Financial Markets
Die Abteilung Financial Markets befasst sich mit der Funktionsweise und dem Wandel der Finanzmärkte, welche heute wesentlich technologisch und regulatorisch bestimmt sind. Es ergeben sich Forschungsfragen zu den Folgen für Preisbildung (Asset Pricing), Wettbewerb, Liquidität auf Sekundärmärkten, Marktstabilität und systemisches Risiko sowie für den Verbraucherschutz. Spezifische Regulierungsmaßnahmen, wie die EU-Richtlinie über Märkte und Finanzinstrumente MiFID II, oder säkulare Trends wie der demografische Wandel oder der Klimawandel beeinflussen die Funktionsweise der Märkte bzw. die Anlageentscheidungen der Investor/innen und gehen deshalb ebenfalls in die Forschung des Bereichs ein.
Abteilungsleiterin
(komiss. Abteilungsleiterin)
Publikationen
| 2020 |
Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution |
Christian Schlag, Julian Thimme, Rüdiger Weber forthcoming in Journal of Financial Economics | Financial Markets | Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing | 2020 |
| 2020 |
Statistical Inferences for Price Staleness |
Aleksey Kolokolov, Giulia Livieri, Davide Pirino forthcoming in Journal of Econometrics | Financial Markets | staleness, idle time, liquidity, zero returns, stable convergence | 2020 |
| 2020 |
The Collateralizability Premium |
Hengije Ai, Jun E. Li, Kai Li, Christian Schlag forthcoming in Review of Financial Studies | Financial Markets | 2020 | |
| 2019 |
Pricing Sin Stocks: Ethical Preference vs. Risk Aversion |
Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré European Economic Review | Financial Markets | 2019 | |
| 2020 |
Call of Duty: Designated Market Maker Participation in Call Auctions |
Erik Theissen, Christian Westheide forthcoming in Journal of Financial Markets | Financial Markets | 2020 | |
| 2019 |
Horizontal Industry Relationships and Return Predictability |
Christian Schlag, Kailin Zeng Journal of Empirical Finance | Financial Markets | Connected industries, information flow, return predictability | 2019 |
| 2019 |
Volatility-of-Volatility Risk |
Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme Journal of Financial and Quantitative Analysis | Financial Markets | 2019 | |
| 2019 |
Optimists and Pessimists in (In)Complete Markets |
Nicole Branger, Patrick Konermann, Christian Schlag forthcoming in Journal of Financial and Quantitative Analysis | Financial Markets | 2019 | |
| 2019 |
Peer Effects and Risk Sharing in Experimental Asset Markets |
Sascha Baghestanian, Paul Gortner, Joël van der Weele European Economic Review | Household Finance, Financial Markets, Experiment Center | peer effects, laboratory experiments, risk taking, asset markets | 2019 |
| 2017 |
Dark Trading under MiFID II |
Peter Gomber, Ilya Gvozdevskiy Regulation of the EU Financial Markets: MiFID II and MiFIR (Oxford University Press) | Financial Markets | 2017 | |
| 2017 |
Systemic Co-Jumps |
Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò Journal of Financial Economics | Financial Markets, Systemic Risk Lab | Jumps; Return predictability; Systemic events; Variance risk premium | 2017 |
| 2019 |
A Quasi Real-Time Leading Indicator for the EU Industrial Production |
Michael Donadelli, Antonio Paradiso, Max Riedel The Manchester School | Financial Markets | Leading indicator, EU industrial production, Granger causality, Turning points, Forward-looking Taylor rule | 2019 |
| 2018 |
Leaning Against the Wind: Debt Financing in the Face of Adversity |
Michael Brennan, Holger Kraft Financial Management | Financial Markets | Capital structure, financing policy, managerial incentives | 2018 |
| 2018 |
Measuring Sovereign Contagion in Europe |
Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon Journal of Financial Stability | Financial Markets, Systemic Risk Lab | 2018 | |
| 2018 |
Denouncing Odious Debts |
Stephanie Collet, Kim Oosterlinck Journal of Business Ethics | Data Center, Financial Markets | Ethics, Odious debt, Repudiation, Financial history, Sovereign debt, Russia | 2018 |
| 2019 |
Measuring the Behavioural Component of the S&P 500 and its Relationship to Financial Stress and Aggregated Earnings Surprises |
Massimiliano Caporin, Luca Corazzini, Michele Costola British Journal of Management | Financial Markets, Systemic Risk Lab | 2019 | |
| 2017 |
High-Frequency Trading and its Role in Fragmented Markets |
Martin Haferkorn Journal of Information Technology | Financial Markets | Eelectronic market hypothesis, High-frequency trading, Market efficiency, Regulation, Securities trading | 2017 |
| 2018 |
Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and Macroeconomics |
Patrick Grüning Finance Research Letters | Financial Markets | Heterogeneous innovation; Technology spillover; Endogenous growth; Creative destruction; International finance | 2018 |
| 2017 |
Ensuring Market Integrity and Stability: Circuit Breakers on International Trading Venues |
Benjamin Clapham, Peter Gomber, Martin Haferkorn, Paul Jentsch, Sven Panz Journal of Trading | Financial Markets | 2017 | |
| 2018 |
Modelling Illiquidity Spillovers with Hawkes Processes: An Application to the Sovereign Bond Market |
Fabrizio Lillo, Loriana Pelizzon, Michael Schneider Quantitative Finance | Financial Markets, Systemic Risk Lab | Liquidity, Jump detection, Hawkes processes, Government bonds, MTS bond market | 2018 |
| 2017 |
Temperature Shocks and Welfare Costs |
Michael Donadelli, Marcus Jüppner, Max Riedel, Christian Schlag Journal of Economic Dynamics and Control | Financial Markets | Temperature shocks, long-run growth, asset prices, welfare costs, adaptation | 2017 |
| 2018 |
Growth Options and Firm Valuation |
Holger Kraft, Eduardo S. Schwartz European Financial Management | Financial Markets | Firm valuation, Real options, Volatility, R&D expenses | 2018 |
| 2017 |
Optimal Portfolio Choice with Loss Aversion Over Consumption |
Giuliano Curatola 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 |
| 2017 |
Dangerous Infectious Diseases: Bad News for Main Street, Good News for Wall Street? |
Michael Donadelli, Renatas Kizys, Max Riedel Journal of Financial Markets | Financial Markets | WHO alerts, investor sentiment, pharmaceutical industry, trading strategies | 2017 |
| 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 |
| 2017 |
Competition Between Equity Markets: A Review of the Consolidation Versus Fragmentation Debate |
Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide Journal of Economic Surveys | Financial Markets | Competition, Fragmentation, Market Structure, Liquidity, Price Discovery | 2017 |
| 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 |
| 2014 |
Market Structure and Market Performance in E-Commerce |
Franz Hackl, Michael Kummer, Rudolf Winter-Ebmer, Christine Zulehner European Economic Review | Financial Markets | Retailing, Product life cycle, Market structure, Market performance, Markup, Price dispersion | 2014 |
| 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 and 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 Thomas 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 and 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 & Organization | Financial Markets, Experiment Center | 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
Does Monetary Policy Impact International Market Co-Movements? |
Massimiliano Caporin, Loriana Pelizzon, Alberto Plazzi | 276 | Financial Markets, Macro and Finance | 2020 | 202005 | |
Collateral Eligibility of Corporate Debt in the Eurosystem |
Loriana Pelizzon, Max Riedel, Zorka Simon, Marti Subrahmanyam | 275 | Financial Markets, Macro and Finance, Systemic Risk Lab | 2020 | 202004 | |
Risk Pooling, Leverage, and the Business Cycle |
Pietro Dindo, Andrea Modena, Loriana Pelizzon | 271 | Financial Markets, Macro and Finance | 0 | 202005 | |
High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame? |
Mario Bellia, Kim Christensen, Aleksey Kolokolov, Loriana Pelizzon, Roberto Renò | 270 | Systemic Risk Lab, Financial Markets | 2020 | 202003 | |
Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution |
Christian Schlag, Julian Thimme, Rüdiger Weber | 265 | Financial Markets | 2020 | Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing | 202001 |
The Collateralizability Premium |
Hengije Ai, Jun E. Li, Kai Li, Christian Schlag | 264 | Financial Markets | 2019 | 201910 | |
Credit Scoring in SME Asset-Backed Securities: An Italian Case Study |
Andrea Bedin, Monica Billio, Michele Costola, Loriana Pelizzon | 262 | Financial Markets, Systemic Risk Lab | 2019 | credit scoring; probability of default; small and medium enterprises; assetbacked securities | 201910 |
Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case |
Monica Billio, Michele Costola, Loriana Pelizzon, Max Riedel | 261 | Systemic Risk Lab, Financial Markets | 2019 | Mortgages, Energy Eciency, Credit Risk | 201910 |
Horizontal Industry Relationships and Return Predictability |
Christian Schlag, Kailin Zeng | 256 | Financial Markets | 2019 | Connected industries, information flow, return predictability | 201908 |
The Anatomy of the Euro Area Interest Rate Swap Market |
Silvia Dalla Fontana, Marco Holz auf der Heide, Loriana Pelizzon, Martin Scheicher | 255 | Financial Markets, Systemic Risk Lab | 2019 | OTC derivatives, network analysis, interest rate risk, banking, risk management, hedging | 201908 |
Quasi-Dark Trading: The Effects of Banning Dark Pools in a World of Many Alternatives |
Thomas Johann, Talis Putnins, Satchit Sagade, Christian Westheide | 253 | Financial Markets | 2019 | 201901 | |
Optimists and Pessimists in (In)Complete Markets |
Nicole Branger, Patrick Konermann, Christian Schlag | 252 | Financial Markets | 2019 | 201906 | |
Belief Formation and Belief Updating under Ambiguity: Evidence from Experiments |
Wenhui Li, Christian Wilde | 251 | Financial Markets, Experiment Center | 2019 | ambiguity, learning strategy, belief updates, non-Bayesian updates, pessimism, laboratory experiments | 201906 |
High-Frequency Trading and Price Informativeness |
Jasmin Gider, Simon N. M. Schmickler, Christian Westheide | 248 | Financial Markets | 2019 | High-Frequency Trading, Price Efficiency, Information Acquisition, Information Production | 201903 |
Designated Market Makers: Competition and Incentives |
Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Darya Yuferova | 247 | Financial Markets, Systemic Risk Lab | 2019 | esignated Market Makers (DMMs), Liquidity Provision | 201903 |
Much Ado About Nothing: A Study of Differential Pricing and Liquidity of Short and Long Term Bonds |
Joost Driessen, Theo E. Nijman, Zorka Simon | 238 | Financial Markets, Systemic Risk Lab | 2018 | Sovereign Bonds, Term Structure of Interest Rates, Segmentation, Liquidity, Flight-to-safety, Credit Risk, Unconventional Monetary Policy | 201812 |
Statistical Inferences for Price Staleness |
Aleksey Kolokolov, Giulia Livieri, Davide Pirino | 236 | Financial Markets | 2018 | staleness, idle time, liquidity, zero returns, stable convergence | 201811 |
A Tale of One Exchange and Two Order Books: Effects of Fragmentation in the Absence of Competition |
Alejandro Bernales, Nicolas Garrido, Satchit Sagade, Marcela Valenzuela, Christian Westheide | 234 | Financial Markets | 2018 | Fragmentation, Competition, Liquidity, Price Efficiency | 201810 |
Liquidity Provider Incentives in Fragmented Securities Markets |
Benjamin Clapham, Peter Gomber, Jens Lausen, Sven Panz | 231 | Financial Markets | 2018 | Liquidity, Trading Volume, Market Fragmentation, Liquidity Provider Incentives, Transaction Costs | 201807 |
Lighting up the Dark: Liquidity in the German Corporate Bond Market |
Yalin Gündüz, Giorgio Ottonello, Loriana Pelizzon, Michael Schneider, Marti Subrahmanyam | 230 | Financial Markets, Systemic Risk Lab | 2018 | Corporate Bonds, WpHG, Liquidity, Transparency, OTC markets | 201809 |
Idiosyncratic Volatility Puzzle: The Role of Assets' Interconnections |
Roberto Panzica | 228 | Financial Markets, Systemic Risk Lab | 2018 | Idiosyncratic volatility puzzle; Networks; Expected Returns; Granger Causality | 201808 |
Recovery from Fast Crashes: Role of Mutual Funds |
Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova | 227 | Systemic Risk Lab, Data Center, Financial Markets | 2018 | Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital | 201807 |
Central Bank-Driven Mispricing |
Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno | 226 | Financial Markets, Macro and Finance, Systemic Risk Lab | 2018 | Central Bank Interventions, Liquidity, Sovereign Bonds, Futures Contracts, Arbitrage | 201808 |
Pricing Sin Stocks: Ethical Preference vs. Risk Aversion |
Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré | 216 | Financial Markets | 2018 | Asset Pricing, General Equilibrium, Sin Stocks | 201807 |
Volatility-of-Volatility Risk |
Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme | 210 | Financial Markets | 2018 | volatility of volatility, hedging errors, risk premiums | 201805 |
The Impact of Monetary Policy Interventions on the Insurance Industry |
Loriana Pelizzon, Matteo Sottocornola | 204 | Macro and Finance, Financial Markets, Systemic Risk Lab | 2018 | Event study, monetary policy surprise, unconventional monetary policy, conventional monetary policy, insurance industry | 201804 |
Circuit Breakers – A Survey among International Trading Venues |
Benjamin Clapham, Peter Gomber, Martin Haferkorn, Paul Jentsch, Sven Panz | 197 | Financial Markets | 2018 | 201802 | |
Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets |
Benjamin Clapham, Peter Gomber, Sven Panz | 196 | Financial Markets | 2018 | Circuit Breaker, Volatility Interruption, Market Fragmentation, High-Frequency Trading, Stock Market, Regulation, Liquidity | 201802 |
Managing Excess Volatility: Design and Effectiveness of Circuit Breakers |
Benjamin Clapham, Peter Gomber, Martin Haferkorn, Sven Panz | 195 | Financial Markets | 2018 | Circuit Breaker, Volatility Interruption, Volatility, Liquidity, Market Design | 201802 |
Global Temperature, R&D Expenditure, and Growth |
Michael Donadelli, Patrick Grüning, Marcus Jüppner, Renatas Kizys | 188 | Financial Markets | 2017 | Global Temperature, R&D, Welfare Costs | 201711 |
Level and Slope of Volatility Smiles in Long-Run Risk Models |
Nicole Branger, Paulo Rodrigues, Christian Schlag | 186 | Financial Markets, Systemic Risk Lab | 2017 | Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile | 201711 |
Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and Macroeconomics |
Patrick Grüning | 185 | Financial Markets | 2017 | Heterogeneous innovation, Technology spillover, Endogenous growth, Creative destruction, International finance | 201710 |
The Missing Piece of the Puzzle: Liquidity Premiums in Inflation-Indexed Markets |
Joost Driessen, Theo E. Nijman, Zorka Simon | 183 | Financial Markets | 2017 | Liquidity premium, liquidity risk, TIPS, inflation swaps, TIPS–Treasury puzzle | 201709 |
Coming Early to the Party |
Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova | 182 | Financial Markets, Systemic Risk Lab | 2017 | High-Frequency Traders (HFTs), Proprietary Trading, Opening Auction, Liquidity Provision, Price Discovery | 201709 |
Temperature Shocks and Welfare Costs |
Michael Donadelli, Marcus Jüppner, Max Riedel, Christian Schlag | 177 | Financial Markets | 2017 | Temperature shocks, long-run growth, asset prices, welfare costs, adaptation | 201708 |
International Capital Markets with Time-Varying Preferences |
Giuliano Curatola, Ilya Dergunov | 176 | Financial Markets, Household Finance | 2017 | Asset pricing, general equilibrium, heterogeneous agents, interdependent preferences, portfolio choice | 201708 |
Liquidity Premia in CDS Markets |
Christel Merlin Kuate Kamga, Christian Wilde | 173 | Financial Markets, Financial Intermediation | 2017 | CDS, liquidity | 201708 |
Systemic Risk for Financial Institutions of Major Petroleum-Based Economies: The Role of Oil |
Massimiliano Caporin, Michele Costola, Shawkat Hammoudeh, Ahmed Khalifa | 172 | Financial Markets, Financial Intermediation, Systemic Risk Lab | 2017 | Systemic Risk, Risk Measurement, VaR, ΔCoVaR, Oil, Financial Institutions, Petroleum-based Economies | 201711 |
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 |
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 | 2016 | CAPM, volatility, network, interconnections, systematic risk | 201612 |
Estimation and Model-Based Combination of Causality Networks |
Giovanni Bonaccolto, Massimiliano Caporin, Roberto Panzica | 165 | Financial Markets | 2017 | Granger causality, quantile causality, multi-layer network, network combination | 201701 |
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 | 201710 |
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 |
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 |
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 |
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 |
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, Systemic Risk Lab | 2016 | High-Frequency Traders (HFTs), Pre-Opening, Opening Call Auction, Price Discovery, Liquidity provision. | 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 |
Commodities, Financialization, and Heterogeneous Agents |
Nicole Branger, Patrick Grüning, Christian Schlag | 131 | Financial Markets | 2016 | Commodities, General Equilibrium, Heterogeneous Preferences, Financial Markets | 201601 |
Optimal Consumption and Portfolio Choice with Loss Aversion |
Giuliano Curatola | 130 | Financial Markets | 2016 | Loss-aversion, Habit-formation, Consumption-portfolio choice | 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 |
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 |
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 |
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 |
"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 |
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 |
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 |
Equilibrium Asset Pricing in Directed Networks |
Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag | 74 | Financial Markets, Systemic Risk Lab | 2014 | Dynamic Networks, Mutually Exciting Processes, Asset Pricing, General Equilibrium, Recursive Preferences | 201401 |
Peer Effects and Risk Sharing in Experimental Asset Markets |
Sascha Baghestanian, Paul Gortner, Joël van der Weele | 67 | Household Finance, Financial Markets, Experiment Center | 2014 | peer effects, laboratory experiments, risk taking, asset markets | 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 |
Measuring Ambiguity Aversion: A Systematic Experimental Approach |
Jan Pieter Krahnen, Peter Ockenfels, Christian Wilde | 55 | Financial Intermediation, Financial Markets, Transparency Lab, Experiment Center | 2014 | ambiguity, valuation discount, experimental economics | 201401 |
Anchoring in Experimental Asset Markets |
Sascha Baghestanian, Todd B. Walker | 54 | Financial Markets, Experiment Center | 2014 | Experimental Asset Markets, Anchoring, Bubbles | 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 |
Mutual Excitation in Eurozone Sovereign CDS |
Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon | 51 | Systemic Risk Lab, Financial Markets, Macro and Finance | 2014 | CDS, Sovereign risk, Systemic risk, Jumps, Feedback, Hawkes processes, Mutually exciting processes, Impulse-response | 201401 |
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 |
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 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 |
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 |
Financing Asset Growth |
Michael Brennan, Holger Kraft | 26 | Financial Markets | 2013 | 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 |
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 |
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 | 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 |
Policy Papers
Forschungsprojekte
| Publication Count | ||||||
|---|---|---|---|---|---|---|
| Financial Markets | Risk Pricing & Trading |
Matteo Bagnara, Nicole Branger, Mariano Massimiliano Croce, Robert F. Dittmar, Holger Kraft, Satchit Sagade, Christian Schlag, Ivan Shaliastovich, Julian Thimme, Rüdiger Weber | 2020 | Market microstructure, asset pricing, macrofinance, sustainable finance, Green bonds, ETF, systemic risk, intermediary asset pricing | 133101 | 0 |
| Financial Markets | ESG Factors and Climate Change for Credit Analysis and Rating |
Stefano Battiston, Monica Billio, Nuno Cassola, Vittoria Cerasi, Michele Costola, Enrica De Cian, Iva Hristova, Matteo Manera, Irene Monasterolo, Claudio Morana, Loriana Pelizzon | 2019 | 0 | ||
| Financial Markets | Algorithmic Discrimination |
Benjamin M. Abdel-Karim, Oliver Hinz, Nicolas Winfried Pfeuffer | 2019 | Algorithmic ,discrimination, data mining | 21430 | 0 |
| Financial Markets, Systemic Risk Lab | EMIR and MIFID II Regulatory Reform |
Mila Getmansky Sherman, Xu Liu, Loriana Pelizzon, Martin Scheicher, Zorka Simon, Haoxiang Zhu | 2019 | OTC market, Interest rate swaps, CCP, sovereign bond market | 22525 | 1 |
| Financial Markets | Internalization in a Post-MiFID 2 World |
Satchit Sagade, Erik Theissen, Christian Westheide | 2019 | Internalization; Liquidity; Price Efficiency; Cream-Skimming; MiFID 2; Best Execution; High-Frequency Trading | 21428 | 0 |
| Financial Markets, Experiment Center | Experimental Asset Markets - Price Formation in the Presence of Ambiguity |
Wenhui Li, Peter Ockenfels, Christian Wilde | 2019 | Experimental asset markets, information transmission, price formation, ambiguity | 133102 | 1 |
| Financial Markets | A New Look at Market Volatility and Market Risk Premia |
Constantin Hanenberg, Christian Schlag, Ivan Shaliastovich, Amir Yaron | 2019 | Idiosyncratic market risk, expected returns, option prices, present-value model | 21427 | 0 |
| Financial Markets | Pricing Sin Stocks: Ethical Preference vs. Risk Aversion |
Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré | 2018 | Asset Pricing, General Equilibrium, Sin Stocks, ethical preferences | 21429 | 1 |
| Financial Markets | The FOMC Risk Shift |
Tim Alexander Kroencke, Maik Schmeling, Andreas Schrimpf, Mengjie Shi | 2018 | monetary policy, policy shocks, risk premia, risk appetite, fund flows | 21426 | 0 |
| Financial Markets | Information in Option Prices |
Milad Goodarzi, Christian Schlag, Rüdiger Weber | 2018 | Option prices, information, equilbirium model, preferences | 21425 | 1 |
| Financial Markets | MiFID II: A First Empirical Evaluation of its Effects on Equity Markets |
Peter Gomber, Thomas Johann, Jan Pieter Krahnen, Francesco Poli, Satchit Sagade, Erik Theissen, Christian Westheide | 2018 | 21620 | 1 | |
| Financial Markets | Optimism, Pessimism, Disagreement and Stock Returns |
Giuliano Curatola, Ilya Dergunov, Christian Schlag | 2018 | eneral equilibrium; preference interdependence; international capital markets; portfolios. | 21423 | 0 |
| Financial Markets, Systemic Risk Lab | Econometric Methods for High-Frequency Financial Data Analysis |
Aleksey Kolokolov, Davide Pirino, Roberto Renò | 2018 | High-frequency data, continuous-time asset price modelling, semimartingale hypothesis, jump activity, flat trading | 21424 | 1 |
| Systemic Risk Lab, Data Center, Financial Markets | Digging into High Frequency Data: Present and Future Risks and Opportunities |
Mario Bellia, Patrice Fontaine, Mila Getmansky Sherman, Terrence John Hendershott, Aleksey Kolokolov, Andrea Modena, Loriana Pelizzon, Francesco Poli, Satchit Sagade, Peter Sarlin, Michael Schneider, Jean-Pierre Zigrand | 2017 | 22590 | 1 | |
| Household Finance, Financial Markets | Preference Heterogeneity, Non-Price-Taking Behavior and Asset Prices |
Giuliano Curatola, Ilya Dergunov, Alessandro Gioffré, Roberto Panzica | 2017 | Networks, social interactions, asset prices | 21650 | 0 |
| Financial Markets | Competition-Enhancing Changes in Secondary Corporate Bonds |
Satchit Sagade, Christian Westheide | 2017 | competition, corporate bond, liquidity | 21640 | 1 |
| Financial Markets | The Informational Role of Inflation for Real Asset Prices |
Ilya Dergunov, Christoph Meinerding, Christian Schlag | 2017 | Inflation, recursive preferences, filtering, equilibrium asset pricing | 21422 | 0 |
| Financial Markets | The Dynamics of (De-)Listing Decisions – The Impact of Regulatory Changes and Economic Policy Events in Germany 1870-1933 |
Andrej Gill, Marius Liebald, Uwe Walz | 2017 | Corporate Governance, Going Public, Going Private, Historical Data, Regulation | 21225 | 0 |
| Financial Markets | Evaluation of Bidding Groups in First-Price Auctions |
Klaus Gugler, Michael Weichselbaumer, Christine Zulehner | 2016 | 21004 | 0 | |
| Financial Markets | M&A(dvertising) |
Alexander Hillert, Anja Kunzmann, Stefan Ruenzi | 2016 | mergers and acquisitions, advertising, investor attention, overvaluation, managerial opportunistic behavior | 21124 | 0 |
| Financial Markets | Globalization and International Financial Markets |
Christoph Meinerding, 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, Patrick Grüning, Renatas Kizys, Max Riedel, Christian Schlag | 2016 | 21920 | 1 | |
| 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 and Finance, Systemic Risk Lab | Quantitative Easing and Financial (In)Stability |
Jan Pieter Krahnen, Jun E. Li, Xu Liu, Loriana Pelizzon, Mihaela-Simina Puscasu, Christian Schlag, Sascha Steffen, Matthias Thiemann | 2016 | 21480 | 1 | |
| Financial Markets, Financial Intermediation | The Impact of Introducing Intraday Auctions on LSE |
Peter Gomber, Satchit Sagade, Christian Westheide | 2016 | 21620 | 1 | |
| Financial Markets, Macro and 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 |
Nils Bertschinger, Roberto Panzica, Loriana Pelizzon, Zorka Simon, Tatiana von Landesberger | 2016 | 21610 | 1 | |
| Financial Markets, Household Finance | Bequeathing Illiquid Assets across Generations in an Aging Society |
Holger Kraft | 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, Aleksey Kolokolov, Roberto Panzica, Loriana Pelizzon, Zorka Simon | 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 | |
| Financial Markets | Innovations in Secondary Markets and their Impact on Market Quality |
Alejandro Bernales, Jasmin Gider, Peter Gomber, Martin Haferkorn, Satchit Sagade, Stefan Scharnowski, Simon N. M. Schmickler, 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, Jan Viebig, Christian Westheide | 2016 | 21620 | 1 | |
| Financial Markets, Systemic Risk Lab | The Impact of Unconventional Monetary Policies on European Financial Markets (T4) |
Massimiliano Caporin, Loriana Pelizzon, Alberto Plazzi, Roberto Rigobon | 2016 | 21630 | 1 | |
| Macro and Finance, Financial Markets, Experiment Center | Bailouts and Financial Stability: Experimental Evidence |
Paul Gortner, Baptiste Massenot | 2016 | 21650 | 1 | |
| Financial Markets, Systemic Risk Lab | The Impact of QE Interventions on Market Liquidity and Limits to Arbitrage |
Loriana Pelizzon, Michael Schneider, Marti Subrahmanyam, Davide Tomio, Jun Uno, Clara Vega | 2016 | 21630 | 1 | |
| Financial Markets, Experiment Center | Experimental Asset Markets – Regulation and Design of Fragmented Markets |
Peter Ockenfels, Christian Wilde | 2016 | 21620 | 1 | |
| Macro and Finance, Financial Intermediation, Law and Finance, Financial Markets, Experiment Center | 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, Stefan Scharnowski, 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 | Globally Dangerous Diseases: Bad News for Main Street, Good News for Wall Street? |
Michael Donadelli, Renatas Kizys, Max Riedel | 2015 | 1 | ||
| Financial Markets | Which Market Integration Measure? |
Monica Billio, Michael Donadelli, Antonio Paradiso, Max Riedel | 2015 | 1 | ||
| Financial Markets | Investment-Specific Shocks, Business Cycles and Asset Prices |
Giuliano Curatola, Michael Donadelli, Patrick Grüning, Christoph Meinerding | 2015 | 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 | 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, Kailin Zeng | 2014 | 11422 | 1 | |
| Financial Markets | Financialization in Commodity Markets |
Nicole Branger, Patrick Grüning, Max Riedel, Christian Schlag | 2014 | financialization, commodities, heterogenous agents | 11427 | 1 |
| Experiment Center, Financial Markets | Excessive Risk Taking, Compensation Schemes and Financial Market Stability |
Sascha Baghestanian, Paul Gortner, Baptiste Massenot | 2014 | Compensation Schemes, Bubbles, Risk Seeking, Liquidity, Experimental Asset Markets | 11226 | 1 |
| Experiment Center, Financial Markets | Non-Standard Preferences in Experimental Asset Markets |
Matthias Blonski, Paul Gortner, Heiner Schumacher, Joël van der Weele | 2014 | laboratory experiments, experimental asset markets, peer effects, social preferences | 11231 | 1 |
| Financial Markets | The Continuous-Time Limit of Recursive Utility |
Christoph Hambel, Holger Kraft, Frank Thomas Seifried, Sebastian Wagner | 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, Christopher Scheins, 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 |
Aktuelles Forschungsteam
| Forscher | Position |
|---|---|
| Bagnara, Matteo | Research Assistant |
| Billio, Monica | External Researcher, SAFE Fellow |
| Branger, Nicole | External Researcher, SAFE Fellow |
| Costola, Michele | External Researcher |
| Curatola, Giuliano | External Researcher, Research Affiliate |
| Donadelli, Michael | External Researcher, Research Affiliate |
| Gomber, Peter | External Researcher, SAFE Fellow |
| Hinz, Oliver | Senior Researcher, SAFE Fellow |
| Kolokolov, Aleksey | External Researcher |
| Kraft, Holger | External Researcher, SAFE Fellow |
| Krahnen, Jan Pieter | Senior Researcher |
| Latino, Carmelo | Research Assistant |
| Liu, Xu | Research Assistant |
| Ockenfels, Peter | Senior Researcher, SAFE Fellow |
| Pelizzon, Loriana | Senior Researcher |
| Sagade, Satchit | Junior Researcher |
| Schlag, Christian | Senior Researcher |
| Schmeling, Maik | External Researcher, SAFE Fellow |
| Shaliastovich, Ivan | External Researcher, SAFE Fellow |
| Subrahmanyam, Marti | External Researcher, SAFE Fellow |
| Theissen, Erik | External Researcher, SAFE Fellow |
| Uno, Jun | External Researcher, SAFE Fellow |
| Westheide, Christian | External Researcher, Research Affiliate |
| Wilde, Christian | External Researcher, Research Affiliate |