Financial Markets – Trading and Pricing

Financial markets are crucial for the global economy as they provide a mechanism for allocating capital to its potentially most productive use. However, financial markets also played a key role in the evolution and development of the recent economic and financial crisis. Since then, there has been disagreement in both academia and among policy makers on whether price dynamics on financial markets and economic fundamentals are still linked tightly enough. Moreover, innovative financial instruments (like derivatives) and trading mechanisms (e.g. large-scale OTC trading, dark pools, high frequency/algorithmic trading) are often seen as sources and amplifiers of crises and systemic risk. 

Based on this discussion, the goal of the research activities in the SAFE research area Financial Markets is four-fold.

  • First, we investigate in general how risk premia (and thus, prices) are set in equilibrium when investor preferences, investor beliefs and/or the information structure are different from the standard setup of equally and fully informed investors with simple utility functions. Closely related to this we focus on the interaction between financial markets and the real economy.
  • Second, we analyze the implications of regulatory changes for the market outcome in equilibrium, i.e. when agents take into account possible future changes in the regulatory environment, such as a financial transactions tax or a ban on certain types of derivative instruments.
  • Third, we investigate how crises-like developments are spread across markets, how contagious events can be identified and how their economic impact can be measured.
  • Fourth, we provide new insights on the economic costs and benefits of OTC markets as compared to organized exchanges, of new elements in the market structure and of new trading mechanisms.

The research area is characterized by collaboration between researchers from asset pricing and market microstructure. Thus, we take a close look at how markets work from two different perspectives. This will lead to a better understanding of the complex issue of how prices and price dynamics are determined and will also provide a sound basis for the derivation of policy implications.


Publications

Published Title Author/s Research Area Keywords Published
2017

Optimal portfolio choice with loss aversion over consumption

Giuliano Curatola forthcoming in the Quarterly Review of Economics and Finance Financial Markets Loss-aversion, Habit-formation, Consumption–portfolio choice 2017
2017

International Endogenous Growth, Macro Anomalies, and Asset Prices

Patrick Grüning Journal of Economic Dynamics and Control Financial Markets Innovation, Technology spillover, Endogenous growth, Long-run risk, International finance 2017
2016

Dangerous Infectious Diseases: Bad News for Main Street, Good News for Wall Street?

Michael Donadelli, Renatas Kizys, Max Riedel forthcoming in Journal of Financial Markets Financial Markets WHO alerts, investor sentiment, pharmaceutical industry, trading strategies 2016
2016

Which Market Integration Measure?

Monica Billio, Michael Donadelli, Antonio Paradiso, Max Riedel Journal of Banking and Finance Financial Markets Equity market integration, dynamic correlation, principal components, international diversification benefits 2016
2016

Competition Between Equity Markets: A Review of the Consolidation Versus Fragmentation Debate

Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide forthcoming in the Journal of Economic Surveys Financial Markets Competition, Fragmentation, Market Structure, Liquidity, Price Discovery 2016
2017

Optimal Consumption and Investment with Epstein-Zin Recursive Utility

Holger Kraft, Thomas Seiferling, Frank Thomas Seifried Finance and Stochastics Financial Markets consumption-portfolio choice, asset pricing, stochastic differential utility, incomplete markets, fixed point approach, FBSDE 2017
2016

Labor Market Dynamics, Endogenous Growth and Asset Prices

Michael Donadelli, Patrick Grüning Economics Letters Financial Markets http://www.sciencedirect.com/science/article/pii/S0165176516300933 2016
2016

The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis

Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov Journal of Monetary Economics Financial Markets Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion 2016
2015

Matching the BRIC equity premium: A structural approach

Giuliano Curatola, Michael Donadelli, Patrick Grüning Emerging Markets Review Financial Markets BRIC countries, Equity risk premium, Long-run risk, Persistence 2015
2015

Loss aversion, habit formation and the term structures of equity and interest rates

Giuliano Curatola Journal of Economic Dynamics and Control Financial Markets, Macro Finance Loss-aversion, Habit formation, Yield curve, Dividend strips, General equilibrium 2015
2015

Going Public: How Stock Market Participation Changes Firm Innovation Behavior

Christine Moorman, Simone Wies Journal of Marketing Research Financial Markets Innovation, breakthrough innovation, stock market impact, IPO, marketing-finance interface, consumer packaged goods 2015
2015

International Capital Markets Structure, Preferences and Puzzles: A US-China World

Guglielmo Maria Caporale, Michael Donadelli, Alessia Varani Journal of International Financial Markets, Institutions and Money Financial Markets Macro-anomalies, Financial autarky, Complete markets, Long-run innovations, Home bias 2015
2015

The State of Play in European Over-the-Counter Equities Trading

Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide Journal of Trading Financial Markets 2015
2014

MiFID: Eine systematische Analyse der Zielerreichung

Peter Gomber, Benedikt Jaeger Zeitschrift für Bankrecht und Bankwirtschaft Financial Markets 2014
2014

Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility

Holger Kraft, Frank Thomas Seifried Journal of Economic Theory Financial Markets stochastic differential utility, recursive utility, convergence, backward stochastic differential equation 2014
2014

Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization

Nicole Branger, Holger Kraft, Christoph Meinerding Journal of Economic Dynamics and Control Systemic Risk Lab, Financial Markets, Transparency Lab Asset Allocation, Contagion, Nonlinear Filtering, Hidden State, Self-exciting Processes 2014
2014

Mutual Excitation in Eurozone Sovereign CDS

Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon Journal of Econometrics Systemic Risk Lab, Financial Markets, Macro Finance CDS, Sovereign risk, Systemic risk, Jumps, Feedback, Hawkes processes, Mutually exciting processes, Impulse-response 2014
2015

Anchoring in Experimental Asset Markets

Sascha Baghestanian, Todd B. Walker Journal of Economic Behavior and Organization Financial Markets Experimental Asset Markets, Anchoring, Bubbles 2015
2015

"Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors

Nicole Branger, Christian Schlag, Lue Wu Journal of Economic Dynamics and Control Financial Markets General Equilibrium, Asset Allocation, Learning, Different Beliefs, Over-Confidence 2015
2016

The Dynamics of Crises and the Equity Premium

Nicole Branger, Holger Kraft, Christoph Meinerding Review of Financial Studies Systemic Risk Lab, Financial Markets General Equilibrium, Asset Pricing, Recursive Preferences, Long-Run Risk, Disaster Models 2016
2016

When Do Jumps Matter for Portfolio Optimization?

Marius Ascheberg, Nicole Branger, Holger Kraft, Frank Thomas Seifried Quantitative Finance Financial Markets Optimal investment, jumps, stochastic volatility, welfare loss 2016
2016

Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina?

Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno Journal of Financial Economics Systemic Risk Lab, Financial Markets Liquidity, Credit Risk, Euro-zone Government Bonds, Financial Crisis, MTS Bond Market 2016

Working Papers

Title Author/s No. Research Area Year Keywords Published

The Dynamics of Crises and the Equity Premium

Nicole Branger, Holger Kraft, Christoph Meinerding 11 Systemic Risk Lab, Financial Markets 2013 General Equilibrium, Asset Pricing, Recursive Preferences, Long-Run Risk, Disaster Models 201301

Growth Options and Firm Valuation

Holger Kraft, Eduardo S. Schwartz, Farina Weiss 6 Financial Markets, Transparency Lab 2013 Firm valuation, Real options, Volatility, R&D expenses 201301

Option-Implied Information and Predictability of Extreme Returns

Grigory Vilkov, Yan Xiao 5 Financial Markets 2013 extreme value theory, tail measure, implied correlation, variance risk premium, option-implied distribution, predictability, portfolio optimization 201301

When Do Jumps Matter for Portfolio Optimization?

Marius Ascheberg, Nicole Branger, Holger Kraft, Frank Thomas Seifried 16 Financial Markets 2013 Optimal investment, jumps, stochastic volatility, welfare loss 201301

Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility

Holger Kraft, Frank Thomas Seifried 17 Financial Markets 2013 stochastic differential utility, recursive utility, convergence, backward stochastic differential equation 201301

Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization

Nicole Branger, Holger Kraft, Christoph Meinerding 28 Transparency Lab, Systemic Risk Lab, Financial Markets 2013 Asset Allocation, Contagion, Nonlinear Filtering, Hidden State, Self-exciting Processes 201301

Asset Pricing Under Uncertainty About Shock Propagation

Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding, Christian Schlag 34 Financial Markets 2013 General Equilibrium, Contagion Risk, Partial Information, Filtering, Recursive Utility 201301

Competition Between Equity Markets: A Review of the Consolidation Versus Fragmentation Debate

Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide 35 Financial Markets 2013 Competition, Fragmentation, Market Structure, Liquidity, Price Discovery 201301

Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs

Adrian Buss, Raman Uppal, Grigory Vilkov 41 Financial Markets 2014 liquidity premium, incomplete markets, portfolio choice, heterogeneous agents 201401

Mutual Excitation in Eurozone Sovereign CDS

Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon 51 Systemic Risk Lab, Financial Markets, Macro Finance 2014 CDS, Sovereign risk, Systemic risk, Jumps, Feedback, Hawkes processes, Mutually exciting processes, Impulse-response 201401

Optimal Consumption and Investment with Epstein-Zin Recursive Utility

Holger Kraft, Thomas Seiferling, Frank Thomas Seifried 52 Financial Markets 2014 consumption-portfolio choice, asset pricing, stochastic differential utility, incomplete markets, fixed point approach, FBSDE 201401

Anchoring in Experimental Asset Markets

Sascha Baghestanian, Todd B. Walker 54 Financial Markets 2014 Experimental Asset Markets, Anchoring, Bubbles 201401

Measuring Ambiguity Aversion: A Systematic Experimental Approach

Jan Pieter Krahnen, Peter Ockenfels, Christian Wilde 55 Financial Institutions, Financial Markets, Transparency Lab 2014 ambiguity, valuation discount, experimental economics 201401

Austerity, Fiscal Uncertainty, and Economic Growth: Insights from Fiscally Weak EU Countries

Giuliano Curatola, Michael Donadelli, Alessandro Gioffré, Patrick Grüning 56 Financial Markets 2014 Austerity Measures, Fiscal Policy, Endogenous Growth, R&D 201401

Peer Effects and Risk Sharing in Experimental Asset Markets

Sascha Baghestanian, Paul Gortner, Joel van der Weele 67 Corporate Finance, Household Finance, Financial Markets 2014 peer effects, laboratory experiments, risk taking, asset markets 201401

Equilibrium Asset Pricing in Directed Networks

Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag 74 Financial Markets 2014 Dynamic Networks, Mutually Exciting Processes, Asset Pricing, General Equilibrium, Recursive Preferences 201401

International Endogenous Growth, Macro Anomalies, and Asset Prices

Patrick Grüning 83 Financial Markets 2015 Innovation, Product Market Competition, Endogenous Growth, Long-run Risk, International Finance 201501

Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina?

Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno 95 Systemic Risk Lab, Financial Markets 2015 Liquidity, Credit Risk, Euro-zone Government Bonds, Financial Crisis, MTS Bond Market 201501

Measuring Sovereign Contagion in Europe

Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon 103 Systemic Risk Lab, Financial Markets 2015 Sovereign Risk, Contagion, Disintegration 201501

"Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors

Nicole Branger, Christian Schlag, Lue Wu 114 Financial Markets 2015 General Equilibrium, Asset Allocation, Learning, Different Beliefs, Over-Confidence 201501

A Quasi Real-Time Leading Indicator for the EU Industrial Production

Michael Donadelli, Antonio Paradiso, Max Riedel 118 Financial Markets 2015 Leading indicator, EU industrial production, Granger causality, Turning points, Forward-looking Taylor rule 201501

Leaning Against the Wind: Debt Financing in the Face of Adversity

Michael Brennan, Holger Kraft 119 Financial Markets 2015 Capital structure, financing policy, managerial incentives 201501

The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis

Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov 124 Financial Markets 2016 Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion 201601

Investment-Specific Shocks, Business Cycles, and Asset Prices

Giuliano Curatola, Michael Donadelli, Patrick Grüning, Christoph Meinerding 129 Financial Markets 2016 General Equilibrium Asset Pricing, Production Economy, Long-Run Risk, Investment-Specific Shocks, Nominal Rigidities 201601

Optimal Consumption and Portfolio Choice with Loss Aversion

Giuliano Curatola 130 Financial Markets 2016 Loss-aversion, Habit-formation, Consumption-portfolio choice 201601

Commodities, Financialization, and Heterogeneous Agents

Nicole Branger, Patrick Grüning, Christian Schlag 131 Financial Markets 2016 Commodities, General Equilibrium, Heterogeneous Preferences, Financial Markets 201601

Spoilt for Choice: Order Routing Decisions in Fragmented Equity Markets

Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide 143 Financial Markets, Systemic Risk Lab 2016 Dark Trading, Fragmentation, Anonymity, Immediacy 201601

Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods

Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova 144 Financial Markets 2016 High-Frequency Traders (HFTs), Pre-Opening, Opening Call Auction, Price Discovery, Liquidity provision. 201601

Systemic Co-Jumps

Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò 149 Financial Markets, Systemic Risk Lab 2016 Jumps, Return predictability, Systemic events, Variance Risk Premium 201601

How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis

Fabrizio Lillo, Loriana Pelizzon, Michael Schneider 151 Financial Markets, Systemic Risk Lab 2016 Liquidity, jump detection, Hawkes processes, government bonds, MTS bond market, Quantitative Easing. 201601

Globally Dangerous Diseases: Bad News for Main Street, Good News for Wall Street?

Michael Donadelli, Renatas Kizys, Max Riedel 158 Financial Markets 2016 WHO alerts, investor sentiment, pharmaceutical industry, trading strategies 201612

Which Market Integration Measure?

Monica Billio, Michael Donadelli, Antonio Paradiso, Max Riedel 159 Financial Markets 2016 Equity market integration, dynamic correlation, principal components, international diversification benefits 201612

Technology Trade with Asymmetric Tax Regimes and Heterogeneous Labor Markets: Implications for Macro Quantities and Asset Prices

Giuliano Curatola, Michael Donadelli, Patrick Grüning 163 Financial Markets 2017 Technology Adoption, R&D Investment, Asymmetric Tax Regimes, Asset Prices 201701

The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification

Monica Billio, Massimiliano Caporin, Roberto Panzica, Loriana Pelizzon 166 Financial Markets, Systemic Risk Lab 2017 CAPM, volatility, network, interconnections, systematic risk 201702

Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare

Michael Donadelli, Patrick Grüning 171 Financial Markets 2017 Endogenous growth, Asset pricing, Government, Fiscal policy, Heterogeneous innovation 201704

Systemic risk for financial institutions of major petroleum-based economies: The role of oil

Massimiliano Caporin, Michele Costola, Shawkat Hammoudeh, Ahmed A. A. Khalifa 172 Financial Markets, Financial Institutions, Systemic Risk Lab 2017 Systemic Risk, Risk Measurement, VaR, ?CoVaR, Oil, Financial Institutions, Petroleum-based Economies 201706

Policy Papers

Year Title Author/s Research Area Keywords Year
March 2017

Financial Resilience Revisited: Why Consistency in Regulation is now Paramount – Across Sectors and Regions, and Over Time

Franklin Allen, Jan Pieter Krahnen, Hélène Rey Financial Institutions, Financial Markets financial resilience, financial markets regulation, banking regulation 2017-03
February 2017

Skin-in-the-Game in ABS Transactions: A Critical Review of Policy Options

Jan Pieter Krahnen, Christian Wilde Financial Markets Structured finance, ABS, STS (simple, transparent, and standardized securitizations), regulation, retention, capital, Dodd-Frank Act 2017-02
January 2017

SME Funding Without Banks? On the interplay of banks and markets

Günter Franke, Jan Pieter Krahnen Financial Institutions, Financial Markets SME, funding, capital markets, lending instruments, banks 2017-01
September 2016

“Predatory” Margins and the Regulation and Supervision of Central Counterparty Clearing Houses (CCPs)

Jan Pieter Krahnen, Loriana Pelizzon Financial Markets central counterparties, CCP, derivatives, financial market regulation, financial market supervision 2016-09
February 2016

The German Equity Trading Landscape

Peter Gomber Financial Markets MiFID II, MiFIR, equity trading, electronic trading, cash equity markets 2016-02
November 2016

Structural Reforms in Banking: The Role of Trading

Jan Pieter Krahnen, Felix Noth, Ulrich Schüwer Financial Institutions, Financial Markets proprietary trading, banking separation proposals, bank risk 2016-11
November 2015

Impairments of Greek Government Bonds under IAS 39 and IFRS 9: A Case Study

Günther Gebhardt Financial Markets government bonds, IFRS 9, credit losses 2015-11
May 2015

Comments on the EU Commission’s Capital Markets Union Project

Volker Brühl, Helmut Gründl, Andreas Hackethal, Hans-Helmut Kotz, Jan Pieter Krahnen, Tobias Tröger Financial Markets Capital Markets Union, functional finance approach, level playing field, financial services 2015-05
May 2014

MiFID: Eine systematische Analyse der Zielerreichung

Peter Gomber, Benedikt Jaeger Financial Markets MiFID, Wettbewerb, Integration, Transparenz, Integrität 2014-05
September 2014

Neuordnung der Finanzmärkte in Europa durch MiFID II/MiFIR

Peter Gomber, Frank Nassauer Financial Markets MiFID II, MiFIR, Derivatehandel, Hochfrequenzhandel 2014-09
October 2014

What Does U.S. Money Market Mutual Fund Reform Portend for the European Union?

Craig Lewis, Christian Schlag Financial Markets money market funds, liquidity runs, floating net asset value (FNAV) 2014-10
February 2015

The Regulation of Repo Markets: Incorporating Public Interest through a Stronger Role of Civil Society

Matthias Thiemann Financial Markets Repo Markets, Shadow Banking, Non-governmental Organizations 2015-02
May 2013

Mindfully Resisting the Bandwagon – IT Implementation and Its Consequences in the Financial Crisis

Roman Beck, Wolfgang König, Immanuel Pahlke, Martin Wolf Financial Markets IT innovations, financial services 2013-05
September 2011

High-Frequency-Trading: Zwischen Nutzeffekten und Risiken

Peter Gomber Financial Markets Wertpapiermärkte, High Frequency Trading, Regulierung 2011-09
April 2011

High Frequency Trading

Björn Arndt, Peter Gomber, Marco Lutat, Tim Uhle Financial Markets algorithmic trading, high-frequency trading, regulation 2011-04
December 2010

Competition among electronic markets and market quality

Peter Gomber, Markus Gsell, Marco Lutat Financial Markets MiFID, market fragmentation,liquidity 2010-12
November 2010

MiFID - Spirit and Reality of a European Financial Markets Directive

Peter Gomber, Axel Pierron Financial Markets MiFID, regulation, securities trading 2010-11
November 2011

Rational learning about rare-disaster frequencies: A persistent source of asset-price overreaction

Volker Wieland Financial Markets asset prices, comsumer beliefs, Bayesian learning 2011-11

Research Projects

Category Project Researcher Project Duration Keywords Project ID Publication Count
Corporate Finance, Financial Markets

Competition-enhancing Changes in Secondary Corporate Bond

Satchit Sagade, Christian Westheide 2017 competition, corporate bond, liquidity 21640 0
Financial Markets

The informational role of inflation for real asset prices

Christoph Meinerding, Christian Schlag 2017 Inflation, recursive preferences, filtering, equilibrium asset pricing 21422 0
Financial Markets

Globalization and International Financial Markets

Jun Li, Christoph Meinerding, Lukas Menkhoff, Nikolai Roussanov, Christian Schlag, Ivan Shaliastovich 2016 international trade networks; asset pricing; 21420 0
Financial Markets

Climate Change, Business Cycle and Asset Prices

Michael Donadelli, Max Riedel 2016 21920 0
Financial Markets

Exchange Systems and International Comovement of Return and Liquidity

Ryan Riordan, Satchit Sagade, Christian Westheide 2016 Stock exchange systems, non-fundamental comovement, market integration, excess comovement, commonality, algorithmic trading 21922 0
Financial Markets, Macro Finance

Quantitative Easing and Financial (In)Stability

Marcel Bluhm, Co-Pierre Georg, Jan Pieter Krahnen, Jun Li, Xu Liu, Loriana Pelizzon, Christian Schlag, Marti Subrahmanyam, Matthias Thiemann, Jun Uno 2016 21480 1
Financial Markets, Financial Institutions

The impact of introducing intraday auctions on LSE

Peter Gomber, Satchit Sagade, Christian Westheide 2016 21620 1
Financial Markets, Macro Finance

Macroeconomic bond risks in the presence of the zero lower bound

Nicole Branger, Liu Liu, Christian Schlag, Ivan Shaliastovich, Dongho Song 2016 Macrofinance, bond pricing, market expectations, inflation, growth 21630 1
Financial Markets, Systemic Risk Lab

Network representations of interconnections and contagion

Loriana Pelizzon, Tatiana von Landesberger 2016 21610 1
Financial Markets, Household Finance

Bequeathing illiquid assets across generations in an aging society

Holger Kraft, Farina Weiss 2016 demographic change, overlapping generations, household finance, asset pricing, welfare, life cycle 21660 1
Financial Markets, Systemic Risk Lab

Network Connectivity, Systemic and Systematic Risk

Monica Billio, Massimiliano Caporin, Roberto Panzica, Loriana Pelizzon 2016 21610 1
Financial Markets

The role of tick size in market quality and in SME financing

Alejandro Bernales, Richard Payne, Satchit Sagade, Christian Westheide 2016 21620 1
Corporate Finance, Financial Markets

Innovations in Secondary Markets and Their Impact on Market Quality

Alejandro Bernales, Jasmin Gider, Peter Gomber, Satchit Sagade, Stefan Scharnowski, Erik Theissen, Christian Westheide 2016 high frequency trading, competition, intermediation, order anticipation 21640 1
Financial Markets, Household Finance

Time-Varying Preferences and International Capital Markets

Giuliano Curatola, Ilya Dergunov 2016 Asset pricing, general equilibrium, heterogeneous agents, interdependent preferences, portfolio choice 21650 1
Financial Markets

Behavior of designated market makers (DMMs) in electronic limit order markets and their role in enhancing liquidity of SME stocks

Monika Gehde-Trapp, Satchit Sagade, Erik Theissen, Christian Westheide 2016 21620 1
Financial Markets, Systemic Risk Lab

An examination of the strategic behavior of high-frequency traders (HFTs)

Loriana Pelizzon, Ryan Riordan, Satchit Sagade, Marti Subrahmanyam, Jun Uno, Christian Westheide 2016 21620 1
Macro Finance, Financial Markets

The impact of unconventional monetary policies on European financial markets

Massimiliano Caporin, Loriana Pelizzon, Alberto Plazzi, Roberto Rigobon 2016 21630 1
Macro Finance, Financial Institutions, Corporate Finance, Financial Markets

Bailouts and financial stability: Experimental evidence

Paul Gortner, Baptiste Massenot 2016 21650 1
Macro Finance, Financial Markets

The impact of QE interventions on market liquidity and limits to arbitrage

Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Clara Vega 2016 21630 1
Financial Markets

Experimental asset markets – Regulation and design of fragmented markets

Peter Ockenfels, Christian Wilde 2016 21620 1
Financial Institutions, Financial Markets

Financial interactions in the presence of ambiguity

Peter Ockenfels, Christian Wilde 2016 21650 1
Macro Finance, Financial Institutions, Corporate Finance, Financial Markets

Capital requirements and financial stability: Experimental evidence

Paul Gortner, Baptiste Massenot 2016 21650 1
Financial Markets

The Effect of EU Short Selling Regulations on Liquidity and Price Efficiency

Satchit Sagade, Erik Theissen, Christian Westheide 2016 21620 1
Financial Markets, Systemic Risk Lab

Network Connectivity and General Equilibrium Asset Prices

Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag 2016 Asset pricing, general equilibrium, recursive preferences, dynamic networks, mutually exciting processes, directed shocks 21610 1
Financial Markets

Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets

Adrian Buss, Raman Uppal, Grigory Vilkov 2016 21650 1
Financial Markets

Management of Market Risks: Regulation and Coordination of Volatility Interruptions in Europe

Benjamin Clapham, Peter Gomber, Jascha-Alexander Koch, Sven Panz 2015 Circuit Breaker, Volatility Interruption, Volatility, Liquidity, Market Design, Coordination, Market Fragmentation, Volume Migration 21490 1
Financial Markets, Systemic Risk Lab

Strategic behavior of High Frequency Traders during the market pre-opening period

Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova 2014 High Frequency Traders, Order Submission, Order Cancellation, Pre-Opening, Price Discovery, Liquidity Provision 12150 1
Financial Markets

International Models of Growth

Giuliano Curatola, Michael Donadelli, Patrick Grüning 2014 Endogenous Growth, Innovation, Product Market Competition, Long-run Risk, International Finance 11431 1
Financial Markets

Emotion-Driven Risk Preferences

Ian Gould, Marie Lalanne, Evelyne Lepron, Peter Schwardmann, Paul Seabright 2014 dynamic decision making, anxiety, experimental economics, bubbles, risk aversion 11339 0
Financial Markets

Why Do Different Stocks Fragment Differently?

Jonathan Brogaard, Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide 2014 Fragmentation, Liquidity, Equitiy Trading, MTF 11429 1
Financial Markets, Systemic Risk Lab

Limits to arbitrage in sovereign bonds: price and liquidity discovery in high frequency quote driven markets

Mario Bellia, Loriana Pelizzon, Max Riedel, Marti Subrahmanyam, Davide Tomio, Jun Uno 2014 Sovereign bonds, Liquidity, futures markets, ECB interventions, futures-bond basis, arbitrage 12126 1
Financial Markets

Network Connectivity, Self-Exciting Jumps and General Equilibrium Asset Prices

Patrick Konermann, Christoph Meinerding, Christian Schlag 2014 Asset Pricing, General Equilibrium, Recursive Preferences, Dynamic Networks, Mutually Exciting Processes, Jump Processes, Contagion Risk, Network Connectivity 11428 1
Financial Markets, Transparency Lab, Systemic Risk Lab

Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs

Adrian Buss, Raman Uppal, Grigory Vilkov 2014 11422 1
Financial Markets

Financialization in Commodity Markets

Nicole Branger, Patrick Grüning, Max Riedel, Christian Schlag 2014 financialization, commodities, heterogenous agents 11427 1
Financial Markets

The Continuous-time Limit of Recursive Utility

Christoph Hambel, Holger Kraft, Frank Thomas Seifried, Sebastian Wagner, Farina Weiss 2014 stochastic differential utility, recursive utility, convergence, backward stochastic differential equation 11426 1
Financial Markets

Sentiment and the Economy: A General Equilibrium Analysis

Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov 2014 11425 1
Financial Markets, Transparency Lab, Systemic Risk Lab

Determinants of OTC Trading Volume

Peter Gomber, Ilya Gvozdevskiy, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide 2013 OTC Trading, Dark Pools, MiFID 11424 1
Financial Markets, Transparency Lab, Systemic Risk Lab

Asset Pricing with Recursive Utility and Heterogenous Investors

Nicole Branger, Christian Schlag, Ivan Shaliastovich 2013 recursive utility, heterogenous investors, differences in beliefs 11421 1
Financial Markets, Transparency Lab, Systemic Risk Lab

General Equilibrium with Contagion Effects

Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding, Christian Schlag 2013 General Equilibrium, Contagion Risk, Partial Information, Filtering, Recursive Utility, Asset Pricing, Jump Processes 11423 1

Current Research Team

Researcher Position
Branger, Nicole External Researcher, CFS/SAFE Fellow
Buss, Adrian External Researcher
Clapham, Benjamin Research Assistant
Curatola, Giuliano Assistant Professor
Donadelli, Michael Assistant Professor
Gioffré, Alessandro Assistant Professor
Gomber, Peter Professor
Grüning, Patrick External Researcher
Gvozdevskiy, Ilya External Researcher
Hambel, Christoph Research Assistant
Koch, Jascha-Alexander Research Assistant
Kolokolov, Aleksey Assistant Professor
Kraft, Holger Professor
Krahnen, Jan Pieter Professor
Li, Jun Research Assistant
Liu, Xu Research Assistant
Liu, Liu Assistant Professor
Massenot, Baptiste Assistant Professor
Meinerding, Christoph External Researcher
Menkhoff, Lukas External Researcher
Müller, Philippe Assistant Professor
Ockenfels, Peter Professor
Panz, Sven Research Assistant
Panzica, Roberto Research Assistant
Pelizzon, Loriana Professor
Riedel, Max Research Assistant
Sagade, Satchit Assistant Professor
Schlag, Christian Professor
Simonov, Andrei Professor
Subrahmanyam, Marti External Researcher, CFS/SAFE Fellow
Theissen, Erik External Researcher
Thiemann, Matthias Assistant Professor
Uno, Jun External Researcher, CFS/SAFE Fellow
Vilkov, Grigory External Researcher
Weiss, Farina Research Assistant
Westheide, Christian Assistant Professor
Wilde, Christian Assistant Professor