Education

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, China, 1999

Employment and Positions Held

Associate Professor of Finance, University of Illinois, 2018- present
Research Associate, National Bureau of Economic Research (NBER),  2019 – present
External Research Fellow, Cornell Fintech Initiative, Cornell Johnson College of Business, 2021 – present
Fellow, Harvard Data Science Initiative, Harvard University, 2019 – 2020
James F. Towey Faculty Fellow, College of Business, University of Illinois at Urbana-Champaign, 2018- present
R.C Evans Data Analytics Fellow, University of Illinois-Deloitte Foundation Center for Business Analytics, 2018- present
Assistant Professor of Finance, University of Illinois, 2011- 2018
Faculty Research Fellow, NBER, 2017-2019
Beckman Fellow, Center for Advanced Study, University of Illinois at Urbana-Champaign, 2013
Domain Champion in Economics, National Science Foundation’s Extreme Science and Engineering Discovery  Environment (XSEDE), 2013 – present
Trustee, Cornell Board of Trustees, 2006-2008

Research Interests

Market Microstructure, Big Data

Publications

1. Big Data in Finance, with Itay Goldstein and Chester Spatt, Review of Financial Studies, 2021, 34 (7), 3213 – 3225 
2. Who Provides Liquidity and When?  with Sida Li and Xin Wang, Journal of Financial Economics, 2021, 141(3), 968 – 980
3. Sparse Signals in the Cross-Section of Returns, with Alex Chinco and Adam Clark-Joseph, Journal of Finance, 2019, 74(1), 449-492
4. Why Discrete Price Fragments U.S. Stock Exchanges and Disperses Their Fee Structures?, with Yong Chao and Chen Yao, Review of Financial Studies, 32(3), 1068-1101
   • Solicited by the Review of Financial Studies
   • Video for Presentation at Utah Winter Finance Conference, Feb 2016
5. Why Trading Speed Matters: A Tale of Queue Rationing under Price Controls, with Chen Yao, Review of Financial Studies, 2018, 31(6), 2157–2183
   • Video for Presentation at Utah Winter Finance Conference, Feb 2015
6. Designated Market Makers Still Matter: Evidence from Two Natural Experiments, with Adam Clark-Joseph and Chao Zi, Journal of Financial Economics, 2017, 126 (3), 652-667
7. Discrete Pricing and Market Fragmentation: a Tale of Two-Sided Markets, with Yong Chao and Chen Yao,  American Economic Review: Papers and Proceedings, 2017, 107(5), 196-199
8. What’s Not There: Odd Lots and Market Data, with Maureen O’Hara and Chen Yao,  Journal of Finance, 2014, 69(5), 2199–2236
   • Media coverage in Washington Post, Bloomberg news (three times), Businessweek, Trader’s Magazine
   • Lead to the policy change in trade report requirement in the United States starting from December 9, 2013
9. Is Market Fragmentation Harming Market Quality?, with Maureen O’Hara,  Journal of Financial Economics, 2011, 100(3), 459-474. Lead article.

Working Papers

1. Price Ceiling, Market Structure, and Payout Policies, with Xiongshi Li and Miles Zheng
   • Featured in the NBER Digest
2. Who Uses Which Order Type and Why?, with Sida Li and Miles Zheng
3. The Tradeoff between Discrete Pricing and Discrete Quantities: Evidence from U.S.-listed Firms, with Sida Li
4. Investment-Horizon Spillovers with Alex Chinco
5. Information Diffusion on Social Media: Does It Affect Trading, Return, and Liquidity?, with Zhi Da, Nitish. Chawla, Jian Xu
   • Revise and Resubmit to the Management Science 
6. Strategic Informed Trading and Dark Pool? With Wei Zhu
   • Revise and Resubmit to the Journal of Financial Markets  
7. The Tick Size and Stock Price Informativeness: Evidence from Investment–q Sensitivity, with Miles Zheng and Wei Zhu
   • Revise and Resubmit to the Journal of Accounting and Economics

Teaching Experience

Educator of the Year, University of Illinois, 2016

Fin 580: Fintech and Big Data

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

FIN 411: Portfolio Management (undergraduate)
• 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 2018-2022: $422,288, Principal Investigator, joint with Alex Chinco and Adam Clark-Joseph

National Science Foundation grant 2018-2022: $407,585, joint with John Towns from National Center for Supercomputing Applications and National Science Foundation’s XSEDE (Extreme Science and Engineering Discovery Environment) program

National Science Foundation grant 2013-2017: $255,851, Principal Investigator, joint with Robert Sinkovits from San Diego Supercomputing Center

National Science Foundation’s XSEDE 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”

Services

Keynote lecturer: Big Data in Finance, NBER Summer Institute 2018

• Slides for the keynote
• Chinese translations by the Money and Finance Review 中文

Editor: Special issue on Big Data in Finance, The Review of Financial Studies

Associate Editor: Management Science, 2018-present

Ad-hoc Referee: Quarterly Journal of Economics, Journal of Finance, Journal of Financial Economics, 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

Conference Organizers

• 2022 Econometric Society North American Winter Meeting, Program Committee
• 2021 Associate Program Chair, WFA; NBER conference on Big Data and High-Performance Computing for Financial Economics, joint with Toni Whited
• 2020 Associate Program Chair, WFA; The Second New York Fed Research Conference on FinTech, NBER/Review of Financial Studies Conference on Big Data, joint with Itay Goldstein and Chest Spatt
• 2019 NBER/Review of Financial Studies Conference on Big Data: Long-Term Implications for Financial Markets and Firms, joint with Itay Goldstein and Chest Spatt
• 2018 and 2019 NBER conference on Big Data and High-Performance Computing for Financial Economics, joint with Toni Whited
• 2017 NBER conference on Competition and the Industrial Organization of Securities Markets, joint with Tarun Chordia and Gideon Saar

Session Chair for American Finance Association Annual Meeting 2017

Grant/Proposal Reviewer:  U.S. National Science Foundation, United Kingdom Government 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 (Initial Placement: University of Warwick, Tenured at Chinese University of Hong Kong)
Xin Wang (Initial Placement: Nanyang Technological University)

Selected Honors and Awards

2019: University Commencement Speaker, Renmin University of China

• Deliver the commencement speech to 7,000 graduates and their families and friends on behalf of all alumni of Renmin University of China
• Commencement Speech: Shining in Your Darkest Time (让至暗时刻闪光）

2018: Selected as one of contributors for the book “Journeys: An American Story”

• As the first Chinese who became a board member among all Ivy League Institutions.
• News coverage in CCTV (中国中央电视台)

2016: Educator of the Year, University of Illinois

2015- present: List of Teachers Ranked as Outstanding for each year

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

2005-2010: Sage Fellowship, Cornell University

2007: Speaker for 142^nd 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

• Video of the speech: One University, One Dream

Presentations and Discussions

2022: Tilburg University

2021: AFA, Citadel Securities, Two Sigma Investments, Stockholm Business School, Cornell University,  Penn State University, Nanjing University

2020: INSEAD, Rice University, University of Maryland, Harvard Business School (faculty brown bag), Louisiana State University, Tinbergen Institute  

2019: University of British Columbia, George Washington University, Harvard Business School (faculty brown bag), Hong Kong University, University of Washington, University of Iowa, Boston College, Rutgers University, WFA, SFS Cavalcade, ITEM conference, Santiago Finance Workshop, Arrow Street Capital

2018: American Finance Association, UCLA, Washington University at St. Louis, Emory University, Case West Reserve University, University of Florida, Texas A&M, Telfer Annual Conference on Accounting and Finance, SEC, Bank of Canada-Laurier Market Structure Conference, AQR, Santiago Finance Workshop

2017: American Economic Association, University of Rochester, “Smokey” Mountain Finance Conference, Wabash River Conference

2016: Utah Winter Finance Conference, Texas Finance Festival, AFA, WFA, NYU Stern Market Microstructure Conference, Carlson Junior Conference at University of Minnesota

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