Wei Li

Johns Hopkins University - Carey Business School

Assistant Professor

100 International Drive

Baltimore, MD 21202

United States

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 40,600

SSRN RANKINGS

Top 40,600

in Total Papers Downloads

1,968

SSRN CITATIONS
Rank 27,656

SSRN RANKINGS

Top 27,656

in Total Papers Citations

20

CROSSREF CITATIONS

15

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 827 (47,889)
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 367 (131,356)
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 206 (235,417)
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 59 (577,247)

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: 04 Nov 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 222 (220,112)
Citation 4

Abstract:

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

5.

Asset Heterogeneity, Market Fragmentation, and Quasi-Consolidated Trading

Number of pages: 46 Posted: 14 Jul 2020 Last Revised: 07 Dec 2022
Wei Li and Zhaogang Song
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 156 (300,818)
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: 49 Posted: 07 Jul 2020 Last Revised: 16 Dec 2022
Wei Li and Zhaogang Song
Johns Hopkins University - Carey Business School and Johns Hopkins University - Carey Business School
Downloads 131 (345,761)

Abstract:

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