Haoxiang Zhu's Homepage
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Haoxiang Zhu

Associate Professor of Finance, MIT Sloan School of Management

Faculty Research Fellow, NBER

100 Main Street E62-623, Cambridge, MA 02412

Email: zhuh at mit dot edu

Research Interest: Asset Pricing, Market Structure, Market Design

Resume/CV | SSRN Author Page | Google Scholar Author Page


Haoxiang Zhu is an Associate Professor of Finance at the MIT Sloan School of Management, and a Faculty Research Fellow at the National Bureau of Economic Research. He is also an academic consultant of the US Commodity Futures Trading Commission, a member of the Federal Reserve Bank of Chicago's Working Group on Financial Markets, and a member of the Finance Theory Group.

His main research interests are broadly in asset pricing and specifically in market structure and market design. His work has been published in Review of Economic Studies, Journal of Finance, Review of Financial Studies, and Journal of Financial Economics, among others. Zhu's research has won several awards, including the 2016 AQR Insight Award, Best Paper Prize in Asset Pricing at the 2015 Western Finance Association annual meeting, and the 2013 Review of Financial Studies Young Researcher Prize. In 2016, he was named one of the 40 under 40 Best Business School Professors by Poets and Quants.

Zhu holds a BA in Mathematics and Computer Science from the University of Oxford and a PhD in Finance from Stanford University Graduate School of Business.


What's New

Recently Accepted Papers

Recently Revised Working Papers

Publications/Forthcoming Articles (in reverse chronological order)

  1. QE Auctions of Treasury Bonds, with Zhaogang Song. Forthcoming in Journal of Financial Economics
    • When buying Treasury bonds in its QE operation, the Fed prefers to buy bonds that are cheaper than model, but pays higher price markup on them.
  1. Non-Fundamental Speculation Revisited, with Liyan Yang. Forthcoming in Journal of Finance (Replications and Corrigenda)
  1. Are CDS Auctions Biased and Inefficient?, with Songzi Du. Forthcoming in Journal of Finance | Supplementary Appendix
    • The current design of CDS auctions leads to biased prices and misallocation of bonds. A double auction design does better.
    • A previous version, titled "Are CDS Auctions Biased?", has a different model and some empirical results.
  1. Benchmarks in Search Markets, with Darrell Duffie and Piotr Dworczak. Journal of Finance (2017), 72, 1983--2044 | Online Appendix | NBER Working Paper 20620 | VOX blog
    • Adding a benchmark like Libor improves transparency in search markets and, under certain conditions, improves market efficiency.
  1. What is the Optimal Trading Frequency in Financial Markets?, with Songzi Du. Review of Economic Studies (2017), 84, 1606--1651. | Supplemental Materials | MarketWatch Blog, December 2014 | Oxford Business Law Blog, May 2017

    This paper large subsumes Welfare and Optimal Trading Frequency in Dynamic Double Auctions, with Songzi Du, December 2015 (NBER Working Paper 20588)

    • Kepos Capital Award for Best Paper on Investments, Western Finance Association, 2015
    • Yihong Xia Best Paper Award, China International Conference in Finance, 2013
    • What is optimal trading frequency in financial markets? It depends on the tradeoff between faster reaction to new information and a thicker market.
  1. Size Discovery, with Darrell Duffie. Review of Financial Studies (2017), 30(4), 1095--1150. | Online Appendix | NBER Working Paper 21696 | Presentation at the 2017 Utah Winter Finance Conference
    • First Prize, AQR Insight Award, 2016
    • "Size discovery" mechanisms like "workup," "matching sessions" and "dark pools" execute large trades at a fixed price. By giving up price discovery, size discovery mitigates concerns about price impact and improves allocation efficiency.
  1. Shades of Darkness: A Pecking Order of Trading Venues, with Albert Menkveld and Bart Zhou Yueshen. Journal of Financial Economics 2017, 124(3), 503--534.
    • TCW Best Paper Award, China International Conference in Finance, 2015
    • Best Paper Award, Finance Down Under conference, 2015
    • We propose and test a "pecking order" hypothesis of trading venues: Lit, dark, and darker.
  1. Bilateral Trading in Divisible Double Auctions, with Songzi Du. Journal of Economic Theory (2017), 167, 285--311.
    • Existing models of divisible double auctions typically require three or more traders. We characterizes a family of non-linear, ex post equilibria in a divisible double auction with only two traders.
  1. Commodities as Collateral, with Ke Tang. Review of Financial Studies (2016), 29(8): 2110--2160.
    • In the presence of capital control and financing frictions, financial investors import commodities and use them as collateral to earn a risk premium.
  1. Do Dark Pools Harm Price Discovery?. Review of Financial Studies (2014), 27(3): 747-789.
    • First Prize, Morgan Stanley Prize for Excellence in Financial Markets, 2011
    • A dark pool can improve price discovery by concentrating informed traders on the exchange.
    • Online Appendix | Matlab Code
  1. Finding a Good Price in Opaque Over-the-Counter Markets. Review of Financial Studies (2012), 25(4): 1255-1285.
    • Review of Financial Studies Young Researcher Prize, 2013
    • Returning to a rejected offer leads to a worse offer. Search exacerbates adverse selection in OTC markets.
  1. Does a Central Clearing Counterparty Reduce Counterparty Risk?, with Darrell Duffie. Review of Asset Pricing Studies (2011), 1(1): 74-95.
    • Michael Brennan Best Paper Award, Review of Asset Pricing Studies, 2012
    • Central clearing of small derivatives classes can increase, rather than reduce, counterparty exposures.
  1. A New Perspective on Gaussian Dynamic Term Structure Models, with Scott Joslin and Ken Singleton. Review of Financial Studies (2011), 24(3): 926-970.

Working papers