Brian M. Weller

Duke University - Department of Economics

Durham, NC

United States

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Measuring Tail Risks at High Frequency

Number of pages: 60 Posted: 01 Apr 2015 Last Revised: 02 Nov 2016
Brian M. Weller
Duke University - Department of Economics
Downloads 53 (106,139)

Abstract:

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

2.

Efficient Prices at Any Cost: Does Algorithmic Trading Deter Information Acquisition?

Number of pages: 57 Posted: 19 Sep 2015 Last Revised: 17 Feb 2017
Brian M. Weller
Duke University - Department of Economics
Downloads 0 (49,591)

Abstract:

Information Acquisition, Price Discovery, Algorithmic Trading, SEC MIDAS