Econometrics and Quantitative Methods
Erik Hjalmarsson is Professor of Finance at Queen Mary University of London, specializing in empirical market microstructure, empirical asset pricing, and financial econometrics.
Much of his current research focuses on the impact of algorithmic, or computerized, trading on financial markets. He has also worked extensively on return predictability, with a particular emphasis on developing new econometric methods for the study of this question. Other contributions touch upon various areas of applied finance, such as empirical portfolio choice and volatility modelling.
Professor Hjalmarsson received his Ph.D. from Yale University in 2005 and has previously worked at the Federal Reserve Board in Washington, DC, as well as at a major London-based hedge fund. He is currently part-time at Queen Mary, and also holds the Felix Neubergh chair of Banking and Financial Economics at University of Gothenburg.
Giovanni Gabriele Vecchio
“Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market” (with Benjamin Chiquoine, Alain Chaboud, and Clara Vega). Journal of Finance, Forthcoming.
“New Methods for Inference in Long-Horizon Regressions”, Journal of Financial and Quantitative Analysis, Vol. 46, No. 3, June 2011, pp. 815-839.
“Predicting Global Stock Returns”, Journal of Financial and Quantitative Analysis, Vol. 45, No. 1, February 2010, pp. 49-80.
“Jackknifing Stock Return Predictions” (with Benjamin Chiquoine), Journal of Empirical Finance, Vol. 16, No. 5, December 2009, pp. 793-803.
“What Drives Volatility Persistence in the Foreign Exchange Market?” (with David Berger and Alain Chaboud), Journal of Financial Economics, Vol. 94, No. 2, November 2009, pp. 192-213.