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

9

DOWNLOADS
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Top 16,543

in Total Papers Downloads

3,446

SSRN CITATIONS
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SSRN RANKINGS

Top 24,824

in Total Papers Citations

24

CROSSREF CITATIONS

13

Scholarly Papers (9)

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 783 (36,550)
Citation 14

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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 516 (63,082)
Citation 9

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 418 (81,535)
Citation 6

Abstract:

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Tick size; Pilot program; Pricing efficiency; Liquidity spillover

4.

The Impact of Arbitrage on Market Liquidity

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper, Journal of Financial Economics (JFE), Forthcoming
Number of pages: 108 Posted: 20 Jul 2013 Last Revised: 08 Oct 2020
Dominik Rösch
State University of New York at Buffalo - School of Management
Downloads 405 (84,610)
Citation 1

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arbitrage, liquidity, efficiency, fragmentation, market integration

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 311 (113,300)
Citation 1

Abstract:

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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 79 (358,884)

Abstract:

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XPIN, informed trading, private information, portfolio optimization model

6.

Does Floor Trading Matter?

Number of pages: 68 Posted: 26 May 2020 Last Revised: 26 Jan 2021
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 388 (88,821)
Citation 1

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

7.

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

7th Miami Behavioral Finance Conference 2016
Number of pages: 64 Posted: 04 Aug 2014 Last Revised: 25 Feb 2021
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 380 (91,017)
Citation 4

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

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 110 (287,555)

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

9.

Competition and Exchange Data Fees

Number of pages: 33 Posted: 02 Nov 2020 Last Revised: 08 Jan 2021
Jonathan Brogaard, James Brugler and Dominik Rösch
University of Utah - David Eccles School of Business, University of Melbourne - Department of Finance and State University of New York at Buffalo - School of Management
Downloads 56 (425,745)

Abstract:

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Data Fees, Exchange Competition