Details about Kerry Back

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Short-id: pba1359

Working Papers

2013

1. Liquidity and Governance
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (4)

1995

2. Long-Lived Information and Intraday Patterns
   Finance, University Library of Munich, Germany
   Also in Finance, University Library of Munich, Germany (1995)
   See also Journal Article Long-lived information and intraday patterns, Journal of Financial Markets, Elsevier (1998) View citations (71) (1998)

1986

3. Discrete Versus Continuous Trading in Securities Markets with Net Worth Constraints
   Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science
4. Securities Market Equilibrium Without Bankruptcy: Contingent ClaimValuation and the Martingale Property
   Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science View citations (3)
5. Structure of Consumption Sets and Existence of Equilibria in Infinite Dimensional Spaces
   Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science
   See also Journal Article Structure of consumption sets and existence of equilibria in infinite-dimensional spaces, Journal of Mathematical Economics, Elsevier (1988) View citations (13) (1988)
6. The Shadow Price of Information in Continuous Time Decision Problems
   Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science

1985

7. On Neighboring Consumers
   Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science

1983

8. Continuity of the Fenchel Transform of Convex Functions
   Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science
9. Continuous and Hypograph Convergence of Utilities
   Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science

Journal Articles

2015

1. The Informational Role of Stock and Bond Volume
   The Review of Financial Studies, 2015, 28, (5), 1381-1427 View citations (3)

2014

2. A characterization of the coskewness–cokurtosis pricing model
   Economics Letters, 2014, 125, (2), 219-222 View citations (4)

2013

3. Strategic Liquidity Provision in Limit Order Markets
   Econometrica, 2013, 81, (1), 363-392 View citations (26)

2010

4. Martingale Pricing
   Annual Review of Financial Economics, 2010, 2, (1), 235-250 View citations (3)

2009

5. Open-Loop Equilibria and Perfect Competition in Option Exercise Games
   The Review of Financial Studies, 2009, 22, (11), 4531-4552 View citations (38)

2007

6. Working Orders in Limit Order Markets and Floor Exchanges
   Journal of Finance, 2007, 62, (4), 1589-1621 View citations (28)

2004

7. Information in Securities Markets: Kyle Meets Glosten and Milgrom
   Econometrica, 2004, 72, (2), 433-465 View citations (92)

2001

8. Auctions of divisible goods with endogenous supply
   Economics Letters, 2001, 73, (1), 29-34 View citations (84)

1999

9. Portfolio Turnpikes
   The Review of Financial Studies, 1999, 12, (1), 165-95 View citations (21)

1998

10. Long-lived information and intraday patterns
    Journal of Financial Markets, 1998, 1, (3-4), 385-402 View citations (71)
    See also Working Paper Long-Lived Information and Intraday Patterns, Finance (1995) (1995)

1993

11. Asymmetric Information and Options
    The Review of Financial Studies, 1993, 6, (3), 435-72 View citations (126)
12. Auctions of Divisible Goods: On the Rationale for the Treasury Experiment
    The Review of Financial Studies, 1993, 6, (4), 733-64 View citations (248)
13. Implied Probabilities in GMM Estimators
    Econometrica, 1993, 61, (4), 971-75 View citations (54)
14. Incomplete Markets and Individual Risks
    Economic Theory, 1993, 3, (1), 35-42

1992

15. GMM, maximum likelihood, and nonparametric efficiency
    Economics Letters, 1992, 39, (1), 23-28 View citations (1)
16. Insider Trading in Continuous Time
    The Review of Financial Studies, 1992, 5, (3), 387-409 View citations (181)

1991

17. Asset pricing for general processes
    Journal of Mathematical Economics, 1991, 20, (4), 371-395 View citations (75)
18. On the fundamental theorem of asset pricing with an infinite state space
    Journal of Mathematical Economics, 1991, 20, (1), 1-18 View citations (30)

1988

19. Structure of consumption sets and existence of equilibria in infinite-dimensional spaces
    Journal of Mathematical Economics, 1988, 17, (1), 89-99 View citations (13)
    See also Working Paper Structure of Consumption Sets and Existence of Equilibria in Infinite Dimensional Spaces, Discussion Papers (1986) (1986)

1987

20. A compact space of transitive locally non-satiated preference relations
    Economics Letters, 1987, 24, (3), 253-256

1986

21. Concepts of similarity for utility functions
    Journal of Mathematical Economics, 1986, 15, (2), 129-142 View citations (5)

Books

2010

1. Asset Pricing and Portfolio Choice Theory
   OUP Catalogue, Oxford University Press View citations (56)