Publications

 Journal Articles

  1. Sparse Signals in the Cross-Section of Returns, with Alex Chinco and Adam Clark-Joseph, forthcoming, Journal of Finance
    • 2016 AFA Annual Meeting
  1. 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
  1. 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
  1. 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
  1. 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
  1. 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
  1. Is Market Fragmentation Harming Market Quality?, with Maureen O’Hara,  Journal of Financial Economics, 2011, 100(3), 459-474. Lead article.

Working Papers

  1. Investment-Horizon Spillovers, with Alex Chinco
    • 2015 FRA Annual Meeting
  1. 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
  1. 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
  1. Tick Size Constraints, Market Structure, and Liquidity, with Chen Yao
  1. A Glimpse into the Dark: Price Formation, Transaction Cost and Market Share of the Crossing Network
  1. Who Provides Liquidity, and When? with Xin Wang
    • Revise and resubmit to the Journal of Financial Economics 
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