Dominik Rösch

State University of New York at Buffalo - School of Management

Assistant Professor

Jacobs Management Center

Buffalo, NY 14222

United States

http://dominikroesch.com

Erasmus University - Rotterdam School of Management

Irregular Staff

P.O. Box 1738

Rotterdam, 3000 DR

Netherlands

SCHOLARLY PAPERS

8

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2,889

SSRN CITATIONS
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SSRN RANKINGS

Top 26,429

in Total Papers Citations

17

CROSSREF CITATIONS

14

Scholarly Papers (8)

1.

Asset Pricing: A Tale of Night and Day

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 65 Posted: 15 Feb 2018 Last Revised: 03 Dec 2019
Terrence Hendershott, Dmitry Livdan and Dominik Rösch
University of California, Berkeley - Haas School of Business, University of California, Berkeley and State University of New York at Buffalo - School of Management
Downloads 641 (44,594)
Citation 12

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2.

The Dynamics of Market Efficiency

Review of Financial Studies, Forthcoming
Number of pages: 69 Posted: 21 May 2012 Last Revised: 30 Jun 2016
State University of New York at Buffalo - School of Management, University of California, Los Angeles (UCLA) - Finance Area and Erasmus University - Rotterdam School of Management
Downloads 503 (60,758)
Citation 10

Abstract:

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market efficiency, co-movement, funding liquidity, hedge funds, algorithmic trading

3.

Tick Size, Liquidity for Small and Large Orders, and Price Informativeness: Evidence from the Tick Size Pilot Program

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 85 Posted: 04 Aug 2018 Last Revised: 08 Aug 2019
Kee H. Chung, Albert J. Lee and Dominik Rösch
State University of New York at Buffalo - School of Management, SUNY at Buffalo - School of Management and State University of New York at Buffalo - School of Management
Downloads 383 (84,344)
Citation 4

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Tick size; Pilot program; Pricing efficiency; Liquidity spillover

A Portfolio Optimization Approach to Identifying Private Information

Number of pages: 46 Posted: 01 Dec 2014 Last Revised: 08 Oct 2018
Dion Bongaerts, Dominik Rösch and Mathijs A. Van Dijk
Erasmus University Rotterdam (EUR) - Finance, State University of New York at Buffalo - School of Management and Erasmus University - Rotterdam School of Management
Downloads 304 (108,716)
Citation 1

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XPIN, informed trading, private information, portfolio optimization model

Cross-Sectional Identification of Informed Trading

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 44 Posted: 01 Feb 2016
Dion Bongaerts, Dominik Rösch and Mathijs A. Van Dijk
Erasmus University Rotterdam (EUR) - Finance, State University of New York at Buffalo - School of Management and Erasmus University - Rotterdam School of Management
Downloads 75 (348,859)
Citation 1

Abstract:

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XPIN, informed trading, private information, portfolio optimization model

5.

The Impact of Arbitrage on Market Liquidity

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 103 Posted: 20 Jul 2013 Last Revised: 14 Oct 2018
Dominik Rösch
State University of New York at Buffalo - School of Management
Downloads 346 (95,391)

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arbitrage, liquidity, efficiency, fragmentation, market integration

6.

How Do Shocks Arise and Spread Across Stock Markets? A Microstructure Perspective

7th Miami Behavioral Finance Conference 2016
Number of pages: 147 Posted: 04 Aug 2014 Last Revised: 01 Dec 2018
Erasmus University Rotterdam (EUR) - Finance, California Institute of Technology, State University of New York at Buffalo - School of Management, Erasmus University - Rotterdam School of Management and Norwegian School of Economics (NHH) - Department of Finance
Downloads 344 (95,391)
Citation 5

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Equity markets, jumps, financial crises, contagion, liquidity, trading activity

7.

Does Floor Trading Matter?

Number of pages: 49 Posted: 26 May 2020 Last Revised: 12 Jun 2020
University of Utah - David Eccles School of Business, University of Utah - Department of Finance and State University of New York at Buffalo - School of Management
Downloads 204 (163,235)

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Algorithmic trading, DMM, human trading, floor trading, liquidity, market making, market quality, price efficiency

8.

Financial Market Frictions and Learning from the Stock Price

Number of pages: 53 Posted: 13 Dec 2019
State University of New York at Buffalo - School of Management, University of California, Los Angeles (UCLA) - Finance Area and Erasmus University - Rotterdam School of Management
Downloads 89 (311,538)

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financial market frictions, illiquidity, corporate investment, learning from the stock price, short-termism