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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

  • University of Illinois at Urbana-Champaign

  • National Bureau of Economic Research (NBER)

SCHOLARLY PAPERS

14

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Rank 3,974

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Top 3,974

in Total Papers Downloads

8,324

CITATIONS
Rank 13,894

SSRN RANKINGS

Top 13,894

in Total Papers Citations

27

Scholarly Papers (14)

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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 (3,723)
Citation 17

Abstract:

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

2.

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

Downloads 1,535 ( 8,837)

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 1,111 (14,515)

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, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 424 (55,365)

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 (16,802)
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: 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 (33,082)

Abstract:

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

5.

Designated Market Makers Still Matter: Evidence from Two Natural Experiments

Downloads 245 (104,223)

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
Adam D. Clark-Joseph, Mao Ye and Chao Zi
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads 165 (151,918)

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
Adam D. Clark-Joseph, Mao Ye and Chao Zi
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads 80 (261,564)

Abstract:

Market Makers, HFTs, Liquidity, Obligations, Trading halt

6.

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 (65,249)
Citation 1

Abstract:

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

7.

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

Downloads 202 (126,225)

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 154 (161,232)

Abstract:

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 48 (342,894)

Abstract:

Investment Horizon, Trading Volume, Wavelet Variance

8.

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 (85,953)

Abstract:

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

9.

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 (115,665)
Citation 2

Abstract:

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

10.

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

Downloads 159 (156,758)

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 98 (229,175)

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: 61 Posted: 21 Jan 2017 Last Revised: 04 Sep 2017
Xin Wang and Mao Ye
University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads 61 (304,928)

Abstract:

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

11.

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 (49,604)

Abstract:

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

12.

Sparse Signals in the Cross-Section of Returns

Number of pages: 50 Posted: 16 May 2015 Last Revised: 17 Feb 2017
Alexander Chinco, Adam D. Clark-Joseph and Mao Ye
University of Illinois at Urbana-Champaign - College of Business, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads 135 (73,439)

Abstract:

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

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
Nitesh Chawla, Zhi Da, Jian Xu and Mao Ye
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 (224,618)

Abstract:

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 (137,048)

Abstract:

Discrete Pricing, Market Fragmentation, Two-Sided Markets

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