Dominik Roesch
Associate Professor Finance at University at Buffalo School of Management
Schools
- University at Buffalo School of Management
Links
Biography
University at Buffalo School of Management
Education
- PhD, Erasmus University, The Netherlands
- MSc, SOAS University of London, UK
- Diplom Mathematician (eq. MSc), University of Bonn, Germany
Teaching
- Investment Management
- Complex Financial Instruments
Research
- Market microstructure and market quality (arbitrage, liquidity and efficiency)
- Financial institutions
Selected Publications
“The Impact of Arbitrage on Market Liquidity”, Journal of Financial Economics, forthcoming
“How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective” (with Dion Bongaerts, Richard Roll, Mathijs Van Dijk, and Darya Yuferova) Management Science, forthcoming
“Asset Pricing: A Tale of Night and Day” (with Terrence Hendershott and Dmitry Livdan), Journal of Financial Economics, 2020, 138 (3): 635-662
“Tick Size, Liquidity for Small and Large Orders, and Price Informativeness: Evidence from the Tick Size Pilot Program.” (with Kee H. Chung and Albert J. Lee) Journal of Financial Economics, 2020, 136 (3): 879-899
“The Dynamics of Market Efficiency.” (with Avanidhar Subrahmanyam and Mathijs Van Dijk) Review of Financial Studies 2017; 30 (4): 1151-1187
Awards, Grants and Honors
- FMA Doctoral Student Consortium Participant, 2014
- "Outstanding Paper in Institutions and Markets" award at the 50th Eastern Finance Association, 2014
- AFA Annual Conference Doctoral Student Travel Grant, San Diego, 2013
Industry Experience
Roesch has worked as a programmer and a quantitative analyst, including four years as the head of Quants.
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