Erik Hjalmarsson, Ph.D.
Affiliations: | 2005 | Yale University, New Haven, CT |
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"Erik Hjalmarsson"Parents
Sign in to add mentor| Peter C.B. Phillips | grad student | 2005 | Yale | |
| (Panel data tests of return models with applications to global stock returns.) | ||||
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Publications
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| Chaboud AP, Hjalmarsson E, Zikes F. (2020) The Evolution of Price Discovery in an Electronic Market Social Science Research Network. 2020 |
| Farago A, Hjalmarsson E. (2019) Stock Price Co-Movement and the Foundations of Pairs Trading Journal of Financial and Quantitative Analysis. 54: 629-665 |
| Hjalmarsson E. (2018) Maximal predictability under long-term mean reversion Journal of Empirical Finance. 45: 269-282 |
| Benos E, Brugler JA, Hjalmarsson E, et al. (2017) Interactions Among High-Frequency Traders Journal of Financial and Quantitative Analysis. 52: 1375-1402 |
| Chaboud AP, Chiquoine B, Hjalmarsson E, et al. (2014) Rise of the machines: Algorithmic trading in the foreign exchange market Journal of Finance. 69: 2045-2084 |
| Hjalmarsson E, Manchev P. (2012) Characteristic-based mean-variance portfolio choice Journal of Banking and Finance. 36: 1392-1401 |
| Hjalmarsson E. (2012) Some curious power properties of long-horizon tests Finance Research Letters. 9: 81-91 |
| Hjalmarsson E. (2011) Portfolio Diversification Across Characteristics The Journal of Investing. 20: 84-88 |
| Hjalmarsson E. (2011) New methods for inference in long-horizon regressions Journal of Financial and Quantitative Analysis. 46: 815-839 |
| Hjalmarsson E. (2010) Diversification across characteristics Social Science Research Network. 2010: 1-10 |