Profiles

Björn Hagströmer

Björn Hagströmer

Universitetslektor

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Arbetar vid Företagsekonomiska institutionen
Telefon 08-16 30 30
E-post bjorn.hagstromer@sbs.su.se
Besöksadress Kräftriket, hus 3, 7, 15 och 24
Rum 7:224
Postadress Företagsekonomiska institutionen 106 91 Stockholm

Om mig

Björn Hagströmer är docent i finansiering. Han disputerade vid Aston Business School (i Birmingham) 2009 och har sedan dess varit anställd på SBS.

Undervisning

Björn är kursansvarig för Fixed Income Securities (FIX) och Advanced Financial Theory (AFT). Han är också handledare för doktoranderna Ester Feléz Viñas och Petter Dahlström.

Forskning

Björns forskningsintresse ligger inom finansiella marknaders mikrostruktur och prissättning. Ett urval av pågående arbeten anges nedan.

A Network Map of Information Percolation. Medföfattare: Albert J. Menkveld. http://ssrn.com/abstract=2770313

Risk and Return in High-Frequency Trading. Medföfattare: Matthew Baron, Jonathan Brogaard, och Andrei Kirilenko. http://ssrn.com/abstract=2433118

Best Execution: Can Institutional and Retail Investors Benefit from Fast and Fragmented Trading? Medföfattare: Michal Dzielinski och Lars Nordén. http://ssrn.com/abstract=2719520

Does Commonality in Illiquidity Matter to Investors? Medföfattare: Richard G. Anderson, Jane M. Binner och Birger Nilsson. Publicerad som ett Federal Reserve Bank of St Louis Working Paper 2013. http://ssrn.com/abstract=2281459

Publikationer

I urval från Stockholms universitets publikationsdatabas
  • 2016. Björn Hagströmer, Richard Henricsson, Lars L. Nordén. Journal of futures markets 36 (6), 545-563

    We develop a structural model for the price formation and liquidity supply of an asset. Ourmodel facilitates decompositions of both the bid–ask spread and the return variance intocomponents related to adverse selection, inventory, and order processing costs. Furthermore,the model shows how the fragmentation of trading volume across trading venues influencesinventory pressure and price discovery. We use the model to analyze intraday price formationfor gold futures traded at the Shanghai Futures Exchange. We find that order processing costsexplain about 50% of the futures bid–ask spread, whereas the remaining 50% is equally due toasymmetric information and to inventory costs. About a third of the variance in futures returnsis attributable to microstructure noise. Trading at the spot market has a significant influence onfutures price discovery, but only a limited impact on the futures bid–ask spread.

  • 2015. Jonathan Brogaard (et al.). The Review of financial studies 28 (12), 3407-3443

    We exploit an optional colocation upgrade at NASDAQ OMX Stockholm to assess how speed affects market liquidity. Liquidity improves for the overall market and even for noncolocated trading entities. We find that the upgrade is pursued mainly by participants who engage in market making. Those that upgrade use their enhanced speed to reduce their exposure to adverse selection and to relax their inventory constraints. In particular, the upgraded trading entities remain competitive at the best bid and offer even when their inventories are in their top decile. Our results suggest that increasing the speed of market making participants benefits market liquidity.

  • 2014. Björn Hagströmer, Lars Nordén. Journal of futures markets 34 (4), 299-319

    We investigate the effects from the introduction of a closing call auction (CCA) at the index futures market. Limit order book models, where trader patience determines trading strategies, predict that a CCA increases trader patience and, hence, improves closing price accuracy and end‐of‐day liquidity. We find that the introduction leads to increased trader patience, improved futures closing price accuracy, unaffected tightness and resiliency, and decreased depth. Decreased depth is likely due to less order fishing activity. With the CCA, opportunistic patient traders’ posting of limit orders deep in the order book, to profit from impatient traders, is no longer feasible.

  • 2014. Björn Hagströmer, Lars Nordén, Dong Zhang. The Financial Review 49 (2), 395-419

    We study order aggressiveness of market-making high-frequency traders (MM-HFTs), opportunistic HFTs (Opp-HFTs), and non-HFTs. We find that MM-HFTs follow their own group's previous order submissions more than they follow other traders’ orders. Opp-HFTs and non-HFTs tend to split market orders into small portions submitted in sequence. HFTs submit more (less) aggressive orders when the same-side (opposite-side) depth is large, and supply liquidity when the bid–ask spread is wide. Thus, HFTs adhere strongly to the tradeoff between waiting cost and the cost of immediate execution. Non-HFTs care less about this tradeoff, but react somewhat stronger than HFTs to volatility.

  • 2013. Björn Hagströmer, Björn Hansson, Birger Nilsson. Journal of Banking & Finance 37 (11), 4476-4487

    This paper implements a conditional version of the liquidity adjusted CAPM (LCAPM). The conditional LCAPM allows for a time-varying decomposition of the total illiquidity premium into a level component and three risk components. The estimated average annual total illiquidity premium for US stocks 1927–2010 is 1.74–2.08%, which is substantially lower than in most previous studies. The contributions from illiquidity level and illiquidity risk are 1.25–1.28% and 0.46–0.83%, respectively. Of the three illiquidity risk components, risk related to the hedging of wealth shocks is the most important, while commonality risk is the least important. The illiquidity premia are clearly time-varying, with peaks in downturns and crises, but with no general tendency to decrease over time. The level premium and the risk premium are significantly positively correlated, at around 0.35; indicating that in periods of turbulence both illiquidity cost and illiquidity risk premia tend to be high.

  • 2013. Björn Hagströmer, Lars Nordén. Journal of financial markets 16 (4), 741-770

    The regulatory debate concerning high-frequency trading (HFT) emphasizes the importance of distinguishing different HFT strategies and their influence on market quality. Using data from NASDAQ-OMX Stockholm, we compare market-making HFTs to opportunistic HFTs. We find that market makers constitute the lion's share of HFT trading volume (63–72%) and limit order traffic (81–86%). Furthermore, market makers have higher order-to-trade ratios and lower latency than opportunistic HFTs. In a natural experiment based on tick size changes, we find that the activity of market-making HFTs mitigates intraday price volatility.

Visa alla publikationer av Björn Hagströmer vid Stockholms universitet

Senast uppdaterad: 24 maj 2017

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