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

6

DOWNLOADS
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in Total Papers Downloads

1,795

CITATIONS

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Scholarly Papers (6)

1.

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 460 (57,659)

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

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 275 (103,659)

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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 60 (341,953)

Abstract:

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XPIN, informed trading, private information, portfolio optimization model

3.

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 300 (94,968)

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

4.

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 289 (98,866)

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arbitrage, liquidity, efficiency, fragmentation, market integration

5.

Asset Pricing: A Tale of Night and Day

Number of pages: 47 Posted: 15 Feb 2018 Last Revised: 09 Aug 2018
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 283 (101,135)

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6.

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

Number of pages: 66 Posted: 04 Aug 2018 Last Revised: 15 Oct 2018
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 128 (209,607)

Abstract:

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Liquidity, Tick Size, Pilot Program, Pricing Efficiency, Bid-Ask Spread, Trading Cost