Joel Hasbrouck
Kenneth G. Langone Professor of Business Administration
and Professor of Finance
Stern School of Business, New York University
My primary area of research
is market microstructure (the analysis, design and regulation of trading mechanisms
for securities). In addition to teaching at Stern, my present affiliations include: Advisory Editor of the Journal of
Financial Markets; Associate Editor of the Journal
of Financial Econometrics; Fellow of the Society of Financial Econometrics; Fellow of the Columbia Law School Program in the Law and Economics of Capital Markets. I hold a Ph.D. from the University of Pennsylvania and a B.S. in Chemistry
from Haverford
College.
I have served as a consultant, instructor, and/or advisor board member for numerous public and private institutions, sometimes for compensation (and sometimes pro bono).
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The 2023 Stern/Salomon Microstructure Conference will be in person on Friday, May 19, 2023. Link to program and registration.
Past programs are available for 2022, 2021, 2019, 2018, 2017, 2016, 2015, 2014, 2013, 2012, 2011. (The 2020 event was cancelled due to the pandemic.) |
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Resume (pdf
version) Short bio |
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Securities Trading:
Principles and Procedures Updated Dec, 2022. Teaching notes for one-semester market microstructure course. These notes are copyrighted. If you wish to use them for teaching purposes, please email me.
Current syllabus:
Principles of Securities Trading, FINC-UB.0049, Fall 2023
Foundations of Finance, COR1-2311.12, 2023 Fall, Syllabus |
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Working papers
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Selected publications
- Network structure and pricing in the FX market, with Richard Levich, Journal of Financial Economics, 2021, 141 (2), 705-729.
- Price Discovery in High Resolution, Journal of Financial Econometrics, 2019. Computational appendix, programs and data
- Rejoinder: Price Discovery in High Resolution, Journal of Financial Econometrics, 2019.
- High frequency quoting: short-term volatility in bids and offers, Journal of Financial and Quantitative Analysis, 53 (2), 613-641 (2018).
- Low-Latency
Trading, with Gideon Saar, Journal of Financial Markets 16,
646-679 (2013) FAQ on construction of strategic runs.
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Published by
Oxford University Press
Programs, supplements and corrigenda. (last updated June 18, 2007).
Click here to go to the book page on Amazon. |
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Professor Joel Hasbrouck
Department of Finance
Stern School of Business
New York University
Suite 9-190; Mail Code 0268
44 West 4th St.
New York, NY 10012
212.998.0310 (voice)
212.995.4233 (fax)
jhasbrou(at)stern.nyu.edu
www.stern.nyu.edu/~jhasbrou |
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All materials on this site are © Joel Hasbrouck, 2021, All rights reserved.