Wei Li

Johns Hopkins University - Carey Business School

Assistant Professor

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 45,316

SSRN RANKINGS

Top 45,316

in Total Papers Downloads

1,229

SSRN CITATIONS
Rank 27,201

SSRN RANKINGS

Top 27,201

in Total Papers Citations

17

CROSSREF CITATIONS

17

Scholarly Papers (6)

1.

High Frequency Trading with Speed Hierarchies

Number of pages: 51 Posted: 10 Dec 2013 Last Revised: 12 Apr 2019
Wei Li
Johns Hopkins University - Carey Business School
Downloads 731 (42,785)
Citation 13

Abstract:

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high frequency trading, market microstructure, liquidity, market efficiency, Kyle model

2.

Dealers as Information Intermediaries in Over-the-Counter Market

Number of pages: 51 Posted: 03 Apr 2019 Last Revised: 15 May 2019
Wei Li and Zhaogang Song
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 194 (191,817)
Citation 6

Abstract:

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Dealer, Intermediation, Private Information, Decentralization, OTC, Trading, Liquidity

3.

Cohort Trading and Security Design: Theory and Evidence from Agency MBS Markets

Number of pages: 77 Posted: 21 Dec 2020 Last Revised: 14 Jun 2021
Yu An, Wei Li and Zhaogang Song
Johns Hopkins Carey Business School, Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 94 (335,141)
Citation 4

Abstract:

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Cohort trading, MBS, Security design, Specified pool, TBA.

Asset Pricing with Cohort-Based Trading in MBS Markets

Number of pages: 66 Posted: 20 Jul 2020 Last Revised: 06 Jul 2021
Johns Hopkins University - Carey Business School, Johns Hopkins University - Carey Business School, Federal Reserve Bank of New York and Johns Hopkins University - Carey Business School
Downloads 56 (453,014)
Citation 2

Abstract:

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Cohort, Heterogeneity, Liquidity, MBS, Prepayment, TBA

Asset Pricing with Cohort-Based Trading in MBS Markets

FRB of New York Staff Report No. 931
Number of pages: 58 Posted: 07 Jul 2020 Last Revised: 03 Dec 2020
Johns Hopkins University - Carey Business School, Johns Hopkins University - Carey Business School, Federal Reserve Bank of New York and Johns Hopkins University - Carey Business School
Downloads 34 (555,110)
Citation 2

Abstract:

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cohort, heterogeneity, liquidity, MBS, prepayment, TBA

5.

Asset Heterogeneity, Market Fragmentation, and Quasi-Consolidated Trading

Number of pages: 48 Posted: 14 Jul 2020 Last Revised: 17 Jul 2020
Wei Li and Zhaogang Song
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 61 (428,028)
Citation 4

Abstract:

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Asset Heterogeneity, Corporate Bonds, Quasi-Consolidated Trading, TBA, MBS, Search

6.

Dealer Expertise and Market Concentration in OTC Trading

Number of pages: 48 Posted: 07 Jul 2020 Last Revised: 12 Apr 2021
Zhaogang Song and Wei Li
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 59 (435,212)

Abstract:

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Dealer, Expertise, Private Information, OTC, Bilateral Trading, Network