Brian Weller

Duke University - Department of Economics

SCHOLARLY PAPERS

5

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Top 19,722

in Total Papers Downloads

2,398

CITATIONS
Rank 38,046

SSRN RANKINGS

Top 38,046

in Total Papers Citations

13

Scholarly Papers (5)

1.

Does Algorithmic Trading Deter Information Acquisition?

Number of pages: 55 Posted: 19 Sep 2015 Last Revised: 31 Aug 2018
Brian Weller
Duke University - Department of Economics
Downloads 937 (23,610)
Citation 8

Abstract:

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Information Acquisition, Price Discovery, Algorithmic Trading, SEC MIDAS

2.

What You See Is Not What You Get: The Costs of Trading Market Anomalies

Journal of Financial Economics (JFE), Forthcoming, Economic Research Initiatives at Duke (ERID) Working Paper No. 255
Number of pages: 79 Posted: 12 Sep 2017 Last Revised: 04 May 2019
Andrew J. Patton and Brian Weller
Duke University - Department of Economics and Duke University - Department of Economics
Downloads 786 (30,388)
Citation 5

Abstract:

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Trading Costs, Performance Evaluation, Mutual Funds, Market Efficiency

3.

Measuring Tail Risks at High Frequency

Number of pages: 61 Posted: 01 Apr 2015 Last Revised: 27 Oct 2018
Brian Weller
Duke University - Department of Economics
Downloads 467 (59,942)

Abstract:

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Tail Risks, High-Frequency Market Making, Bid-Ask Spreads

4.

Risk Price Variation: The Missing Half of Empirical Asset Pricing

Economic Research Initiatives at Duke (ERID) Working Paper No. 274
Number of pages: 62 Posted: 21 Jun 2018 Last Revised: 27 May 2019
Andrew J. Patton and Brian Weller
Duke University - Department of Economics and Duke University - Department of Economics
Downloads 201 (150,154)

Abstract:

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Risk Premia, Market Segmentation, Clustering, Expectation Maximization

5.

Testing for Unobserved Heterogeneity via K-Means Clustering

Number of pages: 37 Posted: 18 Jul 2019
Andrew J. Patton and Brian Weller
Duke University - Department of Economics and Duke University - Department of Economics
Downloads 7 (597,870)

Abstract:

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model selection, overfitting, machine learning, classification methods