Mao Ye

Associate Professor of Finance and Shebik Faculty Fellow

Contact

343 K Wohlers Hall

1206 S Sixth St

Champaign, IL 61820

Listings

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.
Ye, M., Zhu, W., & Zheng, M. (2022). The Effect of Tick Size on Managerial Learning from Stock Prices. Journal of Accounting and Economics, 75 101515.
Ye, M., Li, S., & Wang, X. (2021). Who provides liquidity, and when? Journal of Financial Economics.
Ye, M., Goldstein , I., & Spatt, C. (2021). Big Data in Finance. Review of Financial Studies, 34 (7), 3213-3225.

Other Publications

Articles

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.
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

Ye, M., Li, S., & Zheng, M. (2021). Who use what order types and why? American Finance Association Annual Meeting.
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. Utah Winter Finance Conference.
Ye, M., & Yao, C. (2015). Tick size Constraints, High Frequency Trading and Liquidity. Western Finance Association.
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., & 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. (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. Paris Hedge Fund Conference.
Ye, M., & Yao, C. (2014). Tick Size Constraints, Market Structure, and liquidity. HEC Paris.
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. Financial Intermediation Research Society.
Ye, M., Gai, J., & Yao, C. (2013). The Externalities of High Frequency Trading. SEC.
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. CFTC/ Amercian University.
Ye, M., Yao, C., & Gai, J. (2013). The Externalities of High Frequency Trading. China International Conference in Finance.
Ye, M., Yao, C., & Gai, J. (2013). The Externalities of High Frequency Trading. Mid-Atlantic Research 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. SUNY-Buffalo.
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. Goldman Sachs.
Ye, M. (2011). What is Not There: The Odd-Lot Bias in TAQ Data. NASDAQ.
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. Strategic informed trading and dark pools. link >
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

Shebik Faculty Fellow, University of Illinois at Urbana- Champaign, 2021 to present
James F. Towey Faculty Fellow, University of Illinois Gies College of Business, 2018-2021

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

Service

Program Committee, Econometric Society - North American Winter Meetings, 2022 to present
Session Chair, American Finance Association (AFA), 2021 to present
Associate Program Chair, Western Finance Association Annual Meeting, 2021 to present
Organizer, NBER Winter Big Data Conference, 2019 to present
Associate Editor, Management Science, 2018 to present
Organizer, NBER Summer Big Data Conferences, 2018 to present

Current Courses

Investment & Portfolio Mngt (FIN 411) Current theories of portfolio management are covered in considerable detail to provide a conceptual framework for the evaluation of investment strategies. Applications and implementation are covered in depth, including performance evaluation and international diversification.
Investments (FIN 511) Introduction to investment analysis, including the theory and implementation of portfolio theory; empirical evidence on the performance of financial assets; evaluation of portfolio investment strategies; and the extension of diversification to international markets.
Financial Innovation (FIN 555) Recent years have seen the rapid development of the fintech sector, bringing together technology and data, startups and established firms in ways that are likely to shape and disrupt financial markets going forward. This course will involve a mix of lectures, guest speakers, and class discussion of breaking developments and new ventures. Some of the fintech sectors we will discuss include consumer finance, payments, investing and trading, cryptocurrencies and blockchain, and privacy and regulatory concerns. Because of the innovative and rapidly evolving nature of the fintech sector, this class will depend heavily on student engagement and class discussion. Students should be prepared to participate actively, and not just sit and listen to lectures. Each student will participate in two group presentations on the fintech sector, at the middle and end of the semester. A group project is due at the end of the semester, detailing a fintech startup idea, an analysis of an existing fintech business, or an analysis of a fintech sector. 4 graduate hours. No professional credit. Credit is not given for FIN 555 and FIN 580: Section FT2 (72037).

Contact

343 K Wohlers Hall

1206 S Sixth St

Champaign, IL 61820