Hello

I am an Assistant Professor of Finance at the University of Mannheim in Germany. My research focuses on technological innovations in modern financial markets and the regulatory challenges they induce.

Some buzzwords that appear in my research are: market microstructure, high-frequency trading, cryptocurrencies, liquidity, regulation, price efficiency, ...

Education

  • Ph.D. in Finance (University of Mannheim, 2020)

  • M.Sc. Business Administration, concentration in Finance (University of Mannheim, 2014)

  • B.Sc. Economics, concentration in Econometrics (University of Mannheim, 2011)

Academic Positions

  • University of Mannheim, Assistant Professor (since 2020)

  • University of Mannheim, Research and Teaching Assistant (2014-2020)

  • Research Center SAFE, Goethe University Frankfurt, Research Assistant (2016 - 2018)

  • University of Mannheim, Student Teaching Assistant (2009 - 2013)

Visiting Positions

  • University of Technology Sydney, Australia, Visiting Researcher (2019/04)

  • European Securities and Markets Authority (ESMA), Paris, France, External Researcher (2018/10-12)

  • Norwegian School of Economics and Business Administration (NHH), Visiting Student (2010/08-12)

Download detailed CV here

ORCID iD: orcid.org/0000-0002-3755-1821

Publications

Working Papers

  • A Tale of Two Cities – Inter-Market Latency, Market Integration, and Market Quality (with S. Sagade, E. Theissen and C. Westheide)

  • The Effects of Post-Trade Transparency in Equity Markets: Evidence from MiFID Large Trade Disclosure Rules (with C. Westheide)

  • Broker Colocation, High Frequency Trading, and Institutional Execution Costs (with S. Sagade and C. Westheide)

  • Intraday Herding and Attention Around the Clock (with Y. Shi)

  • Bitcoin Blackout - Proof-of-Work and the Centralization of Mining (with Y. Shi)

  • High-frequency Tweeting and Market Making After Hours

Research Projects

  • Understanding Volatility Asymmetry of Cryptocurrencies

  • Price Discovery and Decentralized Exchanges (with Y. Shi)

  • Asymmetric FX Volatility around the World (with N. Schäfer)

  • The Relative Trading Volume of Stock Market Index Futures (with E. Theissen)

Conference and Seminar Presentations

[2021] Cryptocurrency Research Conference (2x), AFML Budapest, World Finance Conference (2x), Mannheim Finance Brownbag, Mannheim Financial Markets Research Seminar [2020] Economics of Financial Technology Conference Edinburgh* (2x), FMCG Conference Melbourne, Goethe University Frankfurt Finance Brownbag [2019] ESMA, FIRN Microstructure Meeting Sydney, University of Technology Sydney Finance Brownbag, Mannheim Financial Markets Research Seminar (2x), Future of Financial Information Conference Stockholm*, University of Vienna Finance Brownbag*, DGF Essen (2x), Paris December Finance Meeting [2018] RGS Doctoral Conference in Economics, Mannheim Financial Markets Research Seminar, Goethe University Frankfurt Finance Brownbag [2017] Mannheim Finance Brownbag, ACDD Strasbourg [2016] AFML Budapest, DMM Montpellier, DGF Bonn, Mannheim Financial Markets Research Seminar, Goethe University Frankfurt Finance Brownbag, SAFE Microstructure Workshop [2015] Mannheim Financial Markets Research Seminar, University of Bonn*, HVB Doctoral Meeting Südwest [2014] Mannheim Financial Markets Research Seminar

Includes scheduled and presentations by co-authors (*)

Refereeing for Journals

Economics Letters, International Review of Financial Analysis, SN Business and Economics

Datasets

  • Market Microstructure Database Xetra (with T. Johann, E. Theissen, C. Westheide, and L. Zimmermann)

One problem faced by researchers interested in liquidity is that measuring it oftentimes requires intraday high-frequency data. Such datasets are expensive and, because of their size, hard to work with. We address this problem for the German equity market by providing a database that contains various daily market-microstructure measures of liquidity on the stock level for all stocks contained in the CDAX index from 1999 to 2013 traded on Xetra. The database is available free of charge to qualifying researchers. Find out more here: https://www.ifk-cfs.de/research/databases/market-microstructure-database-xetra.html

(We gratefully acknowledge financial support from the German Science Foundation (DGF) under grant TH 724/6-1. “Xetra” and “CDAX” are registered trademarks of Deutsche Börse AG.)

Graduate Teaching

  • FinTech (Lecture, 2021, first offering in the upcoming fall semester)

  • Investments (Lecture, 2020)

  • Stata in Finance (Lecture, 2016 - 2021)

  • Empirical Finance (Exercise sessions, 2018 - 2021)

  • Decision Analysis (Exercise sessions, 2014 - 2015)

  • Seminar on Climate Finance (2021)

  • Seminar on Empirical Finance (2016, 2019, 2020)

  • Seminar on Market Microstructure (2017)

  • Advisor of Master Theses (2016 - 2021)

Undergraduate Teaching

  • Financial Mathematics (Tutorial sessions, 2009, 2011 – 2012)

  • Investments and Asset Pricing (Tutorial sessions, 2013)

  • Advisor of Bachelor Theses (2015 - 2021)