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

6

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Top 40,600

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1,968

SSRN CITATIONS
Rank 27,656

SSRN RANKINGS

Top 27,656

in Total Papers Citations

20

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
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

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

3.

Asset Pricing with Cohort-Based Trading in MBS Markets

Downloads 265 (185,151)
Citation 6

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, 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

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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, Johns Hopkins University - Carey Business School, Federal Reserve Bank of New York and Johns Hopkins University - Carey Business School
Downloads 59 (577,247)

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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

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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