Research interests
My research is within and market microstructure. In particular, I examine the impact of market (micro)structures on securities trading and clearing in aspects of market liquidity, price discovery, and systemic risk. I approach it through the lens of financial technology (FinTech) such as high-frequency trading and decentralized finance (DeFi).
Publications
Central Counterparty Exposure in Stressed Markets, with Wenqian Huang and Albert J. Menkveld, Management Science, 2021, 67(6), 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 with Albert J. Menkveld and many other co-authors, Journal of Finance (forthcoming) [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? (Job Market Paper), 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.
Price Discovery on Decentralized Exchanges, with Agostino Capponi and Ruizhe Jia, Revise and Resubmit at Review of Financial Studies [Draft] [Slides] [Bloomberg Report]
On decentralized exchanges where informed traders have to bid a fee to compete for execution priority, they turn out to follow a jump bidding strategy: placing high initial bids to signal to their competitors.
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.
Work in progress
Price Discovery in the Machine Learning Age, with Agostino Capponi [Draft]