Students WU Campus

Stefan Voigt

Stefan Voigt was born in Karls­ruhe, Ger­many. He re­ceived his Bach­elor of Science as well as his Mas­ter de­gree in Mathem­at­ical Fin­ance from the Uni­versity of Kon­stanz.

Ad­di­tion­ally to the course work in Ger­many, Stefan un­der­took pro­grams at Plekhanov Rus­sian Uni­versity of Eco­nom­ics, Rus­sia and Kan­sai Uni­versity, Ja­pan.

His re­search is centered around the im­pact of tech­no­lo­gical in­nov­a­tion on fin­an­cial mar­kets. Stefan has a deep in­terest in the eco­nomic im­plic­a­tions of block­chain-­based set­tle­ment and re­search ques­tions per­tain­ing to mar­ket frag­ment­a­tion and high-­fre­quency trad­ing. In his re­search, he ex­plores the in­ter­sec­tion of mar­ket mi­cro­struc­ture, as­set pri­cing and econo­met­rics.

He re­cently re­leased a pa­per which shows that de­cent­ral­ized mar­kets ex­pose ar­bit­rageurs to sub­stan­tial price risks. Fur­ther, he ana­lysed the in­form­a­tional be­ne­fit of high-­fre­quency data for high-di­men­sional port­fo­lios and il­lus­trated the stat­ist­ical be­ne­fits of shrink­age es­tim­at­ors based on the the­ory of ex­pec­ted util­ity max­im­iz­a­tion.

per­sonal webpage

Edu­ca­tion:
  • 2015 – : PhD in Fin­ance at the Vi­enna Gradu­ate School of Fin­ance
  • 2012 – 2015: MSc in Mathem­at­ical Fin­ance at Uni­versity of Kon­stanz
  • 2009 – 2012: BSc in Mathem­at­ical Fin­ance at Uni­versity of Kon­stanz

Pub­lic­a­tions:
  • Hautsch, N., Voigt, S., 2018, Large-S­cale Port­fo­lio Al­loc­a­tion Un­der Trans­ac­tion Costs and Model Un­cer­tainty, Journal of Econo­met­rics 212 (1), 221-240.

Work­ing Pa­per:
Clemens Wagner
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