Björn Hagströmer

Stockholm University - Stockholm Business School

Associate Professor

Stockholm

Sweden

SCHOLARLY PAPERS

18

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10,871

CITATIONS
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SSRN RANKINGS

Top 19,240

in Total Papers Citations

16

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 4,006 (2,026)
Citation 10

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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 1,893 (7,336)
Citation 2

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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 1,409 (11,901)

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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 1,088 (17,777)
Citation 3

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

5.

Information Revelation in Decentralized Markets

AEA 2017 Annual Meeting Paper
EFA 2017 Annual Meeting Paper
WFA 2017 Annual Meeting Paper
Number of pages: 47 Posted: 28 Apr 2016 Last Revised: 08 Aug 2018
Björn Hagströmer and Albert J. Menkveld
Stockholm University - Stockholm Business School and VU Amsterdam
Downloads 759 (29,936)

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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 355 (78,520)

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

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 276 (103,278)

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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 (640,558)
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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 251 (114,731)

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

9.

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 169 (166,757)

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

10.

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 138 (197,464)

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

11.

Overestimated Effective Spreads: Implications for Investors

Number of pages: 59 Posted: 23 Mar 2017 Last Revised: 03 Jun 2017
Björn Hagströmer
Stockholm University - Stockholm Business School
Downloads 128 (209,642)

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midpoint, microprice, liquidity demand elasticity, liquidity, illiquidity, Rule 605, NBBO, TRTH

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 108 (237,647)

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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 88 (272,225)

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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 82 (284,280)

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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
Stockholm Business School and Stockholm University - Stockholm Business School
Downloads 45 (383,779)

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

16.

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 37 (413,047)

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17.

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 36 (417,110)

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

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 (598,030)
Citation 1
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