Wei Li's main research interest is in understanding how the market microstructure impacts financial markets. He works on high-frequency trading, information intermediation in over-the-counter markets, and design of quasi-consolidated contracts in MBS markets.
- PhD, Finance, University of Maryland, College Park.
- PhD, Civil Engineering, Purdue University, West Lafayette.
- MS, Statistics and Math Finance, Purdue University, West Lafayette.
- MS, Civil Engineering, Tsinghua University, Beijing, China.
- BS, Electronics Engineering, Zhejiang University, Hangzhou, China.
Works in progress
- Dealers as information intermediaries in Over-the-counter markets, with Zhaogang Song.
- High frequency trading with speed hierarchies.
- MBS heterogeneity, with Nicola Fusari, Haoyang Liu, and Zhaogang Song.
Honors and distinctions
- Cubist Systematic Strategies Award for Outstanding Research of the Western Finance Association.
- NASDAQ OMX Group Educational Foundation Dissertation Grant.