Publications of Brian M Weller    :chronological  combined  bibtex listing:

Journal Articles

1. Weller, BM, Does algorithmic trading reduce information acquisition?, Review of Financial Studies, vol. 31 no. 6 (June, 2018), pp. 2184-2226 [doi]  [abs]
2. Weller, BM, Efficient Prices at Any Cost: Does Algorithmic Trading Deter Information Acquisition? (May, 2016)
3. Weller, BM, Intermediation Chains (2014)
4. Weller, BM, Measuring Tail Risks at High Frequency, American Historical Review, vol. 124 no. 2 (April, 2019), pp. 3571-3616, Oxford University Press (OUP) [doi]  [abs]
5. Weller, BM, Measuring Tail Risks at High Frequency (November, 2016)
6. Patton, AJ; Weller, B, Risk Price Variation: The Missing Half of Empirical Asset Pricing, Economic Research Initiatives at Duke (Erid) Working Paper no. 274 (May, 2019)
7. Patton, AJ; Weller, B, Testing for Unobserved Heterogeneity via K-Means Clustering (July, 2019)
8. Patton, AJ; Weller, B, What You See Is Not What You Get: The Costs of Trading Market Anomalies no. 255 (May, 2019)
9. Patton, AJ; Weller, B, What You See Is Not What You Get: The Costs of Trading Market Anomalies, Economic Research Initiatives at Duke (Erid) Working Paper no. 255 (March, 2018)
10. Patton, AJ; Weller, BM, What You See Is Not What You Get: The Costs of Trading Market Anomalies (October, 2017)

Chapters in Books

1. Weller, BM, Public Policy and Saving for Retirement, in Better Living through Economics, edited by Siegfried, JJ (2012), Harvard University Press, ISBN 9780674064126