Haoxiang Zhu

Massachusetts Institute of Technology (MIT) - Sloan School of Management

Associate Professor of Finance

100 Main Street E62-623

Cambridge, MA 02142

United States

http://www.mit.edu/~zhuh

National Bureau of Economic Research (NBER)

Research Associate

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 1,686

SSRN RANKINGS

Top 1,686

in Total Papers Downloads

22,434

SSRN CITATIONS
Rank 2,316

SSRN RANKINGS

Top 2,316

in Total Papers Citations

403

CROSSREF CITATIONS

173

Scholarly Papers (27)

1.

Does a Central Clearing Counterparty Reduce Counterparty Risk?

Rock Center for Corporate Governance at Stanford University Working Paper No. 46, Stanford University Graduate School of Business Research Paper No. 2022
Number of pages: 31 Posted: 23 Feb 2009 Last Revised: 28 Apr 2011
Darrell Duffie and Haoxiang Zhu
Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 3,128 (4,573)
Citation 104

Abstract:

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central clearing, netting efficiency, counterparty risk, over-the-counter derivatives

2.

Do Dark Pools Harm Price Discovery?

Forthcoming, Review of Financial Studies
Number of pages: 53 Posted: 16 Dec 2010 Last Revised: 16 Nov 2013
Haoxiang Zhu
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,654 (6,025)
Citation 52

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dark pools, price discovery, liquidity, fragmentation, equity market structure

3.

Back-Running: Seeking and Hiding Fundamental Information in Order Flows

Review of Financial Studies, Forthcoming
Number of pages: 65 Posted: 24 Mar 2015 Last Revised: 02 Jun 2019
Liyan Yang and Haoxiang Zhu
University of Toronto - Rotman School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 2,175 (8,304)
Citation 43

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back-running, order flow, order anticipation, high-frequency trading, price discovery, market liquidity, payment for order flow

4.

A New Perspective on Gaussian Dynamic Term Structure Models

Review of Financial Studies, Forthcoming, AFA 2010 Atlanta Meetings Paper
Number of pages: 55 Posted: 23 Mar 2009 Last Revised: 13 Oct 2010
University of Southern California - Department of Finance and Business Economics, Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,892 (10,440)
Citation 93

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dynamic term structure model, no-arbitrage, Gaussian, estimation

5.

Shades of Darkness: A Pecking Order of Trading Venues

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 61 Posted: 17 Oct 2014 Last Revised: 27 Jun 2016
Vrije Universiteit Amsterdam, INSEAD - Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,325 (18,318)
Citation 19

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dark pool, pecking order, fragmentation

6.
Downloads 1,185 ( 21,641)
Citation 11

Size Discovery

Forthcoming, Review of Financial Studies, Stanford University Graduate School of Business Research Paper No. 15-56
Number of pages: 62 Posted: 29 Oct 2015 Last Revised: 02 Nov 2016
Darrell Duffie and Haoxiang Zhu
Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 1,169 (21,685)

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size discovery, allocative efficiency, workup, dark pool, market design

Size Discovery

NBER Working Paper No. w21696
Number of pages: 62 Posted: 09 Nov 2015 Last Revised: 14 Apr 2021
Darrell Duffie and Haoxiang Zhu
Stanford University - Graduate School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 16 (680,474)
Citation 7

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7.

Optimal Issuance under Information Asymmetry and Accumulation of Cash Flows

Rock Center for Corporate Governance at Stanford University Working Paper No. 164, Stanford University Graduate School of Business Research Paper No. 13-12
Number of pages: 45 Posted: 18 Nov 2013 Last Revised: 20 Jul 2016
Ilya A. Strebulaev, Haoxiang Zhu and Pavel Zryumov
Stanford University - Graduate School of Business, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Rochester - Simon Business School
Downloads 1,027 (26,663)
Citation 9

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dynamic information asymmetry, financing, cash flow accumulation, issuance delay, optimal security

8.

Mortgage Dollar Roll

Review of Financial Studies (Forthcoming)
Number of pages: 72 Posted: 27 Feb 2014 Last Revised: 05 Aug 2018
Zhaogang Song and Haoxiang Zhu
Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 819 (36,624)
Citation 8

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MBS, Dollar Roll, TBA, Specialness

9.
Downloads 802 ( 37,689)
Citation 41

Benchmarks in Search Markets

Journal of Finance, Forthcoming, Stanford University Graduate School of Business Research Paper No. 14-47
Number of pages: 62 Posted: 29 Oct 2014 Last Revised: 23 Nov 2016
Darrell Duffie, Piotr Dworczak and Haoxiang Zhu
Stanford University - Graduate School of Business, Northwestern University - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 727 (42,504)

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Benchmark, Search, Transparency, OTC markets, LIBOR

Benchmarks in Search Markets

NBER Working Paper No. w20620
Number of pages: 62 Posted: 27 Oct 2014
Darrell Duffie, Piotr Dworczak and Haoxiang Zhu
Stanford University - Graduate School of Business, Northwestern University - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 75 (388,195)
Citation 17

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Welfare and Optimal Trading Frequency in Dynamic Double Auctions

Number of pages: 66 Posted: 16 Apr 2012 Last Revised: 23 Dec 2015
Songzi Du and Haoxiang Zhu
University of California, San Diego (UCSD) - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 732 (42,125)
Citation 3

Abstract:

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trading frequency, welfare, high-frequency trading, dynamic trading, double auction

Welfare and Optimal Trading Frequency in Dynamic Double Auctions

NBER Working Paper No. w20588
Number of pages: 67 Posted: 22 Oct 2014 Last Revised: 04 Apr 2021
Songzi Du and Haoxiang Zhu
University of California, San Diego (UCSD) - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 8 (746,932)
Citation 2

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11.

Are CDS Auctions Biased and Inefficient?

Forthcoming, Journal of Finance
Number of pages: 47 Posted: 10 Apr 2011 Last Revised: 03 Nov 2016
Songzi Du and Haoxiang Zhu
University of California, San Diego (UCSD) - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 735 (42,484)
Citation 11

Abstract:

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credit default swaps, credit event auctions, price bias, manipulation, allocative efficiency, double auction

12.

What Is the Optimal Trading Frequency in Financial Markets?

Review of Economic Studies, Forthcoming
Number of pages: 55 Posted: 24 Oct 2016 Last Revised: 24 Dec 2016
Songzi Du and Haoxiang Zhu
University of California, San Diego (UCSD) - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 701 (45,275)
Citation 34

Abstract:

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trading frequency, allocative efficiency, high-frequency trading, double auction

13.

Commodities as Collateral

Forthcoming, Review of Financial Studies
Number of pages: 54 Posted: 17 Nov 2013 Last Revised: 19 Apr 2016
Ke Tang and Haoxiang Zhu
Institute of Economics, School of Social Sciences, Tsinghua University and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 685 (46,711)
Citation 5

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commodity, collateral, financialization, theory of storage, capital control

14.

Swap Trading after Dodd-Frank: Evidence from Index CDS

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 67 Posted: 04 Oct 2017 Last Revised: 27 Aug 2019
Lynn Riggs, Esen Onur, David Reiffen and Haoxiang Zhu
Commodity Futures Trading Commission (CFTC), Commodity Futures Trading Commission (CFTC), U.S. Commodity Futures Trading Commission (CFTC) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 588 (56,962)
Citation 12

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Dodd-Frank Act, OTC Derivatives, Swaps, Swap Execution Facility, Request for Quotes, Auction, Competition, Winner's Curse, Relationship

15.
Downloads 588 ( 56,962)
Citation 7

QE Auctions of Treasury Bonds

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49 Posted: 31 Mar 2016 Last Revised: 09 Mar 2017
Zhaogang Song and Haoxiang Zhu
Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 372 (98,020)
Citation 4

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Auction, Federal Reserve, Quantitative Easing, Treasury Bond

QE Auctions of Treasury Bonds

FEDS Working Paper No. 2014-48
Number of pages: 55 Posted: 30 Jul 2014
Zhaogang Song and Haoxiang Zhu
Johns Hopkins University - Carey Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 216 (173,427)
Citation 4

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auction, quantitative easing, Federal Reserve, treasury bond, specialness

16.

Non-Fundamental Speculation Revisited

Journal of Finance, Forthcoming, Rotman School of Management Working Paper No. 2922855
Number of pages: 15 Posted: 24 Feb 2017
Liyan Yang and Haoxiang Zhu
University of Toronto - Rotman School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 504 (69,000)

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Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns

Number of pages: 65 Posted: 02 Dec 2018 Last Revised: 29 Jul 2021
Grace Xing Hu, Jun Pan, Jiang Wang and Haoxiang Zhu
PBC School of Finance, Tsinghua University, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 461 (76,268)
Citation 12

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Pre-Announcement Drift, Macroeconomic Announcements, FOMC, Heightened Uncertainty, VIX

Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns

NBER Working Paper No. w25817
Number of pages: 54 Posted: 13 May 2019 Last Revised: 18 Jul 2021
Grace Xing Hu, Jun Pan, Jiang Wang and Haoxiang Zhu
PBC School of Finance, Tsinghua University, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 12 (713,340)
Citation 1

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18.

When FinTech Competes for Payment Flows

Number of pages: 53 Posted: 24 Mar 2020 Last Revised: 02 Apr 2020
Christine A. Parlour, Uday Rajan and Haoxiang Zhu
University of California, Berkeley - Finance Group, Stephen M. Ross School of Business, University of Michigan and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 426 (84,533)
Citation 5

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FinTech, BigTech, payment, competition, banks, credit market

19.

From Market Making to Matchmaking: Does Bank Regulation Harm Market Liquidity?

Number of pages: 65 Posted: 16 Jun 2019 Last Revised: 13 Oct 2020
Gideon Saar, Jian Sun, Ron Yang and Haoxiang Zhu
Cornell University - Samuel Curtis Johnson Graduate School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management, Harvard University - Business School (HBS) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 416 (86,859)
Citation 8

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bank regulation, financial crisis, corporate bonds, liquidity, over-the-counter markets, broker-dealers, Basel 2.5, Basel III, Volcker Rule, post-crisis regulation, market making, matchmaking, market microstructure

20.

Risk and Return Trade-Off in the U.S. Treasury Market

Number of pages: 41 Posted: 03 Mar 2014
Eric Ghysels, Anh Le, Sunjin Park and Haoxiang Zhu
University of North Carolina Kenan-Flagler Business School, Penn State University Smeal College of Business, University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 363 (101,667)
Citation 4

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bond risk premium, stochastic volatility, term structure models

21.

Finding a Good Price in Opaque Over-the-Counter Markets

Review of Financial Studies, Forthcoming
Number of pages: 38 Posted: 07 Nov 2009 Last Revised: 07 Nov 2011
Haoxiang Zhu
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 345 (107,579)
Citation 26

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over-the-counter market, search, adverse selection, market breakdown, fragmentation, outside options, bargaining

22.

Risk Premia in Gold Lease Rates

UNC Kenan-Flagler Research Paper No. 2013-16, Finance Down Under 2014 Building on the Best from the Cellars of Finance
Number of pages: 41 Posted: 20 Mar 2013 Last Revised: 31 Oct 2013
Anh Le and Haoxiang Zhu
Penn State University Smeal College of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 306 (122,598)
Citation 3

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gold lease rates, risk premia, term structure, unspanned risk

23.

Bilateral Trading in Divisible Double Auctions

Journal of Economic Theory, Forthcoming
Number of pages: 36 Posted: 13 Jun 2016 Last Revised: 07 Dec 2016
Songzi Du and Haoxiang Zhu
University of California, San Diego (UCSD) - Department of Economics and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 199 (187,534)
Citation 10

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divisible double auctions, bilateral trading, bargaining, ex post equilibrium

24.

Strategic Trading When Central Bank Intervention Is Predictable

Forthcoming in Review of Asset Pricing Studies
Number of pages: 31 Posted: 09 Jun 2020 Last Revised: 19 Mar 2021
Liyan Yang and Haoxiang Zhu
University of Toronto - Rotman School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 150 (239,231)
Citation 1

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central bank intervention, strategic trading, price reversal, price volatility

25.

When Leverage Ratio Meets Derivatives: Running Out Of Options?

Number of pages: 29 Posted: 24 May 2019 Last Revised: 09 Jun 2019
Richard Haynes, Lihong McPhail and Haoxiang Zhu
Commodity Futures Trading Commission (CFTC), Commodity Futures Trading Commission (CFTC) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 101 (320,193)
Citation 5

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capital requirement, leverage ratio, Basel III, options

26.

On Interest-Bearing Central Bank Digital Currency with Heterogeneous Banks

Number of pages: 31 Posted: 22 Mar 2021 Last Revised: 02 Apr 2021
Rodney Garratt and Haoxiang Zhu
University of California, Santa Barbara (UCSB) and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 82 (364,781)

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central bank digital currency, interest on (excess) reserves, deposit interest rates, bank lending

27.

CCP Auction Design

Number of pages: 19 Posted: 22 Mar 2021
Wenqian Huang and Haoxiang Zhu
Bank for International Settlements and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 25 (594,665)

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Central counterparty (CCP), Auction, Default management