Peer-reviewed Publications

Market microstructure and electronic trading

1. Richie R. Ma and Teresa Serra. Is liquidity provision informative? Evidence from agricultural futures markets, American Journal of Agricultural Economics, January 2025
   • Abstract: Electronic commodity trading witnesses a massive volume of order messages every trading day, but little is known about their informativeness. We examine limit order dynamics and their role in price discovery in the Chicago Mercantile Exchange (CME) corn, soybean, and wheat futures markets from January 2019 to June 2020, using order-level data. Between 75% and 79% of the large number of limit orders submitted are then deleted, which contrasts with the much smaller proportion getting executed or revised. Aggressive trades and limit orders substantially contribute to price discovery, whereas nonaggressive trades and limit orders, representing most market events, play a minor role. Following public information releases, there is a shift in trading strategies, with trades contributing more to price discovery and aggressive limit orders contributing less, compared to non-release days. Our findings suggest that most limit orders in agricultural futures markets continue to play the traditional role of uninformed liquidity provision.
   • SSRN version; AFA version; Internet Appendix; Replication Codes; CME Data Cleaning Notes; AFA Poster; Slides
   • Using the order book directly reconstructed by the Market by Order (MBO) data and also providing evidence on the revolution of price discovery during the public WASDE announcement, thus subsuming the results of my Master thesis at UIUC.
   • Presentations: 2024 AFA Ph.D. Poster Session; 2023 NCCC-134; UIUC ACE Commercial Ag
   • Award: 2024 Peer-Reviewed Research Achievement, ACE Dept, UIUC

Futures markets and price analysis

1. Richie R. Ma, Tao Xiong, and Yukun Bao. The Russia-Saudi Arabia oil price war during the COVID-19 pandemic. Energy Economics, October 2021

2. Richie R. Ma and Tao Xiong. Price explosiveness in nonferrous metal futures markets. Economic Modelling, January 2021

Working papers

Richie R. Ma and Teresa Serra. Fast but noisy: Why options react first in agricultural derivatives markets [Job Market Paper] Revise and Resubmit at European Review of Agricultural Economics

• Presentations: Inter–Finance PhD; UIUC ACE FACS; 2024 Summer School on Market Microstructure; AFA 2025 Annual Meeting Ph.D. Poster Session; SWFA 2025 Annual Meeting; MFA 2025 Annual Meeting; 2025 NCCC–134 Conference
• Slides

Richie R. Ma, Teresa Serra, Brian G. Peterson, and Scott H. Irwin. One contract, two deals: How market design of exchange-traded calendar spreads affect traders?

• Subsuming and superseding More liquidity is better? Evidence from agricultural futures markets and Inside the “meat casino”: How calendar spreads shape livestock futures trading

Richie R. Ma and Teresa Serra. One-tick futures: Does tick size reduction better markets?

• Draft
• Presentations: UIUC ACE FACS; 2024 NCCC-134

Work in progress

Why quotes are more informative than trades: Evidence from tick size constraints in energy futures markets

Pay for customization: Do transaction costs undermine forward market performance? with Teresa Serra, Joe Janzen, Scott Irwin, and Brian Peterson.