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

23

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20,687

SSRN CITATIONS
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Top 1,450

in Total Papers Citations

445

CROSSREF CITATIONS

401

Scholarly Papers (23)

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 5,297 (1,736)
Citation 127

Abstract:

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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 2,545 (6,133)
Citation 31

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

3.
Downloads 2,242 ( 7,578)
Citation 49

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 1,986 (9,059)
Citation 46

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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 256 (142,163)
Citation 8

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4.
Downloads 2,114 ( 8,337)
Citation 102

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 1,873 (9,971)
Citation 48

Abstract:

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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 241 (150,875)
Citation 45

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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 1,693 (11,912)
Citation 58

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

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 873 (31,773)
Citation 56

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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 195 (184,749)

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7.
Downloads 983 ( 27,247)
Citation 11

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 777 (37,269)
Citation 13

Abstract:

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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 93 (330,158)

Abstract:

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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 68 (398,114)

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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 45 (485,037)

Abstract:

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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 886 (31,616)
Citation 11

Abstract:

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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 855 (33,195)
Citation 42

Abstract:

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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

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 575 (55,725)
Citation 2

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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 106 (302,629)
Citation 1

Abstract:

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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 468 (72,888)
Citation 3

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FX Liquidity and Market Metrics: New Results Using CLS Bank Settlement Data

Number of pages: 57 Posted: 08 Feb 2017 Last Revised: 23 Oct 2019
Joel Hasbrouck and Richard M. Levich
New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 399 (87,262)

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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 39 (513,353)
Citation 2

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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 323 (111,834)
Citation 11

Abstract:

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BBO NBBO TAQ

14.

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 303 (119,797)
Citation 6

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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 184 (194,708)
Citation 2

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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 43 (494,257)
Citation 7

Abstract:

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16.

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 223 (163,238)

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17.

Network Structure and Pricing in the FX Market

NYU Stern School of Business
Number of pages: 77 Posted: 12 Feb 2020 Last Revised: 09 Sep 2020
Joel Hasbrouck and Richard M. Levich
New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 177 (201,527)
Citation 1

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foreign exchange, CLS Bank, centrality, settlement

18.

Price Discovery in High Resolution

Number of pages: 51 Posted: 14 Dec 2018
Joel Hasbrouck
New York University (NYU) - Department of Finance
Downloads 128 (262,634)
Citation 9

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

19.

FX Liquidity and Market Metrics: Online Appendices 1 and 2

NYU Stern School of Business
Number of pages: 66 Posted: 13 Dec 2019
Joel Hasbrouck and Richard M. Levich
New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 36 (516,506)

Abstract:

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foreign exchange, CLS Bank, market microstructure, liquidity, algorithmic trading

20.

Video: Empirical Market Microstructure

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

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21.

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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22.

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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23.

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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