Ye Appointed to National Bureau of Economic Research

Assistant Professor of Finance Mao Ye was recently appointed to the National Bureau of Economic Research (NBER). Founded in 1920, the NBER is a private, nonprofit, nonpartisan organization dedicated to conducting economic research and to disseminating research findings among academics, public policy makers, and business professionals. It is the nation's leading nonprofit economic research organization.

Ye’s research lies at the intersection of big data, high-performance computing and the economics, and finance realm. Using computing resources, Ye tackles large amounts of data currently being collected by companies and finance institutions.

“The high-performance computing is more like a tool,” he said, “because we are basically doing big data research.”

As a member of NBER, Ye—together with his colleagues Alex Chinco and Adam Clark-Joseph—plans to spread the word about high-performance computing tools to researchers in finance. He also became the NBER organizer of the conference Competition and the Industrial Organization of Securities Markets, which will be held December 2017.

To illustrate the impact high-performance computing can have on financial research, Ye points to a project he undertook with researchers from the University of Warwick and Cornell University that eventually brought about changes in US trading reporting policies. Mao and his co-researchers were examining odd-lot trades, those that were for less than 100 shares. Originally, odd-lot trades were not reported for the daily Trade and Quote (TAQ) database—which contains transaction data stocks listed on the New York Stock Exchange (NYSE), American Stock Exchange (AMEX), and Nasdaq. They were not reported because it was assumed that such small quantities were made by small-time traders and therefore would not provide enough information about trends and share pricing. However, by studying the vast quantities of transaction data using computing, Ye and his co-researchers showed that the median trade size on the Nasdaq was at 100 shares, indicating that there was a large number of trades taking place that were in the odd lot size. Thousands of small quantity trades were being conducted by computers that were able to make of trades in fractions of a second.

Because of this research, which was published in The Journal of Finance, the U.S. Securities and Exchange Commission reduced the reporting hurdle from 100 shares to 1 share. High-performance computing was essential to accomplishing this research. In fact, the project was recognized for its computing innovation by receiving the 2013 Editor’s Choice from HPCwire in the area of financial computing. Other distinctions that Ye has received for his research and teaching include the 2015 Professional MBA Teaching Excellence Award from the College of Business at Illinois, and the 2016 University of Illinois Educator of the Year recognition from the University of Illinois Student Alumni Ambassadors. In 2013 he was also named a domain champion in economics by the NSF Extreme Science and Engineering Discovery Environment (XSEDE) program. Ye joins seven other members of the College of Business who are also affiliated with the NBER: Heitor Almeida, Dean Jeffrey Brown, Tatyana Deryugina, Don Fullerton, Nolan Miller, David Molitor, and Scott Weisbenner.