Brian M. Weller

Duke University - Department of Economics

SCHOLARLY PAPERS

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Scholarly Papers (3)

1.

Measuring Tail Risks at High Frequency

Number of pages: 60 Posted: 01 Apr 2015 Last Revised: 09 Sep 2017
Brian M. Weller
Duke University - Department of Economics
Downloads 53 (77,847)

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

2.

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

Economic Research Initiatives at Duke (ERID) Working Paper No. 255
Number of pages: 52 Posted: 12 Sep 2017 Last Revised: 01 Nov 2017
Andrew J. Patton and Brian M. Weller
Duke University - Department of Economics and Duke University - Department of Economics
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Trading Costs, Performance Evaluation, Mutual Funds, Market Efficiency

3.

Does Algorithmic Trading Deter Information Acquisition?

Number of pages: 55 Posted: 19 Sep 2015 Last Revised: 24 May 2017
Brian M. Weller
Duke University - Department of Economics
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Information Acquisition, Price Discovery, Algorithmic Trading, SEC MIDAS