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

14

DOWNLOADS
Rank 3,767

SSRN RANKINGS

Top 3,767

in Total Papers Downloads

8,765

CITATIONS
Rank 13,547

SSRN RANKINGS

Top 13,547

in Total Papers Citations

28

Scholarly Papers (14)

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 2,043 (3,699)
Citation 17

Abstract:

Loading...

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 1,126 (14,583)

Abstract:

Loading...

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 434 (54,859)

Abstract:

Loading...

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 791 (15,082)
Citation 7

Abstract:

Loading...

Crossing Network, Dark Pool, Price Discovery, Liquidity

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 365 (67,609)

Abstract:

Loading...

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

5.

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 284 (30,964)
Citation 1

Abstract:

Loading...

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

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 177 (145,124)

Abstract:

Loading...

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 86 (254,118)

Abstract:

Loading...

Market Makers, HFTs, Liquidity, Obligations, Trading halt

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 243 (62,405)
Citation 1

Abstract:

Loading...

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

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 163 (156,130)

Abstract:

Loading...

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 49 (345,150)

Abstract:

Loading...

Investment Horizon, Trading Volume, Wavelet Variance

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 199 (81,667)

Abstract:

Loading...

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

Who Provides Liquidity, and When: An Analysis of Price vs Speed Competition on Liquidity and Welfare

Number of pages: 54 Posted: 19 Jan 2017
Mao Ye
University of Illinois at Urbana-Champaign
Downloads 107 (218,994)

Abstract:

Loading...

High-frequency trading, Algorithmic trading, Tick Size, Liquidity, Mini-flash crash

Who Provides Liquidity and When: An Analysis of Price vs. Speed Competition on Liquidity and Welfare

Number of pages: 61 Posted: 21 Jan 2017 Last Revised: 13 Nov 2017
Xin Wang and Mao Ye
University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads 71 (285,307)

Abstract:

Loading...

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

11.

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 176 (112,696)
Citation 2

Abstract:

Loading...

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

12.

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 144 (44,338)

Abstract:

Loading...

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

13.

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 0 (206,773)

Abstract:

Loading...

Information Diffusion, Price Pressure, Social Media, Liquidity

14.

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 0 (114,199)

Abstract:

Loading...

Discrete Pricing, Market Fragmentation, Two-Sided Markets