Research interests
I research financial techonology (FinTech) in trading, including decentralized finance (DeFi), machine learning (ML), and artificial intelligence (AI).
Publications
Price Discovery on Decentralized Exchanges, 2025, with Agostino Capponi and Ruizhe Jia, conditionally accepted at Review of Financial Studies [Draft] [Slides] [Bloomberg Report]
On decentralized exchanges, informed traders bid high priority fees, showing a high willingness to pay for execution priority.
Central Counterparty Exposure in Stressed Markets, 2021, with Wenqian Huang and Albert J. Menkveld, Management Science 67, 3596-3617 [Paper]
A clearing house' risk exposure can increase rapidly and crowded positions among clearing members contribute disproportionately to extreme changes.
Non-Standard Errors, 2024, with Albert J. Menkveld and many other co-authors, Journal of Finance 79, 2339-2390 [Paper]
Variation across researchers in the evidence-generating process leads to sizable differences in their testing results of the same set of hypotheses on financial markets.
Working papers
Does the Consolidated Feed Matter?, Revise and Resubmit at Journal of Financial and Quantitative Analysis [Draft] [Slides]
A faster consolidated feed surprisingly leads to an adverse impact on market liquidity, possibly due to increased informed algorithmic trading. A corrupted consolidated feed worsens market liquidity significantly.
HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading, with Wenqian Huang, Peter O’Neill and Angelo Ranaldo [Draft] [Slides]
A granular regulatory dataset reveals that high-frequency traders and dealer-banks play complementary roles in liquidity provision and price discovery in the FX market.