Jonathan Brogaard, an assistant professor of finance at the University of Washington Foster School of Business, has received the Michael J. Brennan Best Paper Award from the Review of Financial Studies.
The Brennan Award recognizes Brogaard’s 2014 paper, “High-Frequency Trading and Price Discovery,” as the year’s top contribution to the influential finance journal.
The study, co-authored by Terrence Hendershott and Ryan Riordan, sheds some empirical light on high-frequency trading (HFT), a controversial a new breed of market-maker that buys and sells at unprecedented volumes and speeds using complex algorithms running on extremely powerful computers.
The arrival of high-frequency trading over the past few years has been disconcerting to traditional investors, and not only because HFTs profit—repeatedly, in tiny fractions of pennies—at their expense. HFTs are also obtuse, unregulated and often accused of causing frightening market-wide events such as the “flash crash” of May 2010.
But Brogaard’s paper associates HFTs with at least one positive: improved market quality. Specifically, they help incorporate new information into prices faster.
Brogaard joined the Foster School’s Department of Finance and Business Economics in 2011, after earning his undergraduate degree in economics and politics at Occidental College (graduating Summa Cum Laude), and his J.D. in tax law and Ph.D. in finance from Northwestern University.
Now a GM Nameplate Faculty Fellow at Foster, Brogaard has been a finalist for the UW’s Distinguished Teaching Award. He is associate editor at the Journal of Financial Economics. And his research continues to examine the areas of high-frequency trading, empirical asset pricing, and law and finance.
But he has earned the most acclaim for his ongoing work demystifying HFT.
Brogaard’s 2015 Financial Review paper (with Hendershott, Stefan Hunt and Carla Ysusi), “High-Frequency Trading and the Execution Costs of Institutional Investors,” won that journal’s Outstanding Publication Award.
His forthcoming Review of Financial Studies paper (with Bjorn Hagstromer, Lars Norden and Ryan Riordan), “Trading Fast and Slow: Colocation and Liquidity,” confirms that increasing the speed of intermediary traders benefits market liquidity.
And his latest (with Hendershott and Riordan), “High-Frequency Trading and the 2008 Short Sale Ban,” is forthcoming in the Journal of Financial Economics.
For his data-driven studies, Brogaard has worked with the U.S. Commodity Futures Trading Commission, the U.K. Financial Services Authority, and the Canadian Investment Industry Regulatory Organization. His research has been cited widely on the mainstream media, including the Economist, Wall Street Journal, Financial Times, New York Times, Businessweek and Bloomberg.