Journal Articles
- 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, Conditionally Accepted, 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, forthcoming, Review of Financial Studies
- 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
- Who Provides Liquidity, and When? with Xin Wang
- Revise and resubmit to the Journal of Financial Economics
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