Mr Bjorn Hagstromer

Full -time doctoral student

Economics and Strategy Group


PhD Thesis:
Liquidity and Portfolio Choice

In my dissertation I investigate how liquidity, the ease of trading, affects stock prices. For the purpose of managing liquidity risk in a portfolio, it is important to look how the liquidity of a stock is affected by changes in the market sentiment. This correlation is called systematic liquidity risk. I use a high frequency financial database (TAQ) with information on every trade at the major New York stock exchanges to measure this, and my research shows that more emphasis should be given to the dynamics of systematic liquidity.
I also specialise in a portfolio choice approach called Full-Scale Optimisation. This practitioner-oriented model is powerful in that it does not constrain the setting of investor preferences, and is hence suitable for implementation of liquidity preferences. A substantial part of my dissertation is dedicated to tests of robustness of Full-Scale Optimisation and the development of computationally efficient techniques to find the optimum. For the latter I use Differential Evolution, a heuristic search technique.

Research keywords:

• Systematic Liquidity
• Asset Pricing
• Full-Scale Optimisation
• Portfolio Choice

Supervisors:

• Jane M. Binner
• Birger Nilsson (Lund University).

Qualifications:

Academic group affiliation:

Year of entry:

Teaching responsibilities:

Tutor for Applied Econometrics & Forecasting (BS3336) and Economic Environment of Business (BS1102). Guest lecturer in Macroeconomic Policy (BS3354) on the topic Oil Price Impacts on Macroeconomics.

Publications:

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

Chad - Towards Democratization or Petro-Dictatorship (2005, with Hans Eriksson). Nordic Africa Institute Discussion Paper, vol.29.
http://www.nai.uu.se/publications/download.html/91-7106-549-0.pdf?id=25117

Work in progress:

Dynamics in Systematic Liquidity (2009, with Richard G. Anderson, Jane M. Binner and Birger Nilsson).

Stock Selection with Full-Scale Optimization and Differential Evolution (2008, with Jane M. Binner). Revised and resubmitted to Applied Financial Economics.
Aston WP: http://www.abs.aston.ac.uk/newweb/research/publications/docs/RP0808.pdf

Stock Market Volatility, Risk Attitude and the Demand for Money in the UK (2008, with Rakesh Bissoondeeal, Jane M. Binner and Andy Mullineux).

Causality in Crude Oil Prices (2007, with Szymon S. Wlazlowski and Monica Giulietti). Aston Business School Working Paper (RP0706), 2007.
http://mpra.ub.uni-muenchen.de/1577/

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