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Brian M Weller, Assistant Professor

Brian M Weller

Professor Weller studies financial markets with an emphasis on liquidity and asset prices. He specializes in developing tools to analyze the informational and risk content of market intermediary behavior. He also investigates how technological and market structure innovations affect risk sharing and price discovery.

Professor Weller is on leave for the 2019-20 academic year.

Contact Info:
Office Location:  228H Social Sciences Bldg, Box 90097, Durham, NC 27708
Office Phone:  (919) 660-1720
Email Address: send me a message
Web Page:  https://sites.google.com/site/brianmweller/

Education:

Ph.D.University of Chicago2013

Recent Publications   (More Publications)

  1. Weller, BM, Measuring Tail Risks at High Frequency, Review of Financial Studies, vol. 32 no. 9 (September, 2019), pp. 3571-3616, Oxford University Press (OUP) [doi]  [abs]
  2. Patton, AJ; Weller, B, Testing for Unobserved Heterogeneity via K-Means Clustering (July, 2019)
  3. 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)
  4. Patton, AJ; Weller, B, What You See Is Not What You Get: The Costs of Trading Market Anomalies no. 255 (May, 2019)
  5. Weller, BM, Does algorithmic trading reduce information acquisition?, Review of Financial Studies, vol. 31 no. 6 (June, 2018), pp. 2184-2226 [doi]  [abs]


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