Research Interests

Information Economics, Market Microstructure, and Asset Pricing  

Publications

• “Whence Lasso? A Rational Interpretation” with Bo Hu  and  Liyan Yang

  • Management Science, Accepted

• "Dynamic Market Making with Asymmetric Information and Market Power" with Yajun Wang 

  • Review of Financial Studies, Volume 38, Issue 1, January 2025, 235–293

Working Papers

• “How Does Benchmarking Affect Market Efficiency? The Role of Learning Technology” with Bo Hu  and  Yajun Wang

  • CUHK-Shenzhen 2019, Baruch College 2020, Women in Market Microstructure 2020, DC Finance Junior Conference 2021, CUNY Graduate School 2022, European Finance Association 2023, Midwest Finance Association 2024, China International Conference in Finance 2024 

• “Hide in the herd: macroeconomic uncertainty and analyst forecasts dispersion” with Shen Zhao  and  Guofu Zhou 

  • International Behavioural Finance Conference 2025 (Scheduled), Asian Finance Association Annual Conference 2025 (Scheduled)

• “The Welfare Implication of Information Disclosure Frequency” with Yajun Wang

  • Shanghai University of Finance and Economics 2023,  University of Macau 2024,  Texas Tech University 2024, Baruch College at CUNY 2024, Finance Theory Group Spring 2024, The Quantitative Research in Financial Economics Centre Workshop 2024, Women in Market Microstructure 2024 , Finance Theory Group Asian 2024, Midwest Finance Association 2025, Eastern Finance Association 2025, 8th World Symposium on Investment Research 2025 (Scheduled)

• “Do Position Limits on Futures Trading Benefit Commodity Markets?” with Bo Hu  and  Yajun Wang

  • Florida State University 2017,  University of Maryland Brownbag 2017,  Peking University  HSBC Business School 2017, Office of Currency Control 2017

• "When Can Positive Return Autocorrelation Arise in Rational Expectation Models?" with Yajun Wang (In Progress)

• “Algorithmic Arbitrage with Fat-Tail Beliefs” with Bo Hu  and  Liyan Yang (In Progress)

Teaching

• Investments (U) at Texas Tech University (2024-now)

• Seminar in Asset Pricing Theory  (G) at Texas Tech University (2024-now)

• Python for Financial Data Analysis  (U) at The Chinese University of Hong Kong, Shenzhen (2022-2024)

• Foundation of Finance  (G) at The Chinese University of Hong Kong, Shenzhen (2018-2024)

• International Finance  (U) at University of Maryland, College Park (2015)

• Mechanics (U) at University of California, San Diego (2008)

Service

• Ad Hoc Referee : Economic Modelling, Journal of Economic Dynamics and Control, Journal of Empirical Finance, Journal of Financial Markets, Physical Review E, Proceeding of the National Academy of Sciences (PNAS), Quarterly Review of Economics and Finance,  Review of Financial Studies 

• Paper Discussant/Session Chair : China International Forum on Finance and Policy 2018, China International Conference in Finance 2019, Women in Market Microstructure 2024, Financial Management Association Asia 2024, Financial Management Association Annual Meeting 2024

• Conference Review Committee: FMA Annual Meeting 2020, SFS Asia Annual Meeting 2021, Asian Finance Association 2024