Björn Hagströmer

Bio

Björn Hagströmer is a Visiting Research Economist at Sveriges Riksbank, and a Professor in the Finance section at Stockholm Business School, Stockholm University. He received his PhD in 2010 from Aston University, Birmingham, UK. Björn’s research interest is centered on financial market structure, with applications to asset pricing, financial econometrics, and liquidity measurement. His work has been published in journals such as Journal of Finance, Review of Financial Studies, and Journal of Financial Economics. He is a co-founder of The Microstructure Exchange, an online seminar series for research in market microstructure.

Education

2010: Ph.D. Management, Aston University (UK)
2006: M.Sc. Economics (Ek.mag.), Lund University (Sweden)
2005: B.Sc. Economics (Pol.kand.), Jönköping International Business School (Sweden)

Employment

2025 - now: Visiting Research Economist, Sveriges Riksbank
2020 - now: Professor, Stockholm Business School, Stockholm University
2014 - 2020: Associate Professor, Stockholm Business School, Stockholm University
2010 - 2014: Assistant Professor, Stockholm Business School, Stockholm University
2009 - 2010: Post-Doc researcher, Stockholm Business School, Stockholm University

Publications in peer-reviewed academic journals

Non-Standard Errors (with Albert Menkveld and 341 other coauthors), 2024. Journal of Finance 79(3).

The Determinants of Limit Order Cancellations (with Petter Dahlström and Lars Nordén), 2024. Financial Review 59(1).

Bias in the Effective Bid-Ask Spread (solo-authored), 2021. Journal of Financial Economics 142: 314-337.

Do Volatility Extensions Improve the Quality of Closing Call Auctions? (with Ester Félez Viñas), 2021. Financial Review 56(3), 2021, 385-406.

Information Revelation in Decentralized Markets (with Albert Menkveld). Journal of Finance 74(6) , 2019, 2751-2787.

Risk and Return in High-Frequency Trading (with Matthew Baron, Jonathan Brogaard, and Andrei Kirilenko). Journal of Financial and Quantitative Analysis 54(3), 2019, 993-1024.

Components of the Bid-Ask Spread and Variance: A Unified Approach (with Richard Henricsson and Lars Nordén). Journal of Futures Markets 36(6), 2016, 545-563.

Trading Fast and Slow: Colocation and Market Liquidity (with Jonathan Brogaard, Lars Nordén, and Ryan Riordan), Review of Financial Studies 28, 2015, 3407-3443.

How Aggressive are High-Frequency Traders? (with Lars Nordén and Dong Zhang), Financial Review 49, 2014, 395-419.

Closing Call Auctions at the Index Futures Market (with Lars Nordén), Journal of Futures Markets 34, 2014, 299-319.

The Components of the Illiquidity Premium: An Empirical Analysis of U.S. Stocks 1927-2010 (with Björn Hansson and Birger Nilsson). Journal of Banking and Finance 37, 2013, 4476-4487.

The Diversity of High-Frequency Traders (with Lars Nordén), Journal of Financial Markets 16, 2013, 741-770.

Alchemy in the 21st Century: Hedging with Gold Futures (with Lars Nordén and Caihong Xu), Review of Futures Markets 19, 2011, 247-280.

Causality in Crude Oil Prices (with Szymon Wlazlowski and Monica Giulietti, Applied Economics 43, 2011, 3337-3347.

Stock Portfolio Selection with Full-Scale Optimization and Differential Evolution (with Jane M. Binner). Applied Financial Economics 19, 2009, 1559–1571.

Mean-Variance vs. Full-Scale Optimization: Broad Evidence for the UK (with Richard G. Anderson, Jane M. Binner, Thomas Elger, and Birger Nilsson). The Manchester School 76, 2008, 134–156.

Book chapter

Liquidity: Systematic Liquidity, Commonality, and High-Frequency Trading (with Richard G. Anderson, Jane M. Binner, and Birger Nilsson), Chapter 12 in The Handbook of High-Frequency Trading, edited by Greg Gregoriou, Elsevier, 2015.

Unpublished working papers

The European Liquidity Gap (with Jonathan Brogaard and Abalfazl Zareei), 2025. SSRN: https://ssrn.com/abstract=5782262

Exchange Competition, Fragmentation, and Market Quality (with Michał Dzieliński and Chengcheng Qu), 2025. SSRN: https://ssrn.com/abstract=5063382

Trades, Quotes and Information Shares (with Albert Menkveld), 2023. SSRN: https://ssrn.com/abstract=4356262

Commissioned research

Likviditet på Sveriges Aktiemarknad: En Internationell Jämförelse, 2025 (solo-authored). https://www.sns.se/artiklar/sns-analys-112-den-svenska-aktiemarknadens-likviditet-en-internationell-jamforelse/ Commissioned by SNS Analys.

Market Fragmentation in Europe (solo-authored), 2022. SSRN: https://ssrn.com/abstract=4274523. Commissioned by the Plato Partnership.