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

18

DOWNLOADS
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Top 3,341

in Total Papers Downloads

11,541

SSRN CITATIONS
Rank 7,929

SSRN RANKINGS

Top 7,929

in Total Papers Citations

44

CROSSREF CITATIONS

88

Scholarly Papers (18)

1.

The Externalities of High Frequency Trading

WBS Finance Group Research Paper No. 180
Number of pages: 56 Posted: 26 May 2012 Last Revised: 26 Dec 2019
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 2,987 (3,866)
Citation 22

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

2.
Downloads 1,695 ( 10,019)
Citation 7

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, WBS Finance Group Research Paper No. 167
Number of pages: 47 Posted: 23 Jul 2011 Last Revised: 26 Dec 2019
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 1,206 (16,759)
Citation 5

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, WBS Finance Group Research Paper No. 176
Number of pages: 57 Posted: 17 Mar 2012 Last Revised: 26 Dec 2019
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 489 (58,804)
Citation 13

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 1,268 (15,836)
Citation 45

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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 917 (25,627)
Citation 13

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

Review of Financial Studies, 2019
Number of pages: 65 Posted: 26 Nov 2014 Last Revised: 30 Jul 2019
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 743 (34,359)
Citation 5

Abstract:

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

6.
Downloads 680 ( 36,537)
Citation 13

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 680 (38,172)
Citation 2

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

7.

Tick Size Constraints, Market Structure, and Liquidity

WBS Finance Group Research Paper No. 212
Number of pages: 51 Posted: 24 Nov 2013 Last Revised: 26 Dec 2019
Mao Ye and Chen Yao
University of Illinois at Urbana-Champaign and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 511 (56,230)
Citation 1

Abstract:

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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 396 (76,714)
Citation 9

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 387 (78,716)
Citation 12

Abstract:

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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 252 (125,562)
Citation 1

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 131 (227,225)
Citation 2

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Market Makers, HFTs, Liquidity, Obligations, Trading halt

11.
Downloads 336 ( 89,942)

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: 18 Jul 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 336 (91,992)

Abstract:

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

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

Number of pages: 49 Posted: 04 Jan 2015 Last Revised: 02 Jun 2016
Alex Chinco and Mao Ye
University of Illinois at Urbana-Champaign - College of Business and University of Illinois at Urbana-Champaign
Downloads 229 (138,314)
Citation 2

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
Alex Chinco and Mao Ye
University of Illinois at Urbana-Champaign - College of Business and University of Illinois at Urbana-Champaign
Downloads 77 (327,015)

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Investment Horizon, Trading Volume, Wavelet Variance

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 299 (105,311)
Citation 1

Abstract:

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Information Diffusion, Price Pressure, Social Media, Liquidity

14.

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 265 (120,181)
Citation 8

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

15.

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

Number of pages: 56 Posted: 16 Nov 2018 Last Revised: 07 Jul 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 162 (190,220)

Abstract:

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

16.

Strategic Informed Trading and Dark Pools

Number of pages: 53 Posted: 12 Dec 2018 Last Revised: 02 Feb 2020
Mao Ye and Wei Zhu
University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign - Department of Accountancy
Downloads 138 (217,296)

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Dark pool, rational expectations equilibrium, price discovery, shareholder activism, Schedule 13D filings

17.

Price Discreteness and Investment to Price Sensitivity

Number of pages: 52 Posted: 04 Feb 2020
Mao Ye, Miles Zheng and Wei Zhu
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Accountancy
Downloads 36 (457,200)

Abstract:

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price discreteness, investment to price sensitivity, price informativeness, managerial learning

18.

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 32 (475,225)

Abstract:

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