Market Microstructure, Information Economics, Machine Learning, Asset Pricing

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

• Journal of Financial and Quantitative Analysis, June 25, 2026

• Featured in 2024 news coverage of Phys.org

• Presented at The Chinese University of Hong Kong, Shenzhen 2019, Baruch College 2020, Women in Market Microstructure 2020, 2nd DC Finance Juniors Conference 2021, CUNY Graduate School 2022, European Finance Association 2023, Midwest Finance Association 2024, China International Conference in Finance 2024

Whence LASSO? A Rational Interpretation, with Bo Hu and Liyan Yang 

• Management Science, the Special Issue on AI for Finance and Business Decisions, Nov 17, 2025

• Presented at George Mason University 2019*, U.S. Securities and Exchange Commission 2019*, Stern Market Microstructure 2019*, XJTLU AI and Big Data in Accounting and Finance Research Conference 2023, Finance Theory Group Summer School 2023, China International Conference in Finance 2023, European Finance Association 2023, Western Finance Association 2024, Financial Management Association Asia 2024, Conference on Financial Economics and Accounting 2024

Dynamic Market Making with Asymmetric Information and Market Power, with Yajun Wang 

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

• 2019 Yihong Xia Best Paper Award

• Presented at University of Maryland, College Park 2017*, Johns Hopkins University 2018*, Women in Market Microstructure 2018, Northern Finance Association 2018, Tsinghua Five-star Workshop 2018, Midwest Finance Association 2019, 4th PKU-NUS Annual International Conference on Quantitative Finance and Economics, Baruch College 2019*, China International Conference in Finance 2019, University of Queensland 2019*, University of Sydney 2019*

The Welfare Implication of Information Disclosure Frequency, with Yajun Wang 

• Presented at Finance Theory Group Spring 2024*, The Quantitative Research in Financial Economics Centre Workshop 2024*, Women in Market Microstructure 2024, Midwest Finance Association 2025, 8th World Symposium on Investment Research 2025, International Conference of French Finance Association 2026*, China International Finance Conference 2026*, Northern Finance Association 2026*, Wharton Brownbag Micro Seminars 2026*, American Finance Association 2027* (Scheduled)

Hide in the herd: macroeconomic uncertainty and analyst forecast dispersion, with Shen Zhao and Guofu Zhou 

• Presented at FMA annual meeting 2023*, the 19th Chinese Finance Annual Meeting*, the 4th PHBS-CUHKSZ workshop*, the 29th MFS annual conference 2024*, the 16th ABF&E annual meeting and Nanjing University 2024*, 18th International Behavioural Finance Conference 2025, Southwestern Finance Association 2026, 5th Frontiers of Factor Investing Conference 2026*, Western Finance Association 2026* 

When Can Positive Return Autocorrelation Arise in Rational Expectations Models? with "Pete" Kyle and Yajun Wang 

• Presented at Lone Star Finance Conference 2025, European Winter Finance Summit 2026, Eastern Finance Association 2026*, Women in Market Microstructure 2026, American Finance Association 2027 (Scheduled)

Magnet Effect of Position Limits on Commodity Futures, with Bo Hu and Yajun Wang 

• Presented at Florida State University 2017, Peking University HSBC Business School 2017, The Chinese University of Hong Kong, Shenzhen 2017, Office of the Comptroller of the Currency 2017, SRP and Derivatives Conference 2026, International Conference of French Finance Association 2026, Commodity and Energy Markets Association 2026 

Algorithmic Arbitrage with Fat Tails, with Bo Hu and Liyan Yang