Roland Mestel (Deputy Director of the Department)
Roland Mestel's research focuses on the microstructure of financial markets, i.e. the specific organization of the exchange of capital supply and demand. One focus in this regard is on markets for digital assets (cryptocurrencies) and, in particular, on decentralized markets. Further research focuses on asset management, asset pricing and risk management. Roland Mestel leads/has led a large number of externally funded research projects from research funding and contract research. He is a member of the board of the Austrian Banking Research Association, co-editor of the BankArchiv and associate editor of the Journal of Behavioral and Experimental Finance.
Selected projects
- Market quality and algorithmic trading at the Austrian stock market. Project supported with funds from the Anniversary Fund of Oesterreichische Nationalbank; 2019-2023.
- Austria's path to climate neutrality: identifying a cross-sector integrated framework and incentive structure, distributional and budgetary implications. Responsible for work package: Financial markets. Project supported with funds from the Climate and Energy Fund and implemented in line with the Austrian Climate Research Program ACRP; 2022-2024.
Magazine publications
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Mestel, Roland; Theissen, Erik; Uhlenkamp, Corinna
The lower the better? Revisiting minimum tick size..
In: Applied Economics Letters. not yet known. 2024. not yet known. doi:10.1080/13504851.2024.2333996.
Forschung: Beitrag in Zeitschrift > Originalbeitrag/Fachbeitrag -
Brauneis, Alexander; Mestel, Roland; Theissen, Erik
The crypto world trades at tea time: intraday evidence from centralized exchanges across the globe..
In: Review of Quantitative Finance and Accounting. not yet known. 2024. not yet known. doi:10.1007/s11156-024-01304-1.
Forschung: Beitrag in Zeitschrift > Originalbeitrag/Fachbeitrag -
Mestel, Roland; Steffen, Viktoria; Theissen, Erik
Algorithmic trading and mini flash crashes: Evidence from Austria..
In: Economics Letters. 244. 2024. 111982. doi:10.1016/j.econlet.2024.111982.
Forschung: Beitrag in Zeitschrift > Originalbeitrag/Fachbeitrag -
Machus, Tobias; Mestel, Roland; Theissen, Erik
Heroes, just for one day: The impact of Donald Trump’s tweets on stock prices..
In: Journal of Behavioral and Experimental Finance . Volume 33,March 2022. 2022. Article 100594. doi:10.1016/j.jbef.2021.100594.
Forschung: Beitrag in Zeitschrift > Originalbeitrag/Fachbeitrag -
Brauneis, Alexander; Mestel, Roland; Riordan, Ryan; Theissen, Erik
The anatomy of a fee change - evidence from cryptocurrency markets..
In: Journal of Empirical Finance. 67,June 2022. 2022. 152-167. doi:10.1016/j.jempfin.2022.03.003.
Forschung: Beitrag in Zeitschrift > Originalbeitrag/Fachbeitrag -
Mestel, Roland; Brauneis, Alexander; Riordan, Ryan; Theissen, Erik
Bitcoin unchained: Determinants of cryptocurrency exchange liquidity..
In: Journal of Empirical Finance. 69. 2022. 106-122. doi:10.1016/j.jempfin.2022.08.004.
Forschung: Beitrag in Zeitschrift > Originalbeitrag/Fachbeitrag -
Cela, Eranda; Hafner, Stephan; Mestel, Roland; Pferschy, Ulrich
Mean-variance portfolio optimization based on ordinal information..
In: Journal of Banking & Finance. 122. 2021. Article 105989. doi:10.1016/j.jbankfin.2020.105989.
Forschung: Beitrag in Zeitschrift > Originalbeitrag/Fachbeitrag -
Brauneis, Alexander; Mestel, Roland; Riordan, Ryan; Theissen, Erik
How to measure the liquidity of cryptocurrency markets?.
In: Journal of Banking & Finance. 124. 2021. Article 106041. doi:10.1016/j.jbankfin.2020.106041.
Forschung: Beitrag in Zeitschrift > Originalbeitrag/Fachbeitrag -
Brauneis, Alexander; Mestel, Roland; Theissen, Erik
What Drives the Liquidity of Cryptocurrencies? A Long-Term Analysis..
In: Finance Research Letters. . 2020. online first. doi:10.1016/j.frl.2020.101537.
Forschung: Beitrag in Zeitschrift > Originalbeitrag/Fachbeitrag -
Brauneis, Alexander; Mestel, Roland
Cryptocurrency-portfolios in a mean-variance framework..
In: Finance Research Letters. 28. 2019. 259-264. doi:10.1016/j.frl.2018.05.008.
Forschung: Beitrag in Zeitschrift > Originalbeitrag/Fachbeitrag