Mao Ye, Associate Professor of Finance, University of Illinois at Urbana-Champaign, “Big Data in Finance”

Seminar Date: Friday, June 15, 2018

Location: 3124 SC

Time: 4:00-5:00pm Friday, June 15, 2018

Abstract. Modern financial markets generate vast quantities of data.  As the data environment has become increasingly “big” and analyses increasingly computerized, the information that different market participants extract and use has grown more varied and diverse.  At one extreme, high-frequency traders (HFTs) implement ultra-minimalist algorithms optimized for speed. At the other extreme, some industry practitioners apply sophisticated machine-learning techniques that take minutes, hours, or days to run. The proposed project seeks to understand this full spectrum of machine-based trading, with the purpose to inform the public policy and to augment theoretical studies on financial markets. Just as insights into human behavior from the psychology literature spawned the field of behavioral finance, insights into algorithmic behavior (or the psychology of machines) can result in an analogous blossoming of research in algorithmic behavioral finance. Most literature to date follows a simple dichotomy that pits HFTs vs. everyone else. We aim to explore diversities within cyber-traders with a particular emphasis on players who are slower than HFTs but faster than humans. This focus will fill in the gap between the literature on HFTs, which focuses on milliseconds or nanoseconds, and the literature on institutional investors, which relies on quarterly holding data.

About the speaker:  Mao Ye is an associate professor of finance at the University of Illinois, Urbana-Champaign. His research focuses on market microstructure, machine learning, and big data. His paper has been published in Journal of Finance, Journal of Financial Economics, and Review of Financial Studies. He is a fellow of National Bureau of Economic Research (NBER) and National Center for Supercomputing Applications (NCSA). In 2016, the University of Illinois, Urbana-Champaign named him the Educator of the Year after a campus-wide competition.

Mao Ye earned his Ph.D. degree from Cornell University. In 2006, he was elected as a trustee member of Cornell’s Board of Trustees, marking the first time an Ivy League institution had elected a trustee from Mainland China. In 2018, the New York Historical Society selected Mao Ye as one of the stories in their book “Journeys: An American Story.”