Mao Ye

Mao Ye

Associate Professor of Finance

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Contact

343 K Wohlers Hall

1206 S. Sixth

Champaign, IL 61820

217-244-0474

maoye@illinois.edu

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Educational Background

  • Ph.D., Economics, Cornell University, 2011
  • M.A., Economics, University of British Columbia, 2004
  • M.A., Finance, Renmin University of China, 2002
  • B.A., Accounting, Southeast University, 1999

Positions Held

  • Associate Professor of Finance, Finance, University of Illinois, 2018 to present
  • Faculty Research Fellow, National Bureau of Economic Research (NBER), 2017
  • Beckman Fellow, Center for Advanced Studies, University of Illinois, 2013
  • Assistant Professor of Finance, University of Illinois, Urbana-Champaign, 2011-2018
  • Trustee, Cornell Board of Trustees, 2006-2008

Recent Publications

  • Ye, M., Yong, C., & Yao, C. Forthcoming. Why Discrete Price Fragments U.S. Stock Exchanges and Disperses Their Fee Structures, Conditionally Accepted. Review of Financial Studies.
  • Chinco, A., Clark-Joseph, A., & Ye, M. (2019). Sparse Signals in the Cross-section of Returns. Journal of Finance, 74 (1), 449-492.
  • Ye, M., & Yao, C. (2018). Why Trading Speed Matters: A Tale of Queue Rationing under Price Controls, Forthcoming. Review of Financial Studies, 31 (6), 2157–2183.
  • Ye, M., Clark-Joseph, A., & Zi, C. (2017). Designated Market Makers Still Matter: Evidence from Two Natural Experiments. Journal of Financial Economics, 126 652-667.

Other Publications

Articles

  • Ye, M., O'Hara, M., & Yao, C. (2014). What's Not There: The Odd-Lot Bias in TAQ Data. Journal of Finance.
  • Ye, M., & O'Hara, M. (2011). Is Market Fragmentation Harming Market Quality? Journal of Financial Economics, 100 (3), 459-474.

Presentations

  • Clark-Joseph, A., Ye, M., & Chinco, A. (2016). Sparse Signals in the Cross-Section of Returns. SIAM Conference on Financial Mathematics and Engineering.
  • Clark-Joseph, A., Ye, M., & Zi, C. (2016). Designated Market-Makers Still Matter: Evidence from two Natural Experiments. Western Finance Association Annual Meetings.
  • Yong, C., Yao, C., & Ye, M. (2016). What Drives Price Dispersion and Market Fragmentation across U.S. Stock Exchanges? Texas Finance Symposium.
  • Yong, C., Yao, C., & Ye, M. (2016). What Drives Price Dispersion and Market Fragmentation across U.S. Stock Exchanges? Utah Winter Finance Conference.
  • Clark-Joseph, A., Chinco, A., & Ye, M. (2016). Sparse Signals in the Cross-Section of Returns. American Finance Association Annual Meetings.
  • Ye, M., & Yao, C. (2015). Tick size Constraints, High Frequency Trading and Liquidity. Western Finance Association.
  • Ye, M., & Yao, C. (2015). Tick size Constraints, High Frequency Trading and Liquidity. Utah Winter Finance Conference.
  • Ye, M., Yao, C., & Yong, C. (2015). Tick Size Constraints, Two Sided Markets and Competition Between Stock Exchanges. HEC Lausanne and EPFL.
  • Ye, M., Yao, C., & Yong, C. (2015). Tick Size Constraints, Two Sided Markets and Competition Between Stock Exchanges. Washington University at St. Louis.
  • Ye, M., Yao, C., & Yong, C. (2015). Tick Size Constraints, Two Sided Markets and Competition Between Stock Exchanges. Harvard Business School.
  • Ye, M., & Yao, C. (2014). Tick size Constraints, High Frequency Trading and Liquidity. Office of Financial Research, Department of Treasury.
  • Ye, M., & Yao, C. (2014). Tick Size Constraints, Market Structure, and liquidity. HEC Paris.
  • Ye, M., & Yao, C. (2014). Tick Size Constraints, Market Structure, and liquidity. Paris Hedge Fund Conference.
  • Ye, M., Gai, J., & Yao, C. (2014). The Externalities of High Frequency Trading. American Finance Association Meetings.
  • Ye, M., Yao, C., & Yong, C. (2014). Tick Size Constraints, Two Sided Markets and Competition Between Stock Exchanges. Baruch College.
  • Ye, M., Yao, C., & Yong, C. (2014). Tick Size Constraints, Two Sided Markets and Competition Between Stock Exchanges. University of Notre Dame.
  • Ye, M., & Yao, C. (2013). Tick Size Constraints, Market Structure, and liquidity. NBER Market Microstructure Meeting.
  • Ye, M., Gai, J., & Yao, C. (2013). The Externalities of High Frequency Trading. Central Bank Workshop in Market Microstructure.
  • Ye, M. (2013). The Externalities of High Frequency Trading. Northern Finance Assocoation.
  • Ye, M., Gai, J., & Yao, C. (2013). The Externalities of High Frequency Trading. SEC.
  • Ye, M., Gai, J., & Yao, C. (2013). The Externalities of High Frequency Trading. Financial Intermediation Research Society.
  • Ye, M., O'Hara, M., & Yao, C. (2013). What is Not There: The Odd-lot Bias of TAQ Data. American Finance Association Annual Meetings.
  • Ye, M., Yao, C., & Gai, J. (2013). The Externalities of High Frequency Trading. Mid-Atlantic Research Conference in Finance.
  • Ye, M., Yao, C., & Gai, J. (2013). The Externalities of High Frequency Trading. CFTC/ Amercian University.
  • Ye, M., Yao, C., & Gai, J. (2013). The Externalities of High Frequency Trading. China International Conference in Finance.
  • Ye, M. (2012). Discussion. Mid-Atlantic Research Conference in Finance.
  • Ye, M. (2012). Discussion. NBER Market Microstructure Meeting.
  • Ye, M. (2012). Discussion for "Smooth Plaid Models: A Dynamic Clustering Algorithm with Application to Electronic Financial Markets. American Finance Association Annual Meetings.
  • Ye, M. (2012). What is Not There: The Odd-Lot Bias in TAQ Data. Society for Financial Studies, SFS Cavalcade 2012.
  • Ye, M., O'Hara, M., & Yao, C. (2012). What is Not There: The Odd-lot Bias of TAQ Data. European Finance Association Annual Meeting.
  • Ye, M., Yao, C., & Gai, J. (2012). The Externalities of High Frequency Trading. University of Memphis.
  • Ye, M., Yao, C., & Gai, J. (2012). The Externalities of High Frequency Trading. University of Toronto.
  • Ye, M. (2011). What is Not There: The Odd-Lot Bias in TAQ Data. NBER.
  • Ye, M. (2011). Transaction Cost and Market Share of Crossing Networks. Financial Management Association.
  • Ye, M. (2011). What is Not There: The Odd-Lot Bias in TAQ Data. Vienna Graduate School of Finance.
  • Ye, M. (2011). Discussion for "Do Dark Pools Harm Price Discovery?" by Haoxiang Zhu, Stanford University. Western Finance Association Annual Meetings, 2011.
  • Ye, M. (2011). What is Not There: The Odd-Lot Bias in TAQ Data. NASDAQ.
  • Ye, M. (2011). What is Not There: The Odd-Lot Bias in TAQ Data. Goldman Sachs.
  • Ye, M. (2011). What is Not There: The Odd-Lot Bias in TAQ Data. Syracuse University, Research Seminar.
  • Ye, M. (2011). What is Not There: The Odd-Lot Bias in TAQ Data. SUNY-Buffalo.
  • Ye, M. (2010). A Glimpse into the Dark: Price Formation, Transaction Cost and Market Share of the Dark Pool. Financial Management Association.
  • Ye, M., & O'Hara, M. (2010). Is market fragmentation harming market quality? Western Finance Association Annual Meetings, 2011.

Working Papers

  • Zhu, W., Ye, M., & Zheng, M. Price discreteness and investment to price sensitivity.
  • Zhu, W., & Ye, M. Where do hedge fund activists trade.
  • Ye, M., & Wang, X. Who Supplies Liquidity, and When.
  • Chinco, A., & Ye, M. Investor Horizon Spillovers: Evidence from Decomposing Trading-Volume Variance.
  • Ye, M., Da, Z., Chawla, N., & Xu, J. Catching fire: An intraday analysis of information diffusion using retweet data.
  • Ye, M., Gai, J., & Yao, C. The Externalities of High Frequency Trading.
  • Ye, M. A Glimpse into the Dark: Price Formation, Transaction Cost and Market Share of the Crossing Network.
  • Ye, M. Non-Execution and Market Share of Crossing Networks.

Honors and Awards

  • R.C. Evans Data Analytics Fellowship, University of Illinois Gies College of Business, 2018 to present

Grants

  • Understanding the Financial Market Ecosystem (Award Number 1838183), National Science Foundation, 2018 to present
  • Nano-finance, National Science Foundation, 2013-2015
  • Reserving and Utilizing Historical Trading Data of the New York Stock Exchange from 1818-1952, University of Illinois Research Board Award and College of Business BEBR/Office of Research Fund 2013, 2013
  • The Lost World Systematic Truncation of Current Financial Data and Its Impact on Research and Policy Making, NCSA, 2012,2012
  • The Lost World Systematic Truncation of Current Financial Data and Its Impact on Research and Policy Making, National Science Foundation’s (NSF) Extreme Science and Engineering Discovery Environment, 2012
  • The Lost World: Systematic Truncation of TAQ Data and Its Consequences., Bureau of Economic and Business Research, 2011
  • Price Discovery and Liquidity in a Fragmented Market, NASDAQ Foundation, 2009-2010

Current Courses

  • Fin Tech (FIN 580) Approved for letter and S/U grading. May be repeated to a maximum of 18 hours in a semester; may be repeated to a maximum of 32 hours in subsequent semesters.

Contact

343 K Wohlers Hall

1206 S. Sixth

Champaign, IL 61820

217-244-0474

maoye@illinois.edu

Vita

Homepage