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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

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New York University (NYU) - Department of Finance
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- Tel: 212-998-0310
- Fax: 212-995-4233

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SCHOLARLY PAPERS

25

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25,727

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758

CROSSREF CITATIONS

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Scholarly Papers (25)

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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 6,047 (2,462)

Citation 194

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Abstract:

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

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 2,782 (8,959)

Citation 41

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

Common Factors in Prices, Order Flows and Liquidity

Downloads 2,563 (10,245)

Citation 97

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 2,248 (12,414)

Citation 89

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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 315 (177,336)

Citation 13

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Abstract:

Intraday Price Formation in Us Equity Index Markets

Downloads 2,383 (11,509)

Citation 122

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 2,040 (14,459)

Citation 48

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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 343 (161,947)

Citation 45

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Abstract:

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 1,967 (15,598)

Citation 58

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Abstract:

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

Downloads 1,249 (31,131)

Citation 44

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 970 (43,998)

Citation 56

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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 279 (201,539)

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Abstract:

The Dynamics of Discrete Bid and Ask Quotes

Downloads 1,118 (36,468)

Citation 15

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 850 (52,847)

Citation 17

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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 112 (451,470)

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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 89 (529,851)

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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 67 (627,691)

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Abstract:

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 1,009 (42,284)

Citation 11

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Abstract:

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 1,005 (42,521)

Citation 59

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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

10.

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

Downloads 781 (60,134)

Citation 3

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 692 (69,413)

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Abstract:

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: 29 May 2023

Joel Hasbrouck and Richard M. Levich

New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance

Downloads 89 (529,851)

Citation 2

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Abstract:

11.

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

Downloads 761 (62,250)

Citation 21

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 635 (77,519)

Citation 2

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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 126 (412,742)

Citation 3

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Abstract:

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

12.

The Need for Fees at a DEX: How Increases in Fees Can Increase DEX Trading Volume

Number of pages: 40 Posted: 26 Aug 2022 Last Revised: 08 Apr 2023

Joel Hasbrouck, Thomas J Rivera and Fahad Saleh

New York University (NYU) - Department of Finance, McGill University and Wake Forest University - Schools of Business

Downloads 721 (66,826)

Citation 4

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Abstract:

Decentralized Exchange, DEX, Automated Market Makers, AMM

13.

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 520 (100,900)

Citation 3

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Abstract:

14.

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 496 (106,990)

Citation 7

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Abstract:

foreign exchange, CLS Bank, centrality, settlement

15.

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 493 (107,710)

Citation 13

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Abstract:

BBO NBBO TAQ

16.

An Economic Model of a Decentralized Exchange with Concentrated Liquidity

Number of pages: 50 Posted: 03 Aug 2023 Last Revised: 20 Sep 2023

Joel Hasbrouck, Thomas J Rivera and Fahad Saleh

New York University (NYU) - Department of Finance, McGill University and Wake Forest University - Schools of Business

Downloads 433 (125,593)

Citation 2

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Abstract:

Decentralized Exchange, DEX, Automated Market Makers, AMM, Concentrated Liquidity, Uniswap V3

17.

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 379 (146,217)

Citation 6

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Abstract:

18.

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

Downloads 313 (179,788)

Citation 40

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 224 (250,628)

Citation 2

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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 89 (529,851)

Citation 7

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Abstract:

19.

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 282 (200,526)

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Abstract:

20.

Price Discovery in High Resolution

Number of pages: 51 Posted: 14 Dec 2018

Joel Hasbrouck

New York University (NYU) - Department of Finance

Downloads 265 (213,482)

Citation 9

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Abstract:

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

21.

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 160 (340,037)

Citation 1

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Abstract:

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

22.

Video: Empirical Market Microstructure

Posted: 27 Sep 2012

Joel Hasbrouck

New York University (NYU) - Department of Finance

Abstract:

23.

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:

24.

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, Yasushi Hamao and Joel Hasbrouck

University of Southern California - Marshall School of Business - Finance and Business Economics DepartmentCenter on Japanese Economy and Business and New York University (NYU) - Department of Finance

Abstract:

25.

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:

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