Dr. Li Wei is a quantitative investment professional who has been working in both London and Hong Kong for Citigroup Global Markets and BNP Paribas. He managed multi-billion dollar funds with various investment strategies investing globally across multiple asset classes. His research interest is to use the cutting-edge technology such as big data and machine learning to solve the most challenging investment problems in the ever-changing financial markets.
Dr. Li holds a PhD in engineering management from the University of Alberta in Canada. He is also a CFA charter holder and holds the Certificate in Quantitative Finance (CQF).
Publications
- Micheal C S Wong, Wei Li, “Do Macro News Surprises of the US Affect Forex Implied Volatility? The Evidence of Japanese Yen in 1997-2015”, Journal of Stock and Forex Trading, Vol. 7, No. 1, January 2019. DOI: 10.4172/2168-9458.1000184.
- David Parkes, Christopher Thorpe, and Wei Li, Achieving Trust without Disclosure: Dark Pools and a Role for Secrecy-Preserving Verification, Proceedings of the Third Conference on Auctions, Market Mechanisms and Their Applications (AMMA'15), August 2015. DOI:10.4108/eai.8-8-2015.2261035 https://dash.harvard.edu/handle/1/32785051
- Wei Li, Micheal C S Wong and Jovan Cenev, “High Frequency Analysis of Macro News Releaseson the Foreign Exchange Market: A Survey of Literature”, Special Issue on Computation, Business and Health Science, Big Data Research (Elsevier), Vol. 2, No.1, pp:33-48, March 2015. DOI: 10.1016/j.bdr.2015.02.003
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