Joel Hasbrouck

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; Associate Editor of the Journal of Financial Intermediation; 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.
	The 2020 Stern Microstructure Conference, tentatively scheduled for Friday, May 8, 2020, has been cancelled. Depending on future developments, we will attempt to reschedule. Past programs are available for 2019, 2018, 2017, 2016, 2015, 2014, 2013, 2012, 2011.
	Resume (pdf version) Short bio
	Short statement of external activities: I regularly teach (for compensation) in the training program of a firm that engages in high frequency trading. I have recently served (without compensation) on a CFTC advisory committee. I give presentations at financial institutions for which I sometimes receive honoraria.
	Securities Trading: Principles and Procedures, version12, updated January 17, 2017. Draft teaching notes for one-semester market microstructure course. These notes are copyrighted. If you wish to use them for teaching purposes, please email me. Other teaching materials. Syllabus, Foundations of Finance
	Research Network structure and pricing in the FX market, with Richard Levich, January 2019. FX Liquidity and Market Metrics: New Findings Based on CLS Bank Settlement Data, with Richard Levich, September 2019. Online Appendix 1: Additional Tables and Figures; Online Appendix 2: Reconciliation and comparison of the CLS settlement data with other sources. Price Discovery in High Resolution, Journal of Financial Econometrics, forthcoming (2019). Computational appendix, programs and data. 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. Updated Gibbs estimates of trading costs (1926-2009) Also see Programs Other working papers
	Syllabus: Principles of Securities Trading, FINC-UB.0049, Spring 2018. This is a draft syllabus.
	Notes for talks and seminars
	Published by Oxford University Press Programs, supplements and corrigenda. (last updated June 18, 2007). Click here to go to the book page on Amazon.
	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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