Dominik Roesch

PhD, Erasmus University, The Netherlands
MSc, SOAS University of London, UK
Diplom Mathematician (eq. MSc), University of Bonn, Germany

• Investment Management
• Complex Financial Instruments

• Market microstructure and market quality (arbitrage, liquidity and efficiency)
• Financial institutions

“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

• 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

Roesch has worked as a programmer and a quantitative analyst, including four years as the head of Quants.