Market Microstructure, Information Economics, Asset Pricing

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

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

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

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

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

• Conditionally Accepted at Journal of Financial and Quantitative Analysis, 2026

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, and 8th World Symposium on Investment Research 2025, International Conference of French Finance Association 2026* (Scheduled), China International Finance Conference 2026* (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* (Scheduled), Western Finance Association 2026* (Scheduled)

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 (Scheduled)

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

• Presented at SRP and Derivatives Conference 2026 (Scheduled), International Conference of French Finance Association 2026 (Scheduled)

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