract:

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

13.

Non-Execution and Market Share of Crossing Networks

Number of pages: 57 Posted: 04 Dec 2010
Mao Ye
University of Illinois at Urbana-Champaign
Downloads 254 (117,513)
Citation 2

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Dark Pool, Crossing Network, Non-execution, Execution Probability, Transaction Costs

14.

Information Diffusion on Social Media: Does It Affect Trading, Return, and Liquidity?

Number of pages: 54 Posted: 20 Mar 2017 Last Revised: 23 Mar 2017
University of Notre Dame, University of Notre Dame - Mendoza College of Business, University of Notre Dame and University of Illinois at Urbana-Champaign
Downloads 249 (119,932)

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Information Diffusion, Price Pressure, Social Media, Liquidity

15.

Market Structure and Corporate Payout Policy: Evidence from a Controlled Experiment

Number of pages: 53 Posted: 16 Nov 2018 Last Revised: 29 Mar 2019
Xiongshi Li, Mao Ye and Miles Zheng
Guangxi University, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 114 (236,767)

Abstract:

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tick size, dark pool, payout policy, regulation, market liquidity

16.

Where Do Hedge Fund Activists Trade?

Number of pages: 63 Posted: 12 Dec 2018
Mao Ye and Wei Zhu
University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign - Department of Accountancy
Downloads 91 (275,724)

Abstract:

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hedge fund activism, dark pool, price manipulation, rational expectation equilibrium

17.

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 25 (482,012)

Abstract:

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