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

19

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93

CROSSREF CITATIONS

98

Scholarly Papers (19)

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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 3,191 (4,412)
Citation 30

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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 1,771 ( 11,597)
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 1,256 (19,424)
Citation 5

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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 515 (66,331)
Citation 14

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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 1,342 (17,939)
Citation 49

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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 962 (29,256)
Citation 24

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

5.

Sparse Signals in the Cross-Section of Returns

Downloads 735 ( 38,975)
Citation 31

Sparse Signals in the Cross-Section of Returns

Number of pages: 50 Posted: 16 May 2015 Last Revised: 17 Feb 2017
Alex Chinco, Adam D. Clark-Joseph and Mao Ye
University of Chicago - Booth School of Business, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads 735 (41,822)
Citation 2

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

6.

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 762 (40,388)
Citation 15

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

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 565 (59,719)

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

8.

Who Provides Liquidity and When?

Downloads 553 ( 59,854)
Citation 1

Who Provides Liquidity and When?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 54 Posted: 21 Jan 2017 Last Revised: 08 Jun 2020
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 553 (60,730)
Citation 1

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

9.

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 438 (81,651)
Citation 9

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Discrete Pricing, Market Fragmentation, Two-Sided Markets

10.

Designated Market Makers Still Matter: Evidence from Two Natural Experiments

Downloads 425 ( 84,637)
Citation 7

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 268 (139,985)
Citation 2

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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
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 157 (230,522)
Citation 5

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Market Makers, HFTs, Liquidity, Obligations, Trading halt

11.

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 418 (86,277)
Citation 14

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

12.

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 409 (88,491)
Citation 5

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Information Diffusion, Price Pressure, Social Media, Liquidity

13.

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

Downloads 325 (114,789)
Citation 2

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 Chicago - Booth School of Business and University of Illinois at Urbana-Champaign
Downloads 235 (159,563)
Citation 2

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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 Chicago - Booth School of Business and University of Illinois at Urbana-Champaign
Downloads 90 (347,004)

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Investment Horizon, Trading Volume, Wavelet Variance

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 283 (132,918)
Citation 10

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

15.

Price Ceiling, Market Structure, and Payout Policies

Number of pages: 42 Posted: 16 Nov 2018 Last Revised: 01 Dec 2020
Mao Ye, Miles Zheng and Xiongshi Li
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign - Department of Finance and Guangxi University of Finance and Economics
Downloads 262 (143,908)
Citation 3

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Price Ceiling, Market Structure, Share Repurchase, Dark Pool, Regulation

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 258 (146,716)

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

17.

Big Data in Finance

Downloads 219 (155,585)

Big Data in Finance

Number of pages: 20 Posted: 22 Mar 2021
Itay Goldstein, Chester S. Spatt and Mao Ye
University of Pennsylvania - The Wharton School - Finance Department, Carnegie Mellon University - David A. Tepper School of Business and University of Illinois at Urbana-Champaign
Downloads 219 (170,862)

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Big Data

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 47 (480,794)
Citation 5

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19.

The Tick Size and Stock Price Informativeness: Evidence from Investment–q Sensitivity

Posted: 04 Feb 2020 Last Revised: 14 Jun 2021
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

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tick size; stock price informativeness; investment; Tobin’s q; managerial learning; feedback effect