我的研究聚焦於金融市場價格發現 (Price Discovery) 與市場微結構 (Market Microstructure)。傳統的市場微結構研究指出，市場價格並非立即完全反映所有資訊，而是透過投資人的下單與學習過程，交易機制影響之下，逐步將基本面訊息融入價格。我進一步將行為金融納入其中，提出「行為微結構機制」，強調除了基本面資訊會帶來長期的價格影響外，新聞與社群情緒也會透過噪音交易影響訂單流，造成短期的過度反應與隨後的反轉。我將這一框架應用於銀行間市場、比特幣ETF、外匯市場，以及黃金市場的研究，結果顯示基本面影響效應多為持久，而情緒效應則偏向暫時。此一整合性框架不僅延伸了傳統市場微結構理論，也為投資人與監理單位提供新的洞察。

在研究的道路上，我常提醒自己：「研究就像是一場長跑，需要耐心與熱情。」因為平常有跑步的習慣，我常把長跑的節奏和感受，拿來比擬研究的過程。起初帶著動力出發，中途會感到疲倦、甚至想停下來；研究也是如此。從博士時期開始，我對訂單流(Order Flow)、價格發現與投資人行為的互動一直很有興趣，但這一路也不斷經歷嘗試、修正與等待。投稿的過程中，收到的拒絕信其實比接受信多很多。每一次拒絕或遇到嚴厲的批評信，就像長跑時遇到阻力，會覺得辛苦，也曾懷疑自己是否該放棄。但和跑步一樣，告訴自己「再往前一點看看」，總能找到繼續的理由。審稿人的回饋、數據分析中的有趣發現，都慢慢累積成支持我前進的力量與樂趣。

My research focuses on price discovery and market microstructure in financial markets. Traditional market microstructure studies suggest that market prices do not immediately and fully incorporate all available information; rather, through investors’ trading and learning processes, and under the influence of trading mechanisms, fundamental information is gradually embedded into prices. Building on this foundation, I incorporate insights from behavioral finance and propose the concept of a behavioral microstructure mechanism. This framework emphasizes that, in addition to fundamentals generating long-term price effects, news and social sentiment can also influence order flow through noise trading, leading to short-term overreactions followed by reversals. I have applied this framework to studies on China’s interbank market, Bitcoin ETFs and foreign exchange (FX) markets, as well as the gold market. The findings consistently show that fundamental effects tend to be persistent, while sentiment-driven effects are typically temporary. This integrative framework not only extends traditional market microstructure theory but also provides new insights for investors and regulators.

I often remind myself that “research is like a long-distance run; it requires patience and passion.” As a regular runner, I find the rhythm of running similar to the research process. At the start there is energy, but midway fatigue and the urge to stop appear—just as in research. Since my doctoral studies, I have been fascinated by the interaction between order flow, price discovery, and investor behavior, though the journey has been filled with trials, revisions, and long waits.
In publishing, rejection letters have far outnumbered acceptances. Each rejection or harsh review felt like resistance in a run, making me wonder if I should stop. Yet, much like running, telling myself “just a bit further” gave me strength to continue. Reviewer feedback and small but meaningful discoveries in data have gradually become the source of both motivation and enjoyment that keep me moving forward.