Björn Hagströmer

Stockholm University - Stockholm Business School

Associate Professor

Stockholm

Sweden

SCHOLARLY PAPERS

18

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11,571

CITATIONS
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Top 3,430

in Total Papers Citations

152

Scholarly Papers (18)

1.

Risk and Return in High-Frequency Trading

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 82 Posted: 06 May 2014 Last Revised: 10 Jan 2018
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Utah - David Eccles School of Business, Stockholm University - Stockholm Business School and Imperial College London - Centre for Global Finance and Technology
Downloads 4,298 (1,922)
Citation 21

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high-frequency trading, low latency, market microstructure

2.

The Diversity of High-Frequency Traders

Number of pages: 56 Posted: 27 Sep 2012 Last Revised: 20 May 2013
Björn Hagströmer and Lars L. Norden
Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 1,927 (7,558)
Citation 74

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High-frequency trading, Market making, Market quality, Volatility, order-to-trade ratio

3.

Alchemy in the 21st Century: Hedging with Gold Futures

Number of pages: 48 Posted: 06 Aug 2010 Last Revised: 17 Aug 2010
Caihong Xu, Lars L. Norden and Björn Hagströmer
Stockholm University - Stockholm Business School, Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 1,416 (12,518)
Citation 3

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Gold futures, China’s gold market, Hedging effectiveness

4.

Trading Fast and Slow: Colocation and Liquidity

Forthcoming in Review of Financial Studies
Number of pages: 57 Posted: 30 Aug 2013 Last Revised: 28 Aug 2015
Jonathan Brogaard, Björn Hagströmer, Lars L. Norden and Ryan Riordan
University of Utah - David Eccles School of Business, Stockholm University - Stockholm Business School, Stockholm University - Stockholm Business School and Smith School of Business
Downloads 1,123 (17,925)
Citation 40

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colocation, high-frequency trading, liquidity, fast trading, proximity services

5.

Information Revelation in Decentralized Markets

Journal of Finance, Forthcoming, Swedish House of Finance Research Paper No. 19-2
Number of pages: 50 Posted: 28 Apr 2016 Last Revised: 25 Apr 2019
Björn Hagströmer and Albert J. Menkveld
Stockholm University - Stockholm Business School and VU Amsterdam
Downloads 916 (24,303)
Citation 5

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network map, information revelation, information percolation, securities trading, fragmentation

6.

Mean-Variance vs. Full-Scale Optimization: Broad Evidence for the UK

FRB of St. Louis Working Paper No. 2007-016D
Number of pages: 32 Posted: 13 Apr 2007
Stockholm University - Stockholm Business School, Federal Reserve Bank of St. Louis - Research Division, University of Birmingham - Department of Accounting and Finance, Lund University and Lund University - Department of Economics
Downloads 358 (81,763)
Citation 2

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Portfolio choice, Utility maximization, Full-Scale Optimization, S-shaped utility, bilinear utility

7.
Downloads 284 (105,689)
Citation 7

How Aggressive are High-Frequency Traders?

Number of pages: 52 Posted: 22 Sep 2013
Björn Hagströmer, Lars L. Norden and Dong Zhang
Stockholm University - Stockholm Business School, Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 283 (105,519)
Citation 9

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high-frequency trading, HFT, aggressiveness, liquidity, volatility, diagonal effect

How Aggressive are High‐Frequency Traders?

Financial Review, Vol. 49, Issue 2, pp. 395-419, 2014
Number of pages: 25 Posted: 08 Apr 2014
Björn Hagströmer, Lars L. Norden and Dong Zhang
Stockholm University - Stockholm Business School, Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 1 (675,851)
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high‐frequency trading, aggressiveness, order submission, liquidity, volatility

8.

The Components of the Illiquidity Premium: An Empirical Analysis of U.S. Stocks 1927-2010

Journal of Banking and Finance, Forthcoming
Number of pages: 51 Posted: 22 Aug 2011 Last Revised: 14 Feb 2013
Björn Hagströmer, Bjorn Hansson and Birger Nilsson
Stockholm University - Stockholm Business School, Lund University - Department of Economics and Lund University - Department of Economics
Downloads 264 (114,114)
Citation 4

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illiquidity level premium, illiquidity risk premium, conditional LCAPM, effective tick

9.

Bias in the Effective Bid-Ask Spread

Number of pages: 62 Posted: 23 Mar 2017 Last Revised: 12 Feb 2019
Björn Hagströmer
Stockholm University - Stockholm Business School
Downloads 205 (146,535)
Citation 2

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midpoint, micro-price, liquidity demand elasticity, liquidity, illiquidity, Rule 605, NBBO, TRTH

10.

Closing Call Auctions at the Index Futures Market

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 45 Posted: 17 Mar 2011 Last Revised: 19 Nov 2012
Björn Hagströmer and Lars L. Norden
Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 172 (171,963)
Citation 3

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Call auctions, Index futures, Trader patience, Liquidity, Price discovery

11.

Determinants of Limit Order Cancellations

Number of pages: 68 Posted: 10 Aug 2017 Last Revised: 10 Jan 2018
Petter Dahlström, Björn Hagströmer and Lars L. Norden
Stockholm University - Stockholm Business School, Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 171 (172,842)

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limit order profits, queue position, liquidity supply, fleeting orders, HFT, time priority

12.

Dynamics in Systematic Liquidity

FRB of St. Louis Working Paper No. 2009-025A
Number of pages: 36 Posted: 27 May 2009
Stockholm University - Stockholm Business School, Federal Reserve Bank of St. Louis - Research Division, University of Birmingham - Department of Accounting and Finance and Lund University - Department of Economics
Downloads 113 (240,663)

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systematic liquidity, market liquidity, commonality, dynamic principal component analysis, robust PCA

13.

Best Execution: Can Institutional and Retail Investors Benefit from Fast and Fragmented Trading?

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 50 Posted: 22 Jan 2016 Last Revised: 02 Feb 2016
Michał Dzieliński, Björn Hagströmer and Lars L. Norden
Stockholm Business School, Stockholm University, Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 94 (272,711)

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execution quality, smart order routing, market timing, institutional investors, effective spread, implementation shortfall

14.

Does Commonality in Illiquidity Command a Risk Premium?

Number of pages: 36 Posted: 23 Jun 2013 Last Revised: 04 Jan 2017
Federal Reserve Bank of St. Louis - Research Division, University of Birmingham - Department of Accounting and Finance, Stockholm University - Stockholm Business School and Lund University - Department of Economics
Downloads 91 (278,460)

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commonality, commonality risk premium, asset illiquidity, systematic illiquidity, liquidity, effective tick

15.

Call Auction Volatility Extensions

Number of pages: 40 Posted: 01 Nov 2017
Ester Félez-Viñas and Björn Hagströmer
University of Technology Sydney and Stockholm University - Stockholm Business School
Downloads 60 (352,406)

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Call auctions, Volatility extensions, Auction quality, Manipulation, Investor trust

16.

Optimal Hedging in Financially Constrained Firms When Asset Markets Are Illiquid

Number of pages: 44 Posted: 19 Oct 2015 Last Revised: 29 Nov 2015
Håkan Jankensgård and Björn Hagströmer
Lund University - Department of Business Administration and Stockholm University - Stockholm Business School
Downloads 39 (423,166)
Citation 1

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Asset illiquidity, financial distress, risk management, hedging, financial constraints

17.

Online Appendix: How Aggressive are High-Frequency Traders?

Number of pages: 9 Posted: 01 Mar 2014
Björn Hagströmer, Lars L. Norden and Dong Zhang
Stockholm University - Stockholm Business School, Stockholm University - Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 38 (427,269)

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18.

Meanvariance Versus Full-Scale Optimization: Broad Evidence for the UK

Manchester School, Vol. 76, No. S1, pp. 134-156, September 2008
Number of pages: 23 Posted: 18 Aug 2008
Stockholm University - Stockholm Business School, Federal Reserve Bank of St. Louis - Research Division, University of Birmingham - Department of Accounting and Finance, Lund University and Lund University - Department of Economics
Downloads 2 (631,171)
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