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.
- 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
Hautsch, N., Voigt, S., 2018, Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty, Journal of Econometrics 212 (1), 221-240.
- Hautsch, N.; Scheuch, C.; Voigt, S.: Limits to Arbitrage in Markets With Stochastic Settlement Latency