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

18

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59

CROSSREF CITATIONS

93

Scholarly Papers (18)

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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 3,047 (4,003)
Citation 24

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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 1,711 ( 10,547)
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 1,219 (17,531)
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 492 (61,714)
Citation 13

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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 1,290 (16,406)
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 932 (26,524)
Citation 17

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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 747 (36,180)
Citation 11

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

6.

Sparse Signals in the Cross-Section of Returns

Downloads 704 ( 36,732)
Citation 19

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 Illinois at Urbana-Champaign - College of Business, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads 704 (38,656)
Citation 3

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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 531 (56,682)

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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 397 ( 78,489)
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 397 (80,034)
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 403 (79,362)
Citation 8

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Discrete Pricing, Market Fragmentation, Two-Sided Markets

10.

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 400 (80,080)
Citation 13

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

11.

Designated Market Makers Still Matter: Evidence from Two Natural Experiments

Downloads 394 ( 81,465)
Citation 4

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 256 (130,268)
Citation 1

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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 138 (228,790)
Citation 4

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Market Makers, HFTs, Liquidity, Obligations, Trading halt

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 328 (100,418)
Citation 2

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Information Diffusion, Price Pressure, Social Media, Liquidity

13.

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

Downloads 317 (104,295)
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 Illinois at Urbana-Champaign - College of Business and University of Illinois at Urbana-Champaign
Downloads 232 (143,844)
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 Illinois at Urbana-Champaign - College of Business and University of Illinois at Urbana-Champaign
Downloads 85 (322,868)

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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 271 (123,242)
Citation 9

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

15.

Market Structure and Corporate Payout Policy

Number of pages: 38 Posted: 16 Nov 2018 Last Revised: 20 Jun 2020
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 189 (174,787)
Citation 2

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Market Microstructure, Share Repurchase, Queuing, 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 155 (207,625)
Citation 1

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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 88 (315,513)

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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 34 (487,860)
Citation 2

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