Wei Li

Johns Hopkins University - Carey Business School

Assistant Professor

100 International Drive

Baltimore, MD 21202

United States

  • Johns Hopkins University - Carey Business School

SCHOLARLY PAPERS

6

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1,229

SSRN CITATIONS
Rank 27,201

SSRN RANKINGS

Top 27,201

in Total Papers Citations

17

CROSSREF CITATIONS

17

Scholarly Papers (6)

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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

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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

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

4.

Asset Pricing with Cohort-Based Trading in MBS Markets

Downloads 90 (344,472)
Citation 4

Asset Pricing with Cohort-Based Trading in MBS Markets

Number of pages: 66 Posted: 20 Jul 2020 Last Revised: 06 Jul 2021
Nicola Fusari, Wei Li, Haoyang Liu and Zhaogang Song
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

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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
Nicola Fusari, Wei Li, Haoyang Liu and Zhaogang Song
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

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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

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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)

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