Joel Hasbrouck

New York University (NYU) - Department of Finance

Professor of Finance

44 West 4th Street

MEC Suite 9-190, Mail Code 0268

New York, NY 10012-1126

United States

  • New York University (NYU) - Department of Finance

    • Email
    • Tel: 212-998-0310
    • Fax: 212-995-4233
SCHOLARLY PAPERS

21

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CITATIONS
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745

Scholarly Papers (21)

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1.

Low-Latency Trading

Johnson School Research Paper Series No. 35-2010, AFA 2012 Chicago Meetings Paper
Number of pages: 56 Posted: 22 Oct 2010 Last Revised: 22 May 2013
Joel Hasbrouck and Gideon Saar
New York University (NYU) - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 4,758 (1,571)
Citation 56

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low latency, high frequency trading, HFT, market quality, algorithmic trading, algorithms

2.

High Frequency Quoting: Short-Term Volatility in Bids and Offers

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 67 Posted: 24 Mar 2013 Last Revised: 02 Jul 2017
Joel Hasbrouck
New York University (NYU) - Department of Finance
Downloads 2,439 (4,987)
Citation 3

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High-frequency trading; high-frequency quoting; Edgeworth cycles; mixed strategies

3.

Common Factors in Prices, Order Flows and Liquidity

Downloads 2,133 ( 6,246)
Citation 217

Common Factors in Prices, Order Flows and Liquidity

EFA 0303
Number of pages: 32 Posted: 20 Apr 1999
Joel Hasbrouck and Duane J. Seppi
New York University (NYU) - Department of Finance and Carnegie Mellon University - David A. Tepper School of Business
Downloads 1,903 (7,460)
Citation 217

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Common Factors in Prices, Order Flows and Liquidity

NYU Working Paper No. FIN-99-011
Number of pages: 31 Posted: 07 Nov 2008
Joel Hasbrouck and Duane J. Seppi
New York University (NYU) - Department of Finance and Carnegie Mellon University - David A. Tepper School of Business
Downloads 230 (129,410)
Citation 216

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4.

Intraday Price Formation in Us Equity Index Markets

Downloads 2,033 ( 6,780)
Citation 68

Intraday Price Formation in Us Equity Index Markets

Number of pages: 58 Posted: 08 Feb 2001
Joel Hasbrouck
New York University (NYU) - Department of Finance
Downloads 1,828 (8,000)
Citation 68

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Equity, index futures, exchange traded-funds, electronic markets, price discovery, price formation, SPDR

Intraday Price Formation in Us Equity Index Markets

NYU Working Paper No. FIN-00-046
Number of pages: 59 Posted: 12 Nov 2008
Joel Hasbrouck
New York University (NYU) - Department of Finance
Downloads 205 (144,781)
Citation 67

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5.

Trading Costs and Returns for Us Equities: The Evidence from Daily Data

NYU Stern School Department of Finance Working Paper
Number of pages: 44 Posted: 16 Jun 2003
Joel Hasbrouck
New York University (NYU) - Department of Finance
Downloads 1,629 (9,875)
Citation 129

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Trading cost, effective cost, price impact, asset pricing, MCMC, spread, expected returns, Gibbs sampler, MCMC

6.

Limit Orders and Volatility in a Hybrid Market: The Island Ecn

Downloads 1,025 ( 20,242)
Citation 40

Limit Orders and Volatility in a Hybrid Market: The Island Ecn

Stern School of Business Dept. of Finance Working Paper FIN-01-025
Number of pages: 50 Posted: 26 Jul 2002
Joel Hasbrouck and Gideon Saar
New York University (NYU) - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 853 (26,110)
Citation 40

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Island ECN, electronic communications networks, alternative trading systems, limit order book, volatility, limit orders, market microstructure, hidden orders, fleeting orders

Limit Orders and Volatility in a Hybrid Market: The Island Ecn

NYU Working Paper No. FIN-01-025
Number of pages: 54 Posted: 03 Nov 2008
Joel Hasbrouck and Gideon Saar
New York University (NYU) - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 172 (170,284)
Citation 40

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7.

The Dynamics of Discrete Bid and Ask Quotes

Downloads 946 ( 22,815)
Citation 38

The Dynamics of Discrete Bid and Ask Quotes

Number of pages: 37 Posted: 21 Jan 1997
Joel Hasbrouck
New York University (NYU) - Department of Finance
Downloads 768 (30,183)
Citation 38

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The Dynamics of Discrete Bid and Ask Quotes

NYU Working Paper No. FIN-98-041
Number of pages: 46 Posted: 07 Nov 2008
Joel Hasbrouck
New York University (NYU) - Department of Finance
Downloads 86 (288,112)
Citation 38

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The Dynamics of Discrete Bid and Ask Quotes

NYU Working Paper No. FIN-96-026
Number of pages: 39 Posted: 11 Nov 2008
Joel Hasbrouck
New York University (NYU) - Department of Finance
Downloads 49 (389,524)
Citation 38

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The Dynamics of Discrete Bid and Ask Quotes

NYU Working Paper No. FIN-95-023
Number of pages: 36 Posted: 11 Nov 2008
Joel Hasbrouck
New York University (NYU) - Department of Finance
Downloads 43 (411,724)
Citation 38

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8.

Modeling Market Microstructure Time Series

NYU Working Paper No. FIN-95-024
Number of pages: 76 Posted: 11 Nov 2008
Joel Hasbrouck
New York University (NYU) - Department of Finance
Downloads 822 (27,955)
Citation 31

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9.

Technology and Liquidity Provision: The Blurring of Traditional Definitions

Number of pages: 46 Posted: 20 Jun 2007 Last Revised: 30 Apr 2008
Joel Hasbrouck and Gideon Saar
New York University (NYU) - Department of Finance and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 793 (29,346)
Citation 41

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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

10.

Security Bid/Ask Dynamics with Discreteness and Clustering: Simple Strategies for Modeling and Estimation

Downloads 663 ( 37,487)
Citation 18

Security Bid/Ask Dynamics with Discreteness and Clustering: Simple Strategies for Modeling and Estimation

Number of pages: 26 Posted: 15 Feb 1998
Joel Hasbrouck
New York University (NYU) - Department of Finance
Downloads 563 (45,889)
Citation 18

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Security Bid/Ask Dynamics with Discreteness and Clustering: Simple Strategies for Modeling and Estimation

NYU Working Paper No. FIN-98-042
Number of pages: 43 Posted: 07 Nov 2008
Joel Hasbrouck
New York University (NYU) - Department of Finance
Downloads 100 (261,163)
Citation 15

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Quotes, foreign exchange, Gibbs sampler, Markov chain Monte Carlo, discreteness, clustering, security prices

11.

Liquidity in the Futures Pits: Inferring Market Dynamics with Incomplete Data

Number of pages: 58 Posted: 21 Sep 1998
Joel Hasbrouck
New York University (NYU) - Department of Finance
Downloads 463 (59,526)
Citation 19

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12.

The Best Bid and Offer: A Short Note on Programs and Practices

Number of pages: 19 Posted: 30 Oct 2010
Joel Hasbrouck
New York University (NYU) - Department of Finance
Downloads 290 (102,162)
Citation 1

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BBO NBBO TAQ

13.

Stalking the "Efficient Price" in Market Microstructure Specifications: An Overview

NYU Working Paper No. FIN-00-047
Number of pages: 24 Posted: 13 Nov 2008
Joel Hasbrouck
New York University (NYU) - Department of Finance
Downloads 285 (104,041)
Citation 45

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14.

FX Market Metrics: New Findings Based on CLS Bank Settlement Data

Downloads 270 (110,279)

FX Market Metrics: New Findings Based on CLS Bank Settlement Data

Number of pages: 57 Posted: 08 Feb 2017 Last Revised: 10 Mar 2018
Joel Hasbrouck and Richard M. Levich
New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 259 (114,610)

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Foreign exchange, CLS Bank, market microstructure, liquidity

FX Market Metrics: New Findings Based on Cls Bank Settlement Data

NBER Working Paper No. w23206
Number of pages: 66 Posted: 22 Mar 2017 Last Revised: 28 Mar 2017
Joel Hasbrouck and Richard M. Levich
New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 11 (585,088)

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15.

Trading Fast and Slow: Security Market Events in Real Time

NYU Working Paper No. FIN-99-012
Number of pages: 49 Posted: 07 Nov 2008
Joel Hasbrouck
New York University (NYU) - Department of Finance
Downloads 206 (144,364)
Citation 17

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16.

Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data

Downloads 200 (148,382)
Citation 22

Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data

NYU Working Paper No. S-DRP-03-15
Number of pages: 38 Posted: 07 Nov 2008
Joel Hasbrouck
New York University (NYU) - Department of Finance
Downloads 159 (182,356)
Citation 22

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Futures Markets, Liquidity, Gibbs Sampler, MCMC, Markov chain Monte Carlo, Foreign Exchange, Stock Index Futures

Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data

NYU Working Paper No. FIN-98-076
Number of pages: 58 Posted: 11 Nov 2008
Joel Hasbrouck
New York University (NYU) - Department of Finance
Downloads 41 (419,598)
Citation 22

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17.

Price Discovery in High Resolution

Number of pages: 51 Posted: 14 Dec 2018
Joel Hasbrouck
New York University (NYU) - Department of Finance
Downloads 63 (340,560)

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High-resolution, high frequency trading, vector autoregression (VAR), vector error correction models (VECM), polynomial distributed lags, sparsity.

18.

Video: Empirical Market Microstructure

Posted: 27 Sep 2012
Joel Hasbrouck
New York University (NYU) - Department of Finance

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19.

One Security, Many Markets: Determining the Contributions to Price Discovery

JOURNAL OF FINANCE, Vol 50 No 4, September 1995
Posted: 25 Aug 1998
Joel Hasbrouck
New York University (NYU) - Department of Finance

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20.

Securities Trading in the Absence of Dealers: Trades and Quotes on the Tokyo Stock Exchange

THE REVIEW OF FINANCIAL STUDIES, Vol. 8 No. 3
Posted: 25 Jul 1998
Yasushi Hamao and Joel Hasbrouck
Center on Japanese Economy and Business and New York University (NYU) - Department of Finance

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21.

Market vs. Limit Orders: The Superdot Evidence on Order Submission Strategy

J. OF FINANCIAL AND QUANTITATIVE ANALYSIS, June 1996
Posted: 25 Sep 1996
Lawrence Harris and Joel Hasbrouck
University of Southern California - Marshall School of Business - Finance and Business Economics Department and New York University (NYU) - Department of Finance

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