Wei Li

Johns Hopkins University - Carey Business School

Assistant Professor

100 International Drive

Baltimore, MD 21202

United States

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)

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

Asset Pricing with Cohort-Based Trading in MBS Markets

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

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: 53 Posted: 07 Jul 2020 Last Revised: 11 Aug 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 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)

Abstract:

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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