Xian Wu * My first name is pronounced similarly to "She-an"

Job Market Paper

Dynamic Market Choice.  

presentations: AFA 2025 (regular&poster, scheduled), EEA-ESEM 2024, CFRC 2024, AMES-China 2024, NASM 2024, The Microstructure Exchange, Midwest Economic Theory 2024

Abstract: In practice, many assets are traded in both transparent centralized markets and opaque decentralized markets. To explain traders' market choices, we develop a model of dynamic learning and market selection between the centralized and decentralized markets. With heterogeneous trader value correlations, we find that when asset payoff sensitivity or volatility is sufficiently low, traders prefer the decentralized market; when asset sensitivity or volatility is intermediate, switching between centralized and decentralized markets is the optimal market choice; when asset values are sensitive to volatile fundamentals, assets are traded only in the centralized market. The model's predictions are supported by empirical evidence from the Chinese corporate bond market. Our research uncovers new welfare implications for various market designs with dynamic market choices. 

Working Papers

( *=presented by coauthors)

1. Improving Access to Information Through Market Design with Marzena Rostek.

selected presentations: EWMES 2021, Midwest Economics Theory 2022, NASMES 2022, AMES 2022, WiET 2022, FTG Summer School 2023

Allowing traders to submit demand schedules conditioning on cross-exchange prices in decentralized exchanges can improve market allocation efficiency in an imperfectly competitive market.

2. The Collateral Channel of Monetary Policy: Evidence from China with Hanming Fang and Yongqin Wang. NBER Working Paper No. 26792.

selected presentations: CMES 2021, CICM 2021*, NYU*, PHBS-IER* (scheduled)

 media coverage: VoxCN

Collateral-based monetary policy tools can decrease the spreads of the targeted bonds in both secondary and primary markets.

3. Information Acquisition in Fragmented Markets with Mengjia Xia. 

forthcoming in Proceedings of the 20th International Conference on Web and Internet Economics (WINE 2024)

selected presentations: NASMES 2023*, WINE 2024*

Market fragmentation decreases the amount of data acquired by traders.

4. Dynamic Imperfect Competition: A Non-Recursive Approach (VSET presentation) with Marzena Rostek and Ji Hee Yoon. 

selected presentations: VSET*, Boston University*, Penn State*, Princeton*, Carnegie Mellon University & Pittsburgh University*

Richmond Fed*, Northwestern Kellogg*, University of Bristol*

A non-recursive approach to dynamic trader optimization that accommodates rich heterogeneity and mitigates the curse of dimensionality.

5. Public Information in Over-the-Counter Markets with Marzena Rostek. (draft coming soon)

Public information enhances the welfare benefits of market fragmentation.

Work in progress

1. The Impact of Leverage Ratio Regulation on Bond Market Liquidity. 1-page summary   

draft available upon request

2. Determinants of Repo Haircut: Collateral Risk and Counterparty Risk. with Hanming Fang, Jun Tong, and Yongqin Wang.

selected presentations: ABFER&BFI Webinar*

3. Which Assets Should be Traded Over the Counter? with Marzena Rostek and Ji Hee Yoon.

4. When are Multilateral Trading Relationships Efficient? with Marzena Rostek.