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Erik Hjalmarsson

Professor

Erik Hjalmarsson
Professor
erik.hjalmarsson@economics.gu.se
+46 31 786 1346

Room number: D-512
Postal Address: Box 640, 40530 Göteborg
Visiting Address: Vasagatan 1 , 41124 Göteborg


Department of Economics (More Information)
Box 640
405 30 Göteborg
www.economics.handels.gu.se
nek@handels.gu.se
Visiting Address: Vasagatan 1 , 411 24 Göteborg

About Erik Hjalmarsson

Professor Hjalmarsson’s main areas of interest are empirical finance and financial econometrics. His current research focuses on empirical market microstructure, studying the effects of computerized trading in the foreign exchange market. He has also worked extensively on stock return predictability, with a particular focus on new econometric methods and empirical analysis of international data. Prior to joining the University of Gothenburg, Hjalmarsson held a position as Professor of Finance at Queen Mary University of London. He has also worked for the Federal Reserve Board in Washington, DC, and at a major London-based hedge fund. 

Hjalmarsson’s research has been published in leading finance journals, including Journal of Finance, Journal of Financial Economics, and Journal of Financial and Quantitative Analysis. He received his PhD from Yale University.

Research areas

  • Empirical Asset Pricing
  • Empirical Market Microstructure
  • Financial Econometrics

Selected publications

Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
Chaboud, A. P., Chiquoine, B., Hjalmarsson, Erik, Vega, Clara
Journal of Finance, 69:5, s. 2045-2084, 2014

New Methods for Inference in Long-Horizon Regressions
Hjalmarsson, Erik
Journal of financial and quantitative analysis, 46:3, s. 815-839, 2011

Showing 1 - 10 of 23

2019

Compound Returns
Adam Farago, Erik Hjalmarsson
Gothenburg, University of Gothenburg, Report 2019
Report

Stock Price Co-Movement and the Foundations of Pairs Trading
Adam Farago, Erik Hjalmarsson
Journal of Financial and Quantitative Analysis, Journal article 2019
Journal article

2018

Maximal predictability under long-term mean reversion
Erik Hjalmarsson
Journal of Empirical Finance, Journal article 2018
Journal article

2017

Interactions among High-Frequency Traders
Evangelos Benos, James Brugler, Erik Hjalmarsson, Filip Zikes
Journal of Financial and Quantitative Analysis, Journal article 2017
Journal article

Households’ mortgage-rate expectations – more realistic than at first glance?
Erik Hjalmarsson, Pär Österholm
Sveriges Riksbank Economic Review, Magazine article 2017
Magazine article

2016

Interactions among High-Frequency Traders
Evangelos Benos, James Brugler, Erik Hjalmarsson, Filip Zikes
Report 2016
Report

2014

Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
A. P. Chaboud, B. Chiquoine, Erik Hjalmarsson, Clara Vega
Journal of Finance, Journal article 2014
Journal article

2012

Characteristic-based mean-variance portfolio choice
Erik Hjalmarsson, Petar Manchev
Journal of Banking & Finance, Journal article 2012
Journal article

Showing 1 - 10 of 23

Page Manager: Marie Andersson|Last update: 9/1/2016
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