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Hasbrouck, Joel's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
11,713 |
Total
Citations
753 |
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1.
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Hasbrouck, Joel
New York University (NYU) - Department of Finance Saar, Gideon
Cornell University - Samuel Curtis Johnson Graduate School of Management
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22 Oct 10
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Last Revised:
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22 May 13
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2,666
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44
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low latency, high frequency trading, HFT, market quality, algorithmic trading, algorithms
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2.
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Common Factors in Prices, Order Flows and Liquidity
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Hasbrouck, Joel
New York University (NYU) - Department of Finance Seppi, Duane J.
Carnegie Mellon University - David A. Tepper School of Business
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Posted:
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20 Apr 99
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Last Revised:
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07 Nov 08
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1,765
(3,478)
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217
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Hasbrouck, Joel
New York University (NYU) - Department of Finance Seppi, Duane J.
Carnegie Mellon University - David A. Tepper School of Business
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122
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216
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Hasbrouck, Joel
New York University (NYU) - Department of Finance Seppi, Duane J.
Carnegie Mellon University - David A. Tepper School of Business
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1,643
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217
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3.
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Intraday Price Formation in US Equity Index Markets
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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Posted:
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08 Feb 01
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Last Revised:
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13 May 09
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1,645
(3,966)
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74
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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118
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73
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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1,527
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74
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Equity, index futures, exchange traded-funds, electronic markets, price discovery, price formation, SPDR
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4.
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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1,267
(6,268)
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142
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Trading cost, effective cost, price impact, asset pricing, MCMC, spread, expected returns, Gibbs sampler, MCMC
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5.
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The Dynamics of Discrete Bid and Ask Quotes
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Versions (4)
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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Posted:
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21 Jan 97
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Last Revised:
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13 Apr 09
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841
(12,210)
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36
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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23
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36
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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39
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36
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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37
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36
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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742
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36
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6.
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Limit Orders and Volatility in a Hybrid Market: The Island Ecn
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Hasbrouck, Joel
New York University (NYU) - Department of Finance Saar, Gideon
Cornell University - Samuel Curtis Johnson Graduate School of Management
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Posted:
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26 Jul 02
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Last Revised:
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03 Nov 08
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803
(13,071)
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39
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Hasbrouck, Joel
New York University (NYU) - Department of Finance Saar, Gideon
Cornell University - Samuel Curtis Johnson Graduate School of Management
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86
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39
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Hasbrouck, Joel
New York University (NYU) - Department of Finance Saar, Gideon
Cornell University - Samuel Curtis Johnson Graduate School of Management
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717
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39
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Island ECN, electronic communications networks, alternative trading systems, limit order book, volatility, limit orders, market microstructure, hidden orders, fleeting orders
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7.
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Security Bid/Ask Dynamics with Discreteness and Clustering: Simple Strategies for Modeling and Estimation
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Versions (2)
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hide multiple versions |
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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Posted:
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15 Feb 98
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Last Revised:
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07 Nov 08
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602
(19,892)
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18
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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80
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15
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Quotes, foreign exchange, Gibbs sampler, Markov chain Monte Carlo, discreteness, clustering, security prices
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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522
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18
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8.
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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511
(24,825)
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32
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9.
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Hasbrouck, Joel
New York University (NYU) - Department of Finance Saar, Gideon
Cornell University - Samuel Curtis Johnson Graduate School of Management
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| Posted: |
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20 Jun 07
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Last Revised:
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30 Apr 08
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502
(25,398)
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37
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fleeting orders, INET, limit orders, ECN, trading strategies, hidden liquidity, dark liquidity, supplying liquidity, demanding liquidity, technology, active trading, market fragmentation, duration analysis, survival analysis, limit order cancellation, proportional hazards model
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10.
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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432
(30,887)
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23
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11.
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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209
(71,579)
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45
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12.
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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136
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3
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BBO NBBO TAQ
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13.
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Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data
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Show Abstracts |
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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Posted:
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07 Nov 08
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Last Revised:
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16 Dec 08
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119
(118,961)
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26
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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28
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26
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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91
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26
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Futures Markets, Liquidity, Gibbs Sampler, MCMC, Markov chain Monte Carlo, Foreign Exchange, Stock Index Futures
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14.
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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112
(124,729)
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18
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15.
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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| Posted: |
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24 Mar 13
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Last Revised:
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03 May 13
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103
(132,610)
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high frequency trading, US equities, quotes, volatility
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16.
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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17.
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Hasbrouck, Joel
New York University (NYU) - Department of Finance
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18.
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Hamao, Yasushi
University of Southern California - Marshall School of Business - Finance and Business Economics Department Hasbrouck, Joel
New York University (NYU) - Department of Finance
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19.
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Harris, Lawrence
University of Southern California - Marshall School of Business - Finance and Business Economics Department Hasbrouck, Joel
New York University (NYU) - Department of Finance
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