Chen Yao

University of Warwick

Assistant Professor of Finance

Warwick Business School

Gibbet Hill Road

Coventry, West Midlands CV47AL

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS
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CITATIONS
Rank 18,042

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Top 18,042

in Total Papers Citations

18

Scholarly Papers (6)

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, University of Warwick and University of Illinois at Urbana-Champaign
Downloads 2,043 (3,748)
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, University of Warwick and University of Illinois at Urbana-Champaign
Downloads 1,105 (14,265)

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, University of Warwick and University of Illinois at Urbana-Champaign
Downloads 418 (55,094)

Abstract:

3.

Why Trading Speed Matters: A Tale of Queue Rationing under Price Controls

Number of pages: 44 Posted: 10 Aug 2014 Last Revised: 17 Sep 2015
Chen Yao and Mao Ye
University of Warwick and University of Illinois at Urbana-Champaign
Downloads 284 (36,228)
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 University of Warwick
Downloads 243 (66,512)
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, University of Warwick and University of Illinois at Urbana-Champaign
Downloads 144 (55,466)

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, University of Warwick and University of Illinois at Urbana-Champaign
Downloads 0 (189,276)

Abstract:

Discrete Pricing, Market Fragmentation, Two-Sided Markets