Wei Li - Assistant Professor of Finance @ Johns Hopkins University
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Wei Li       wei.li@jhu.edu

100 International Dr
Baltimore, MD 21202

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CV

Appointment
  • Assistant Professor of Finance, Carey Business School, Johns Hopkins University. 2014-now.

Education
  • PhD in Finance, University of Maryland, College Park, 2014
  • PhD in Civil Engineering and MS in Statistics, Purdue University, West Lafayette, 2008
  • MS in Civil Engineering, Tsinghua University, Beijing, China, 2004
  • BS in Electronics Engineering, Zhejiang University, Hangzhou, China, 2001

Research Interests
  • Market Microstructure, Liquidity, Information Economics, Over-the-Counter Markets, High Frequency Trading

Working Papers
  • “Asset Heterogeneity, Market Fragmentation, and Quasi-Consolidated Trading ,” with Zhaogang Song.
    • Available at: https://ssrn.com/abstract=3631925
 
  • "Expertise, Information, and Dealer-intermediated OTC Markets,” with Zhaogang Song.
    • Available at: https://ssrn.com/abstract=3624307
    • Accepted by: 2020 Annual Meeting of the European Finance Association
 
  • “Dealers as Information Intermediaries in Over-the-Counter Market,” with Zhaogang Song.
    • Available at: https://ssrn.com/abstract=3351331
    • Accepted by: Finance Theory Group Summer School 2019, European Summer Symposium in Financial Markets 2019, 15th Annual Central Bank Conference on the Microstructure of Financial Markets 2019
 
  • "Asset Pricing with Cohort-Based Trading in MBS Markets," with Nicola Fusari, Haoyang Liu, and Zhaogang Song.
 
  • "High Frequency Trading with Speed Hierarchies."
    • Available at: https://ssrn.com/abstract=2365121
    • Presented at WFA 2014 and NFA 2014

Work in Progress
  • Persistent Bilateral Relationships in OTC Markets, with Zhaogang Song and Semih Uslu.

Selected Honors
  • Cubist Systematic Strategies Ph.D. Candidate Award for Outstanding Research by the WFA, 2014
  • NASDAQ OMX Group Educational Foundation Dissertation Grant, 2013-2014

Teaching
  • BU.232.710 Derivatives at Johns Hopkins University
  • BMGT 446 International Finance at University of Maryland
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