Professor of Finance
Michael Rockinger is Full Professor of Finance at the University of Lausanne and has been an SFI faculty member since 2006. He was an SFI Research Fellow from 2006 to 2011. Prof. Rockinger has published extensively on computational finance and financial econometrics, and is an active member of the Center for Risk Management Lausanne, which focuses on diffusing independent and transparent decision-making tools for banks, insurance companies, and industrial firms. Finally, Prof. Rockinger also acts as a research fellow of the Society of Financial Econometrics and is a regular speaker at leading conferences in his
areas of expertise.
His main research interest lies in financial econometrics and computational methods for finance.
Prof. Rockinger and his co-authors have recently focused on the price impact of trades in a high-frequency setting. They contribute to this field by developing a microstructure model that allows parameters to change over time and that accounts for large but infrequent jumps. Differences between transaction price and fundamental value are explained by trade direction and trade size, whereas changes in fundamental value are explained by surprises in trade direction and trade size. When running their model on the trades of Euronext Paris stocks, the researchers find that highly liquid stocks are generally characterized by several small jumps each day, whilst less liquid stocks generally experience a small number of large jumps. Additionally, less liquid stocks exhibit more permanent jumps than highly liquid stocks.