时间：2026年3月24日周二 晚上9：00-10：30
Tuesday March 24, 9:00-10:30 pm Beijing time
(Tuesday March 24, 9:00-10:30 am EDT)
地点/Venue：Zoom会议（会议号: 813 0969 5445 密码: 676067）
主讲人/Speaker：叶茂 Mao Ye
主持人/Host：胡佳胤 Jiayin Hu
Title: Best Execution Puzzles
Abstract: A long‐standing puzzle in U.S. equity markets is why hundreds of off-exchange market centers coexist. Under the conventional two‐dimensional definition of best execution—execution cost and speed—many venues appear both slower and more expensive than their competitors. We propose that an omitted dimension of execution quality—the volatility of execution speed—helps explain this inconsistency. Using SEC Rule 605 reports, we construct the first large‐scale empirical measure of execution‐speed volatility. We find that traders are systematically compensated for higher execution-speed volatility: across venues competing within the same stock–month, higher execution-speed volatility is associated with lower execution cost. For securities likely to be involved in arbitrage, where success depends on completing both buy and sell legs, volatility of execution speed, but not speed itself, is associated with lower execution cost. To quantify the economic magnitude of the omitted dimension, we estimate a random‐coefficient discrete‐choice model of investor venue demand, which indicates that execution‐speed volatility as a third dimension of execution quality provides an equilibrium explanation for the fragmentation puzzle and establishes it as an important attribute of best execution.
主讲人简介：
Mao Ye is a Professor of Finance at Cornell University. His research focuses on market microstructure, machine learning, and big data, examining how market design, information flows, and trading behavior influence asset prices and liquidity in modern financial markets. His research has been published in the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies. In addition to his research contributions, Ye served as guest editor of a special issue on Big Data in Finance at the Review of Financial Studies and previously served as an associate editor at the Management Science.
Professor Ye is a Research Associate at the National Bureau of Economic Research (NBER) and a Faculty Fellow at the National Center for Supercomputing Applications (NCSA). He delivered the keynote speech on “Big Data in Finance” at the 41st Annual NBER Summer Institute. In October 2018, the National Science Foundation (NSF) awarded Ye a grant to jumpstart a big data initiative at the NBER, under which he will organize six NBER conferences, inviting leading academics, policymakers, and practitioners to discuss the future of big data research in finance.
Professor Ye earned his Ph.D. from Cornell University in 2011. He also holds an M.A. in Economics from the University of British Columbia, an M.A. in Finance from Renmin University of China, and a B.A. in Accounting from Southeast University. While he was a student at Cornell, 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 Museum and Library selected Ye as a contributor to “Journeys: An American Story,” a book of essays about immigration and American greatness. Ye served on the faculty at the University of Illinois Urbana-Champaign, where he was named the Educator of the Year in 2016. In 2019, Ye was selected as the university commencement speaker at Renmin University of China.
