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

5

DOWNLOADS

885

SSRN CITATIONS
Rank 30,465

SSRN RANKINGS

Top 30,465

in Total Papers Citations

15

CROSSREF CITATIONS

10

Scholarly Papers (5)

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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 682 (40,988)
Citation 14

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 135 (232,504)
Citation 4

Abstract:

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

3.

Asset Pricing with Cohort-Based Trading in MBS Markets

Downloads 27 (524,583)
Citation 3

Asset Pricing with Cohort-Based Trading in MBS Markets

Number of pages: 52 Posted: 20 Jul 2020 Last Revised: 07 Aug 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 18 (601,025)

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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: 53 Posted: 07 Jul 2020 Last Revised: 11 Aug 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 9 (668,307)
Citation 1

Abstract:

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cohort, heterogeneity, liquidity, MBS, prepayment, TBA

4.

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 22 (554,839)

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

5.

Expertise, Information, and Dealer-intermediated OTC Markets

Number of pages: 45 Posted: 07 Jul 2020
Zhaogang Song and Wei Li
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 19 (574,003)

Abstract:

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