Wei Li

CUNY Baruch College

17 Lexington Avenue

New York, NY 10021

United States

  • CUNY Baruch College

SCHOLARLY PAPERS

6

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2,341

SSRN CITATIONS
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Top 25,710

in Total Papers Citations

33

CROSSREF CITATIONS

15

Scholarly Papers (6)

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1.

High Frequency Trading with Speed Hierarchies

Number of pages: 48 Posted: 10 Dec 2013 Last Revised: 30 Aug 2021
Wei Li
CUNY Baruch College
Downloads 875 (53,543)
Citation 13

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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
CUNY Baruch College and Johns Hopkins University - Carey Business School
Downloads 430 (131,374)
Citation 6

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

3.

Asset Pricing with Cohort-Based Trading in MBS Markets

Downloads 339 (171,309)
Citation 11

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
Nicola Fusari, Wei Li, Haoyang Liu and Zhaogang Song
Johns Hopkins University - Carey Business School, CUNY Baruch College, Federal Reserve Banks - Federal Reserve Bank of Dallas and Johns Hopkins University - Carey Business School
Downloads 250 (233,477)
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, Rev. July 2021
Number of pages: 67 Posted: 07 Jul 2020 Last Revised: 11 Aug 2021
Nicola Fusari, Wei Li, Haoyang Liu and Zhaogang Song
Johns Hopkins University - Carey Business School, CUNY Baruch College, Federal Reserve Banks - Federal Reserve Bank of Dallas and Johns Hopkins University - Carey Business School
Downloads 89 (551,177)

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: 59 Posted: 21 Dec 2020 Last Revised: 19 Dec 2023
Yu An, Wei Li and Zhaogang Song
Johns Hopkins Carey Business School, CUNY Baruch College and Johns Hopkins University - Carey Business School
Downloads 313 (186,413)
Citation 3

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

5.

Asset Heterogeneity, Market Fragmentation, and Quasi-Consolidated Trading

Number of pages: 47 Posted: 14 Jul 2020 Last Revised: 25 Oct 2023
Wei Li and Zhaogang Song
CUNY Baruch College and Johns Hopkins University - Carey Business School
Downloads 201 (288,611)
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: 42 Posted: 07 Jul 2020 Last Revised: 24 Jan 2024
Wei Li and Zhaogang Song
CUNY Baruch College and Johns Hopkins University - Carey Business School
Downloads 183 (313,974)

Abstract:

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