Mao Ye

University of Illinois at Urbana-Champaign

406 Wohlers

1206 South 6th Street

Champaign, IL 61820

United States

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 4,404

SSRN RANKINGS

Top 4,404

in Total Papers Downloads

7,250

CITATIONS
Rank 14,556

SSRN RANKINGS

Top 14,556

in Total Papers Citations

25

Scholarly Papers (13)

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, University of Warwick and University of Illinois at Urbana-Champaign
Downloads 2,043 (3,751)
Citation 15

Abstract:

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, University of Warwick and University of Illinois at Urbana-Champaign
Downloads 1,090 (13,909)

Abstract:

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, University of Warwick and University of Illinois at Urbana-Champaign
Downloads 409 (54,329)

Abstract:

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 (16,675)
Citation 7

Abstract:

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: 17 Sep 2015
Chen Yao and Mao Ye
University of Warwick and University of Illinois at Urbana-Champaign
Downloads 284 (40,669)

Abstract:

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

5.

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 University of Warwick
Downloads 243 (69,965)
Citation 1

Abstract:

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

6.

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 (86,987)

Abstract:

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

7.

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 (117,233)
Citation 2

Abstract:

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

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 113 (194,990)

Abstract:

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 58 (295,247)

Abstract:

Market Makers, HFTs, Liquidity, Obligations, Trading halt

9.

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

Number of pages: 71 Posted: 26 Nov 2014 Last Revised: 17 Feb 2017
Yong Chao, Chen Yao and Mao Ye
University of Louisville - College of Business - Department of Economics, University of Warwick and University of Illinois at Urbana-Champaign
Downloads 144 (66,886)

Abstract:

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

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 107 (204,372)

Abstract:

Investment Horizon, Trading Volume, Wavelet Variance

Investment-Horizon Spillovers

Number of pages: 46 Posted: 05 Jun 2016 Last Revised: 17 Feb 2017
Alexander Chinco and Mao Ye
University of Illinois at Urbana-Champaign - College of Business and University of Illinois at Urbana-Champaign
Downloads 37 (359,821)

Abstract:

Investment Horizon, Trading Volume, Wavelet Variance

11.

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 135 (90,197)

Abstract:

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

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 31 (392,245)

Abstract:

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: 54 Posted: 21 Jan 2017
Mao Ye
University of Illinois at Urbana-Champaign
Downloads 28 (396,933)

Abstract:

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

13.

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, University of Warwick and University of Illinois at Urbana-Champaign
Downloads 0 (345,405)

Abstract:

Discrete Pricing, Market Fragmentation, Two-Sided Markets