In the last three decades, technological innovations, like the adoption of algorithmic trading, have paved the way for many changes in the U.S. financial system, from the structure of markets to the speed and volume at which assets are traded.
New professor Brian Weller’s research helps investors, regulators, and managers to evaluate and manage risks as well as to understand the tradeoffs involved in the technological innovations in financial markets.
“I develop new tools to measure hard-to-measure quantities. By that I mean: What is the risk of an extreme event, or how much information are in prices in the stock market? These are fundamentally difficult quantities to estimate, but they’re also important,” Weller said. “Understanding the consequences of technological innovation is a first-order question for everyone, whether an academic or a mom-and-pop (retail investor) who wants to trade.”
Weller is the latest faculty addition to the Duke Financial Economics Center (DFE), joining a group that comprises Tim Bollerlsev, Jia Li, Andrew Patton, and George Tauchen. His specialties are asset pricing and market structure, specifically as they relate to risk sharing and management.
“The financial econometrics group at Duke is one of the best in the world, and their work complements my own research interests. I have much to learn from their expertise,” he said. He previously worked as an assistant professor of finance at Northwestern’s Kellogg School of Management.
As a high school junior, the economist first became interested in the discipline because it merged his interests in quantitative science and political science and provided a vehicle through which he could understand how the world works. Several years later, as an undergraduate at Harvard University, Weller had a “life-changing” conversation with Nobel laureate Robert Merton that led him to a career in finance.
“Bob sat down with me for an hour, and it was mostly a monologue of why he loved finance. He demonstrated that finance interacts uniquely with the world. Many financial regularities can be evaluated immediately in dollars and cents. His passion just infected me. After that, I knew I wanted to study finance,” Weller recalled.
That interaction is also one of the reasons why Weller is always happy to sit down and talk with students about finance, regardless of their interests. “I’m not Bob Merton, but if I can have a conversation and change someone’s path, it’s rewarding,” he said.
Undergraduate and master’s students will have the opportunity to gain an equally deep appreciation for financial economics if they take his paired course in the spring. ECON 476/676 Empirical Asset Pricing is geared toward students who want to be leaders in academic thought or get top jobs at Wall Street firms or hedge funds, exposing them not only to empirical techniques from the 1970s through the present day but also to cutting-edge research in the field.
According to Weller, “This is not a course for the faint of heart. It’s a steep learning curve, but when you make it to the top, you’ll have quite a view of the field.”
