Wei Li

Johns Hopkins University - Carey Business School

Assistant Professor

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 41,354

SSRN RANKINGS

Top 41,354

in Total Papers Downloads

1,614

SSRN CITATIONS
Rank 30,369

SSRN RANKINGS

Top 30,369

in Total Papers Citations

11

CROSSREF CITATIONS

17

Scholarly Papers (6)

1.

High Frequency Trading with Speed Hierarchies

Number of pages: 48 Posted: 10 Dec 2013 Last Revised: 30 Aug 2021
Wei Li
Johns Hopkins University - Carey Business School
Downloads 780 (44,759)
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 Markets

Number of pages: 29 Posted: 03 Apr 2019 Last Revised: 24 Feb 2022
Wei Li and Zhaogang Song
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 310 (136,060)
Citation 6

Abstract:

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

Asset Pricing with Cohort-Based Trading in MBS Markets

Journal of Finance, Forthcoming
Number of pages: 106 Posted: 20 Jul 2020 Last Revised: 28 Sep 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 135 (291,143)
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, Rev. July 2021
Number of pages: 67 Posted: 07 Jul 2020 Last Revised: 11 Aug 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 45 (552,022)
Citation 1

Abstract:

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cohort, heterogeneity, liquidity, MBS, prepayment, TBA

4.

TBA Trading and Security Issuance in the Agency MBS Market

Number of pages: 80 Posted: 21 Dec 2020 Last Revised: 01 Jun 2022
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 151 (265,513)
Citation 3

Abstract:

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Cohort, MBS, Security design, Specified pool, 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 102 (353,833)
Citation 5

Abstract:

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

6.

Dealer Expertise and Market Concentration in OTC Trading

Johns Hopkins Carey Business School Research Paper No. 22-03
Number of pages: 56 Posted: 07 Jul 2020 Last Revised: 24 Feb 2022
Zhaogang Song and Wei Li
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 91 (380,347)

Abstract:

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