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

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 1,357

SSRN RANKINGS

Top 1,357

in Total Papers Downloads

16,801

CITATIONS
Rank 669

SSRN RANKINGS

Top 669

in Total Papers Citations

746

Scholarly Papers (20)

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 3,977 (1,338)
Citation 55

Abstract:

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

2.
Downloads 2,000 ( 5,212)
Citation 216

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 1,837 (5,867)
Citation 216

Abstract:

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 163 (144,743)
Citation 215

Abstract:

3.
Downloads 1,864 ( 5,856)
Citation 69

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 1,683 (6,887)
Citation 69

Abstract:

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 181 (131,722)
Citation 68

Abstract:

4.

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 1,376 (9,127)
Citation 129

Abstract:

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

5.

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

Number of pages: 56 Posted: 24 Mar 2013 Last Revised: 23 Feb 2015
Joel Hasbrouck
New York University (NYU) - Department of Finance
Downloads 1,295 (5,648)
Citation 2

Abstract:

high frequency trading, high frequency quoting, quotes, volatility

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 821 (21,366)
Citation 41

Abstract:

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 149 (156,623)
Citation 41

Abstract:

7.
Downloads 913 ( 18,623)
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 757 (24,065)
Citation 38

Abstract:

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 73 (260,636)
Citation 38

Abstract:

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 45 (332,858)
Citation 38

Abstract:

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 38 (356,327)
Citation 38

Abstract:

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 653 (26,673)
Citation 31

Abstract:

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 554 (36,986)
Citation 18

Abstract:

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 95 (220,889)
Citation 15

Abstract:

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

10.

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 647 (26,607)
Citation 41

Abstract:

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

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 441 (49,155)
Citation 19

Abstract:

12.

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 237 (99,340)
Citation 46

Abstract:

13.

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 196 (104,223)
Citation 2

Abstract:

BBO NBBO TAQ

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 138 (166,984)
Citation 22

Abstract:

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 32 (379,444)
Citation 22

Abstract:

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 140 (151,072)
Citation 17

Abstract:

16.

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

Number of pages: 66 Posted: 08 Feb 2017
Joel Hasbrouck and Richard M. Levich
New York University (NYU) - Department of Finance and New York University - Stern School of Business
Downloads 0 (315,296)

Abstract:

Foreign exchange, CLS Bank, market microstructure, liquidity

17.

Video: Empirical Market Microstructure

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

Abstract:




18.

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

Abstract:

19.

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

Abstract:

20.

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

Abstract: