Unless this continues on past the point where it becomes exceptionally personal (insults about your family or nationality for example), where it interferes with your work or it becomes physical, I would advise you to ignore the person. If most people see that their behavior isn’t having the desired effect, they’ll get bored and stop as that ruins the “fun” that they are attempting to have.
If things get to the point where this behavior is impairing your performance, then I would confront the person in question in private and tell them to knock it off. State clearly that this isn’t funny and it is interfering with your ability to get your job done. Unless the person is a real bully or a sociopath they will apologize or they will try to lessen the impact of what they were doing and then discontinue their behaviors.
If talking to them personally doesn’t work, it’s time to involve your supervision. Ask for a brief meeting with your boss and explain the situation. Make it clear that this interfering with your work as this will make any competent supervisor put an immediate stop to it. If you are asked if you can work with this person (this is a trap) always answer “Yes” as if you don’t, then YOU and not him will be seen as being “the problem.”
NOTE: If this new person is a “rainmaker” (a high-level performer) and you are not, or if you have had other similar issues with employees, you may have to consider that this company’s atmosphere is not good for you and you should begin your job search. While this may seem unfair, most companies are going to err on the side of a higher level performer than a “lesser light” and they may use this situation as a reason to get rid of you.