Assistant Professor of Finance, MIT Sloan School of Management
Faculty Research Fellow, NBER
100 Main Street, E62-623, Cambridge, MA 02142
Phone: +1 (617)-253-2478 | Email: zhuh “at” mit “dot” edu
Asset Pricing, Market Structure, Market Design
Review of Asset Pricing Studies (2011), 1(1): 74-95.
Michael Brennan Best Paper Award, Review of Asset Pricing Studies, 2012
o Central clearing of small derivatives classes can increase, rather than reduce, counterparty exposures.
Review of Financial Studies (2012), 25(4): 1255-1285.
Review of Financial Studies Young Researcher Prize, 2013
o Returning to a rejected offer leads to a worse offer. Search exacerbates adverse selection in OTC markets.
Presentation video of an earlier version at the Utah Winter Finance Conference (2011)
First Prize, Morgan Stanley Prize for Excellence in Financial Markets, 2011
o A dark pool can improve price discovery by concentrating informed traders on the exchange.
Yihong Xia Best Paper Award, China International Conference in Finance, 2013
o What is optimal trading frequency of financial markets? It’s a tradeoff between faster reaction to new information and a thicker market.
Finance Theory Group meeting (2013), Barcelona Information Workshop (2013), Econometrics Society Summer Meeting (2013), CICF (2013), SAET (2013), NBER Market Microstructure meeting (2013), SITE (2014), Toulouse Conference on Trading in Electronic Markets (2014), Central Bank Workshop on Microstructure of Financial Markets (2014)
(Previous titles: “Ex Post Equilibrium in Double Auctions of Divisible Assets” and “Dynamic Ex Post Equilibrium, Welfare, and Optimal Trading Frequency in Double Auctions”)
· Shades of Darkness: A Pecking Order of Trading Venues, with Albert Menkveld and Bart Zhou Yueshen, December 2014. New Version
o We propose and test a “pecking order” hypothesis of trading venues: Lit, dark, and darker.
Finance Down Under (2015), FIRS (2015)
o Adding a benchmark like Libor improves transparency of search markets and, under natural conditions, improves market efficiency.
A previous version of this paper, titled “Are CDS Auctions Biased?”, has a different model and some empirical results.
ECB-Bank of England Workshop on Asset Pricing (2011), FIRS (2012), Econometric Society summer meeting (2012), SIAM (2012), NBER Asset Pricing meeting (2012), EFA (2012), SAET (2013), WFA (2014)
Duke-UNC Asset Pricing Conference (2014), CICF (2014), NBER China economy meeting (2015)
o To implement its QE policy, the Fed buys Treasury bonds in (reverse) auctions. What are the dealers’ bidding behaviors and the Fed’s costs?
NBER Summer Institute Asset Pricing meeting (2014)
o The no-arbitrage restriction alone does not help predict bond yields in Gaussian term structure models.
UNC-Duke Corporate Finance Conference (2013), FIRS (2014)
o We analyze the “specialness” of mortgage dollar roll, the predominant trading strategy to finance agency MBS.
Fixed Income Conference (2014)
NBER Economics of Commodity Markets meeting (2013), AFA (2014)