Mao Ye

PERSONAL INFORMATION

Address : 343K Wohlers Hall 1206 South Sixth Street Champaign, IL, 61820
Tel : 217-244-0474
Email : maoye@illinois.edu
Citizenship: China, U.S. Permanent Resident      

EDUCATION

January 2011       Cornell University     Ithaca, NY            
                            Ph.D., Economics
August 2004        University of british Columbia     Vancouver, Canada  
                            M.A., Economics  
July 2002             Renmin University of China        Beijing, P. R. China                        
                            M.A., Finance
July 1999              Southeast University        Nanjing, P. R. China
                            B.A., Accounting  

Position Held

2011- Present   University of Illinois at Urbana-Champaign
                        Assistant Professor of Finance
2013                 Beckman Fellow, Center for Advanced Studies, University of Illinois at Urbana-                              Champaign (Reduced teaching load for  2013-2014 academic year)

FIELDS

Market Microstructure, Big Data

Publication

  1. Is Market Fragmentation Harming Market Quality? (with Maureen O’Hara) Journal of Financial Economics, Vol. 100, No. 3, June, 2011, pp. 459-474. Lead article
  2. What is Not There: The Odd-lot Bias of TAQ Data, With Maureen O’Hara and Chen Yao (forthcoming in Journal of Finance)
    • Media coverage in Washington Post, Bloomberg news (three times), Businessweek and Trader’s Magazine
    • Lead to the policy change in trade report requirement in the United States

WORKING PAPERS

TEACHING EXPERIENCE

FIN 511: Portfolio Management for Professional MBA
• Winner of Professional MBA Teaching Excellence Award
• List of Teachers Ranked as Outstanding

FIN 411: Portfolio Management for undergraduates.
• Most Recent Course Evaluation (5.0/5.0)
• List of Teachers Ranked as Outstanding

WORK EXPERIENCE

2006-2008      Trustee, Board of Trustees, Cornell University
2006-2008      Columnist, Cornell Daily Sun    

EXTERNAL RESEARCH GRANT AND FELLOWSHIP

National Science Foundation grant: $255,851, Principal Investigator, joint with Robert Sinkovits from San Diego Supercomputing Center

National Science Foundation’s XSEDE (Extreme Science and Engineering Discovery Environment) program

  • Pittsburg Supercomputer Center: 1,250,000 Service Units from Blacklight supercomputer and Staff support from Anirban Jana and David O’Neal
  • San Diego Supercomputer Center: 2,000,000 service units from Gordon supercomputer and staff support from Robert Sinkovits and

NASDAQ OMX Education Foundation, 2009-2010, $15,000 for “Price Discovery and Liquidity in a Fragmented Stock Market”

University of Illinois Research Board Award and College of Business BEBR/Office of Research Fund 2011, $7,500 for “The Lost World: Systematic Truncation of TAQ Data and Its Consequences.”

University of Illinois Research Board Award and College of Business BEBR/Office of Research Fund 2011, $18,000 for “reserving and Utilizing Historical Trading Data of the New York Stock Exchange from 1818-1952”

SERVICES

Ad-hoc Referee: Journal of Finance, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Management Science, Journal of Financial Markets, Review of Finance, Journal of Financial Intermediation, Journal of Empirical Finance, Quantitative Finance

Conferences: Committee for the Best Paper in Market Microstructure: Financial Management Association Annual Meeting, program committee for European Finance Association Annual Meeting and Financial Intermediation Research Society Conference, Section Chair for China International Finance Conference

Grant/Proposal Reviewer:  United KingdomGovernment Office for Science, Hong Kong Research Grants Council

Ph.D. Dissertation Committee:  
Dmitriy Muravyev (Initial Placement: Boston College)
Jaehoon Lee (Initial Placement: University of New South Wales)
Chen Yao (Co-chair of the committee, Initial Placement: University of Warwick)

SELECTED HONORS AND AWARDS

2015: List of Teachers Ranked as Outstanding for Undergraduate Teaching

2015: Professional MBA Teaching Excellence Award

2013: HPCwire Editor’s Choice Award for best use of high performance computing in financial services

2013: Beckman Fellow, Center for Advanced Studies, University of Illinois, Urbana-Champaign

2013: Domain Champion in Economics, National Science Foundation’s XSEDE program

2013: Best paper award:  Mid-Atlantic Research Conference in Finance

2005-2010: Sage Fellowship, Cornell University

2008: American Finance Association travel grant

2007: Speaker for 142nd New Student Convocation at Cornell University:  invited to deliver the welcome speech to 3,500 new students and their parents on behalf of all Cornell students

PAPER PRESENTATIONS AND DISCUSSIONS

2016: AFA, Utah Winter Finance Conference

2015: Harvard Business School and Harvard Department of Economics, Utah Winter Finance Conference, WFA, Finance Research Association Annual Meeting, SFS Cavalcade, NYU Stern Market Microstructure Meeting, Washington University at St. Louis, FIRS,  HEC Lausanne, EPFL, University of Illinois (Economics), University of Notre Dame, Conference on Current Topics in Financial Regulation

2014: AFA, Midway Market Design Workshop at Chicago Booth, University of Notre Dame, HEC Paris,  City University of New York, Baruch College, Paris Hedge Fund Conference, University of Illinois, FMA, JP Morgan, IEX Stock Exchange, Office of Financial Research at U.S. Department of Treasury, Conference on Market Fragmentation, Fragility and Fees at University of Maryland and FINRA

2013: AFA, NBER, SEC, CFTC/American University, Michigan State University Conference on Investments and Financial Institutions, University of Illinois, FIRS, CICF, FMA, Mid-Atlantic Research Conference in Finance

2012: AFA, NBER, SFS Cavalcade, University of Toronto, University of Memphis, Annual Central Bank Workshop on Market Microstructure, EFA, FMA

2011: WFA, NBER, Vienna Graduate School of Finance, Syracuse University, Goldman Sachs, NASDAQ and State University of New York at Buffalo

2010: University of Illinois, University of Utah, Southern Methodist University and Barclays Capital

2009: Cornell University Johnson School of Management

REFERENCES

Professor David Easley (Chair)
450 Uris Hall Department of Economics Cornell University Ithaca, NY 14853 607-255-6283 dae3@cornell.edu
Professor Maureen OHara (Co-chair)
447 Sage Hall Johnson Graduate School of Management Cornell University Ithaca, NY 14853-6201 607-255-3645
mo19@cornell.edu
Professor Gideon Saar
455 Sage Hall Johnson Graduate School of Management Cornell University Ithaca, NY 14853-6201 607-255-7484
gs25@cornell.edu