Dominik Roesch

E. Han Kim Junior Assistant Professor
Finance Department

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.