Chen Yao

The Chinese University of Hong Kong (CUHK) - CUHK Business School

Assistant Professor of Finance

Cheng Yu Tung Building

Shatin, N.T.

Hong Kong

http://sites.google.com/site/chenyaosite/research

SCHOLARLY PAPERS

7

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5,671

CITATIONS
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SSRN RANKINGS

Top 17,462

in Total Papers Citations

19

Scholarly Papers (7)

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 (3,725)
Citation 17

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, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 1,109 (14,437)

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 (54,885)

Abstract:

3.

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 (33,715)
Citation 1

Abstract:

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

4.

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 (65,912)
Citation 1

Abstract:

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

5.

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, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 144 (51,856)

Abstract:

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

6.

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 (153,049)

Abstract:

Discrete Pricing, Market Fragmentation, Two-Sided Markets

7.

The Real Costs of Natural Experiments

Number of pages: 49
Shiyun Song and Chen Yao
University of Warwick - Warwick Business School and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 0

Abstract:

market liquidity, price efficiency, news response rate, asset return