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
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, National Bureau of Economic Research (NBER), 2017-present
Beckman Fellow, Center for Advanced Study, University of Illinois at Urbana-Champaign, 2013
Trustee, Cornell Board of Trustees, 2006-2008
Research Interests
Market Microstructure, Big Data
Publications
- Sparse Signals in the Cross-Section of Returns, with Alex Chinco and Adam Clark-Joseph, forthcoming, Journal of Finance
- 2016 AFA Annual Meeting
- Why Discrete Price Fragments U.S. Stock Exchanges and Disperses Their Fee Structures?, with Yong Chao and Chen Yao, forthcoming, Review of Financial Studies
- Solicited by the Review of Financial Studies
- 2016 Utah Winter Finance Conference, 2016 Texas Finance Festival, 2016 Stern Microstructure Meeting
- Presentation at Utah Winter Finance Conference, Feb 2016
- Why Trading Speed Matters: A Tale of Queue Rationing under Price Controls, with Chen Yao, Review of Financial Studies, 2018, 31(6), 2157–2183
- 2015 Utah Winter Finance Conference, 2015 WFA Annual Meeting
- Presentation at Utah Winter Finance Conference, Feb 2015
- 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
- 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
- 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
- Is Market Fragmentation Harming Market Quality?, with Maureen O’Hara, Journal of Financial Economics, 2011, 100(3), 459-474. Lead article.
Working Papers
- Investment-Horizon Spillovers with Alex Chinco
- 2015 FRA Annual Meeting
- The Externalities of High-frequency Trading, with Jiading Gai and Chen Yao
- 2013 AFA Annual Meeting
- Cited in U.S. Senate testimony on computerized trading, September 20, 2012
- Media coverage in Institutional Investor magazine and Quartz
- 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
- Tick Size Constraints, Market Structure, and Liquidity, with Chen Yao
- Where Do Hedge Fund Activists Trade? With Wei Zhu
- Who Provides Liquidity and When? with Sida Li and Xin Wang
- Revise and Resubmit to the Journal of Financial 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
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
- 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 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)
Xin Wang (Initial Placement: Nanyang Technological University)
Selected Honors and Awards
2018: Selected as one of contributors for the book “Journeys: An American Story”
2018: List of Teachers Ranked as Outstanding
2017: List of Teachers Ranked as Outstanding
2016: Educator of the Year, University of Illinois
2015: List of Teachers Ranked as Outstanding
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
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
Presentations and Discussions
2019: University of British Columbia, George Washington University, Hong Kong University, University of Washington
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
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
