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, Asset Pricing, Applied Econometrics

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

  1. A Glimpse into the Dark Pool: Price Formation, Transaction Cost and Market Share of the Crossing Network
  2. The Externalities of High Frequency Trading, with Jiading Gai and Chen Yao.
    • Cited in U.S. Senate testimony on computerized trading, September 20, 2012
    • Media coverage in Institutional Investor magazine and Quartz
    • To be presented in AFA
  1. Price Constraints, Speed Competition and Market Quality,  with Chen Yao
    • To be presented in NBER
  2. A Tale of Two Markets, With Zhi Da and Sophie Shive
  3. Transaction Cost and Market Share of Crossing Networks 

WORKS IN PROGRESS

  1. Bellwether Effects, with Yihua Yin
  2. Option High Frequency Trading, with Dmitriy Muravyev
  3. Rational Expectation Model for Security Markets without Guaranteed Execution

TEACHING EXPERIENCE

FIN 511: Portfolio Management for Professional MBA
FIN 411: Portfolio Management for Undergraduates

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

2013                     Beckman Fellow
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

American Finance Association (2014, 2013, 2012)
NBER market microstructure meeting (2013, 2012, 2011)
Financial Intermediation Research Society Conference (2013)
Annual Central Bank Workshop on Market Microstructure (2012)
China International Finance Conference (2013)
CFTC/American University (2013)
Northern Finance Association Annual Meeting (2013)
Michigan State University Conference on Investments and Financial Institutions (2013)
SEC (2013)
Society of Financial Studies Cavalcade (2012)
European Finance Association (2012)
University of Toronto (2012)
University of Memphis (2012)
Western Finance Association Annual Meeting (2011)
Vienna Graduate School of Finance (2011)
Financial Management Association Annual Meeting (2011, 2010, 2009, 2008)
NASDAQ (2011)
Syracuse University (2011)
Goldman Sachs (2011)
University of Illinois, Urbana-Champaign (2013, 2012, 2011, 2010)
State University of New York at Buffalo (2011)
University of Utah (2010)
Southern Methodist University (2010)
Barclays Capital (2010)
Cornell University Johnson School of Management (2009)

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