Austin Gerig

Assistant Director
Office of Research and Data Services

Education Summary

  • Ph.D. Physics, University of Illinois at Urbana-Champaign, 2007
  • M.S. Finance, University of Illinois at Urbana-Champaign, 2006
  • M.S. Physics, University of Illinois at Urbana-Champaign, 2002
  • B.S. Physics, University of Notre Dame, 2000

Fields of Interest

  • Market Microstructure
  • Information and Market Efficiency
  • Financial Crises
  • Assistant Director
    Division of Economic and Risk Analysis
    U.S. Securities and Exchange Commission
    2014-present
  • Financial Economist
    Division of Economic and Risk Analysis
    U.S. Securities and Exchange Commission
    2014-2016
  • Senior Research Fellow
    Said Business School
    University of Oxford
    2011-2014
  • Postdoctoral Research Fellow
    School of Finance and Economics
    University of Technology, Sydney
    2008-2011
  • Postdoctoral Researcher
    Santa Fe Institute
    2008
  • ​Daniel Fricke and Austin Gerig, 2017, Too Fast or Too Slow? Determining the Optimal Speed of Financial Markets, Quantitative Finance Forthcoming.
  • Austin Gerig and David Michayluk, 2016, Automated Liquidity Provision, Pacific-Basin Finance Journal In Press.
  • Benjamin Myers and Austin Gerig, 2015, Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets, Financial Econometrics and Empirical Market Microstructure, A. K. Bera, S. Ivliev, and F. Lillo (eds.), Springer, USA.
  • J. Doyne Farmer, Austin Gerig, Fabrizio Lillo, and Henri Waelbroeck, 2013, How Efficiency Shapes Market Impact, Quantitative Finance 13(11): 1743-1758.
  • Miguel A. Fuentes, Austin Gerig, and Javier Vicente, 2012, Non-Gaussian Price Dynamics,Derivative Securities Pricing and Modelling, J. A. Batten and N. Wagner (eds.), Emerald, United Kingdom.
  • Austin Gerig, 2011, Universal Laws and Economic Phenomena, Complexity 17(1): 9-12.
  • Miguel A. Fuentes, Austin Gerig, and Javier Vicente, 2009, Universal Behavior of Extreme Price Movements in Stock Markets, PLoS ONE 4(12): e8243.
  • Austin Gerig, Javier Vicente, and Miguel A. Fuentes, Model for Non-Gaussian Intraday Stock Returns, 2009, Physical Review E 80: 065102(R)
  • Esteban Moro, Javier Vicente, Luis G. Moyano, Austin Gerig, J. Doyne Farmer, Gabriella Vaglica, Fabrizio Lillo, and Rosario N. Mantegna, 2009, Market Impact and the Trading Profile of Hidden Orders in Stock Markets, Physical Review E 80: 066102.
  • J. Doyne Farmer, Austin Gerig, Fabrizio Lillo, and Scabolcs Mike, 2006, Market Efficiency and the Long-Memory of Supply and Demand: Is Price Impact Variable and Permanent or Fixed and Temporary? Quantitative Finance 6(2): 107-112.
  • Austin Gerig, High-Frequency Trading Synchronizes Prices in Financial Markets.
  • Raoul Golan and Austin Gerig, A Stochastic Feedback Model for Volatility.
  • Austin Gerig, J. Doyne Farmer, and Fabrizio Lillo, How Prices Respond to Worked Orders.


CONFERENCE ACTIVITIES

  • Research presentation, 2017 Time Compliance for MiFID II.
  • Panel member, 2017 Market Microstructure Conference, Financial Conduct Authority.
  • Keynote speaker, 2017 Time and Money, ATIS Workshop on Time Sync in Financial Markets.
  • Paper presentation, 2015 Market Microstructure and High Frequency Data, University of Chicago.
  • Paper presentation, 2015 The Mathematics of High Frequency Finance, IPAM, UCLA. Panel member, 2015 Current Topics in Financial Regulation, University of Notre Dame.
  • Paper presentation, 2014 Market Microstructure: Confronting Many Viewpoints.
  • Paper presentation, 2014 Frontiers of Finance Conference, University of Warwick.
  • Paper presentation, 2013 Paris Financial Management Conference.
  • Paper presentation, 2013 Perm Winter School.
  • Paper presentation, 2012 Latsis Symposium.
  • Paper presentation, 2011 FMA Conference.
  • Paper presentation (by co-author), 2010 NBER Conference on Market Microstructure.
  • Paper presentation, 2009 SFI Market Design and Structure Workshop.
  • Paper presentation, 2008 SFI Market Ecology Workshop.
  • Paper presentation, 2008 SNDE Symposium.
  • Paper presentation, 2007 APS March Meeting.
  • Paper presentation, 2006 APS March Meeting.


UNIVERSITY PRESENTATIONS

  • University of Delaware, 2017
  • George Mason University, 2016
  • University of Utah, 2016
  • University of Technology Sydney, 2016
  • SEC Speaks, 2016
  • Cornell University, 2015
  • American University, 2015
  • University College London, 2014
  • U.S. Securities and Exchange Commission, 2014
  • University of Oxford, 2013.
  • Universidad del Desarrollo, 2012
  • Oxford-Man Institute, 2012
  • Winton Capital Management, 2011
  • Australian National University, 2011 University of New South Wales, 2011
  • Monash University, 2009.
  • University of Technology Sydney, 2008.
  • Santa Fe Institute, 2007.

Previous SEC Positions: