Finance People | All Faculty

Mao Ye

Assistant Professor of Finance



All Publications


Articles in Journals


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: 459-474

Working Papers


Chinco, A. , Clark-Joseph, A. , Ye, M. 2015. Sparse Signals in the Cross-Section of Returns

Ye, M., Yao, C. 2015. Tick Size Constraints, High Frequency Trading and Liquidity

Ye, M., Yao, C., Yong, C. 2015. Tick Size Constraints, Two Sided Markets and Competition between Stock Exchanges

Ye, M., Da, Z., Chawla, N., Xu, J. 2014. Catching fire: An intraday analysis of information diffusion using retweet data

Ye, M., Gai, J., Yao, C. 2014. The Externalities of High Frequency Trading

Ye, M., Yao, C. 2013. Tick Size Constraints, Market Structure, and liquidity

Ye, M., O"Hara, M., Yao, C. 2012. What is Not There: The Odd-lot Bias in TAQ data. Journal of Finance

Ye, M. 2010. A Glimpse into the Dark: Price Formation, Transaction Cost and Market Share of the Crossing Network

Ye, M. 2010. Non-Execution and Market Share of Crossing Networks

Presentations


Ye, M., Yao, C. Forthcoming. Tick size Constraints, High Frequency Trading and Liquidity, Western Finance Association, Seattle.

Ye, M. Forthcoming. What is Not There: The Odd-Lot Bias in TAQ Data, Society for Financial Studies, SFS Cavalcade 2012 , University of Virginia.

Ye, M., O"Hara, M., Yao, C. Forthcoming. What is Not There: The Odd-lot Bias of TAQ Data, European Finance Association Annual Meeting, Copenhagan.

Ye, M. Forthcoming. Discussion for "Do Dark Pools Harm Price Discovery?" by Haoxiang Zhu, Stanford University, Western Finance Association Annual Meetings, 2011, Santa Fe.

Ye, M. Forthcoming. Transaction Cost and Market Share of Crossing Networks, Financial Management Association, Denver.

Ye, M., Yao, C. 2015. Tick size Constraints, High Frequency Trading and Liquidity, Utah Winter Finance Conference, Salt Lake City.

Ye, M., Yao, C., Yong, C. 2015. Tick Size Constraints, Two Sided Markets and Competition Between Stock Exchanges, Harvard Business School, Boston.

Ye, M., Yao, C., Yong, C. 2015. Tick Size Constraints, Two Sided Markets and Competition Between Stock Exchanges, Washington University at St. Louis, St Louis.

Ye, M., Yao, C., Yong, C. 2015. Tick Size Constraints, Two Sided Markets and Competition Between Stock Exchanges, HEC Lausanne and EPFL, Lausanne.

Ye, M., Gai, J., Yao, C. 2014. The Externalities of High Frequency Trading, American Finance Association Meetings, Philadelphia.

Ye, M., Yao, C. 2014. Tick Size Constraints, Market Structure, and liquidity, HEC Paris, Paris.

Ye, M., Yao, C. 2014. Tick Size Constraints, Market Structure, and liquidity, Paris Hedge Fund Conference, Paris.

Ye, M., Yao, C. 2014. Tick size Constraints, High Frequency Trading and Liquidity, Office of Financial Research, Department of Treasury, Washington DC.

Ye, M., Yao, C., Yong, C. 2014. Tick Size Constraints, Two Sided Markets and Competition Between Stock Exchanges, University of Notre Dame, South Bend.

Ye, M., Yao, C., Yong, C. 2014. Tick Size Constraints, Two Sided Markets and Competition Between Stock Exchanges, Baruch College, New York.

Ye, M. 2013. The Externalities of High Frequency Trading, Northern Finance Assocoation, Quebec City.

Ye, M., Gai, J., Yao, C. 2013. The Externalities of High Frequency Trading, Financial Intermediation Research Society, Dnbrovnik.

Ye, M., Gai, J., Yao, C. 2013. The Externalities of High Frequency Trading, SEC, Washington.

Ye, M., Gai, J., Yao, C. 2013. The Externalities of High Frequency Trading, Central Bank Workshop in Market Microstructure, European Central Bank.

Ye, M., O"Hara, M., Yao, C. 2013. What is Not There: The Odd-lot Bias of TAQ Data, American Finance Association Annual Meetings, San Diego.

Ye, M., Yao, C. 2013. Tick Size Constraints, Market Structure, and liquidity, NBER Market Microstructure Meeting, Boston.

Ye, M., Yao, C., Gai, J. 2013. The Externalities of High Frequency Trading, China International Conference in Finance, Shanghai.

Ye, M., Yao, C., Gai, J. 2013. The Externalities of High Frequency Trading, CFTC/ Amercian University, Washington.

Ye, M., Yao, C., Gai, J. 2013. The Externalities of High Frequency Trading, Mid-Atlantic Research Conference in Finance, Philadelphia.

Ye, M. 2012. Discussion for "Smooth Plaid Models: A Dynamic Clustering Algorithm with Application to Electronic Financial Markets , American Finance Association Annual Meetings, Chicago.

Ye, M. 2012. Discussion, NBER Market Microstructure Meeting, Boston.

Ye, M. 2012. Discussion, Mid-Atlantic Research Conference in Finance, Ottawa.

Ye, M., Yao, C., Gai, J. 2012. The Externalities of High Frequency Trading, University of Toronto, Toronto.

Ye, M., Yao, C., Gai, J. 2012. The Externalities of High Frequency Trading, University of Memphis, Memphis.

Ye, M. 2011. What is Not There: The Odd-Lot Bias in TAQ Data, NBER, Boston.

Ye, M. 2011. What is Not There: The Odd-Lot Bias in TAQ Data, Vienna Graduate School of Finance, Vienna.

Ye, M. 2011. What is Not There: The Odd-Lot Bias in TAQ Data, SUNY-Buffalo, Buffalo.

Ye, M. 2011. What is Not There: The Odd-Lot Bias in TAQ Data, Syracuse University, Research Seminar, Syracuse.

Ye, M. 2011. What is Not There: The Odd-Lot Bias in TAQ Data, Goldman Sachs, New York.

Ye, M. 2011. What is Not There: The Odd-Lot Bias in TAQ Data, NASDAQ, Washington.

Ye, M. 2010. A Glimpse into the Dark: Price Formation, Transaction Cost and Market Share of the Dark Pool, Financial Management Association, New York.

Ye, M., O"Hara, M. 2010. Is market fragmentation harming market quality?, Western Finance Association Annual Meetings, 2011, Victoria.