Market Microstructure

Back, K., Liu, R., and A. Teguia, 2016, "Signaling in Over-the-Counter Markets: Benefits and Costs of Transparency," Working Paper.

Back, K., Crotty, K., and T. Li, 2016, "Estimating Information Asymmetry in Securities Markets," Working Paper.

Back, K., Li, T., and A. Ljungqvist, 2015, "Liquidity and Governance," Working Paper.  Received Charles River Associates prize for best paper in corporate finance at the 2014 WFA conference.

Back, K., and K. Crotty, 2015, "The Informational Role of Stock and Bond Volume," Review of Financial Studies 28, 1381-1427.
 
Back, K., and S. Baruch, 2013, "Strategic Liquidity Provision in Limit Order Markets,'' Econometrica 81, 363-392.

Back, K., and S. Baruch, 2010, "The Kyle Model,'' in R. Cont, ed., Encyclopedia of Quantitative Finance, Wiley.

Back, K., and S. Baruch, 2007, "Working Orders in Limit Order Markets and Floor Exchanges,'' Journal of Finance 61, 1589-1621.

Back, K., and S. Baruch, 2004, "Information in Securities Markets: Kyle Meets Glosten and Milgrom,'' Econometrica 72, 433-465.

Back, K., Cao, H., and G. Willard, 2000, "Imperfect Competition  Among Informed Traders,'' Journal of Finance 55, 2117-2155 (nominated for Smith-Breeden award).

Back, K., and H. Pedersen, 1998, "Long-Lived Information and Intraday Patterns,'' Journal of Financial Markets 1, 385-402.

Back, K., 1993, "Asymmetric Information and Options,'' Review of Financial  Studies 6, 435-472.  Received award for best paper in Review of Financial Studies in 1993.

Back, K., 1992, "Insider Trading in Continuous Time,'' Review of Financial  Studies 5, 387-409.


Empirical Asset Pricing

Back, K., Crane, A., and K. Crotty, 2016, "Skewness Consequences of Seeking Alpha," Working Paper.

Back, K., Kapadia, N., and B. Ostdiek, 2015, "Testing Factor Models on Characteristic and Covariance Pure Plays," Working Paper.


Asset Pricing Theory

Back, K., Liu, R., and A. Teguia, 2016, "Increasing Risk Aversion, Habits, and Life-Cycle Investing," Working Paper.

Back, K., 2014, "A Characterization of the Coskewness-Cokurtosis Pricing Model," Economics Letters, 125, 219-222.

Back, K., 2010, "Martingale Pricing,'' Annual Review of Financial Economics 2, 235-250.

Back, K., 2004, "Incomplete and Asymmetric Information in Asset Pricing Theory,'' in M. Frittelli and W. Runggaldier, eds., Stochastic Methods in Finance, Lecture Notes in Mathematics, Springer.

Dybvig, P. H., Rogers, L. C. G., and K. Back, 1999,  "Portfolio Turnpikes,''  Review of Financial Studies 12, 165-195.

Back, K., 1996, "Yield Curve Models: A Mathematical Review,''  in I. Nelkin, ed., Option Embedded  Bonds: Price Analysis, Credit Risk and Investment Strategies, Irwin, 3-36.

Back, K., 1991, "Asset Pricing for General Processes,'' Journal of  Mathematical Economics 20, 371-395.

Back, K., and S. R. Pliska, 1991, "On the Fundamental Theorem of Asset Pricing with an  Infinite  State Space,''  Journal of Mathematical Economics 20, 371-395.


Real Options


Back, K., and D. Paulsen, 2009, "Open Loop Equilibria and Perfect Competition in Option Exercise Games,'' Review of Financial Studies 22, 4531-4552.


Auctions


Back, K., and J. Zender, 2001, "Auctions of Divisible Goods with Endogenous Supply,'' Economics Letters 73, 29-34.

Back, K., and J. F. Zender, 1993, "Auctions of Divisible Goods: On the Rationale for the Treasury  Experiment,'' Review of Financial Studies 6, 733-764 (reprinted in Klemperer, Paul, ed., The Economic Theory of Auctions, 2000, Edward Elgar).


Economic Theory

Back, K., 1993, "Incomplete Markets and Individual Risks,'' Economic Theory 3, 35-42.

Back, K., 1988, "Structure of Consumption Sets and Existence of Equilibria  in Infinite Dimensional Spaces,'' Journal of Mathematical Economics 17, 39-49. 

Back, K., 1987, "A Compact Space of Transitive Locally Non-Satiated  Preference Relations,''  Economics Letters 24, 1987,  253-256.

Back, K., 1986,  "Concepts of Similarity for Utility Functions,'' Journal of Mathematical Economics 15, 129-142.


Econometric Theory

Back, K., and D. P. Brown, 1993, "Implied Probabilities in GMM Estimators,''  Econometrica 61, 971-975.

Back, K., and D. P. Brown, 1992, "GMM, Maximum Likelihood, and Nonparametric  Efficiency,'' Economics Letters 39, 23-28.


Mathematical Programming

Back, K., 1988, "Convergence of Lagrange Multipliers and Dual Variables for Convex Optimization Problems,'' Mathematics of Operations  Research 13, 74-79.

Back, K., and S. R. Pliska, 1987, "The Shadow Price of Information in Continuous Time  Decision  Problems,'' Stochastics 22, 151-186.

Back, K., 1986, "Continuity of the Fenchel Transform of Convex Functions,''  Proceedings of the American Mathematical Society 97,  661-667.