Financial Markets
The department Financial Markets is studying the functioning and transition of financial markets which today are essentially determined by technology and regulation. Research issues arise on the consequences for pricing (asset pricing), competition, liquidity in secondary markets, market stability, and systemic risk as well as for consumer protection. Specific regulatory measures, such as the EU Directive on Markets and Financial Instruments MiFID II, or secular trends, for example, demographic change or climate change affect the functioning of the markets or the investment decisions of investors and are therefore also part of the department's research.
Department Director
(acting Department Director)
Publications
| 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 |
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 |
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 | |
| 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
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 |
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 |
Financing Asset Growth |
Michael Brennan, Holger Kraft | 26 | Financial Markets | 2013 | 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 and 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, Experiment Center | 2014 | Experimental Asset Markets, Anchoring, Bubbles | 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 |
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, Joël van der Weele | 67 | Household Finance, Financial Markets, Experiment Center | 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, Systemic Risk Lab | 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 |
"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, Systemic Risk Lab | 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 | 201710 |
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 |
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 |
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 Khalifa | 172 | Financial Markets, Financial Intermediation, Systemic Risk Lab | 2017 | Systemic Risk, Risk Measurement, VaR, ΔCoVaR, Oil, Financial Institutions, Petroleum-based Economies | 201711 |
Liquidity Premia in CDS Markets |
Christel Merlin Kuate Kamga, Christian Wilde | 173 | Financial Markets, Financial Intermediation | 2017 | CDS, liquidity | 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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
Circuit Breakers – A Survey among International Trading Venues |
Benjamin Clapham, Peter Gomber, Martin Haferkorn, Paul Jentsch, Sven Panz | 197 | Financial Markets | 2018 | 201802 | |
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 |
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 |
Volatility-of-Volatility Risk |
Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme | 210 | Financial Markets | 2018 | volatility of volatility, hedging errors, risk premiums | 201805 |
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 |
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 |
Liquidity Provision: Normal Times vs Crashes |
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 |
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 |
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 |
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 |
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 |
Statistical Inferences for Price Staleness |
Aleksey Kolokolov, Giulia Livieri, Davide Pirino | 236 | Financial Markets | 2018 | staleness, idle time, liquidity, zero returns, stable convergence | 201811 |
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 |
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 |
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 |
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 |
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 | |
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 |
Horizontal Industry Relationships and Return Predictability |
Christian Schlag, Kailin Zeng | 256 | Financial Markets | 2019 | Connected industries, information flow, return predictability | 201908 |
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 |
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 |
The Collateralizability Premium |
Hengije Ai, Jun E. Li, Kai Li, Christian Schlag | 264 | Financial Markets | 2019 | 201910 | |
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 |
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 | |
Risk Pooling, Leverage, and the Business Cycle |
Pietro Dindo, Andrea Modena, Loriana Pelizzon | 271 | Financial Markets, Macro and Finance | 0 | 202004 |
Policy Papers
| September 2019 |
What is Libra? Understanding Facebook´s Currency |
Maik Schmeling | Financial Markets | Libra, cryptocurrency, currency board | 2019-09 |
| January 2019 |
Target Balances and Financial Crises |
Jan Pieter Krahnen | Financial Markets | Target 2, payment system, central banks, Eurosystem | 2019-01 |
| August 2018 |
Über Scheinriesen: Was TARGET-Salden tatsächlich bedeuten Eine finanzökonomische Überprüfung |
Jan Pieter Krahnen | Financial Markets | TARGET-Salden, TARGET2, europäischer Zahlungsverkehr, Zentralbankensystem, Eurosystem | 2018-08 |
| May 2018 |
Why the Initial Regulation of Financial Innovations is Decisive − Regulatory Arbitrage and Off-Balance-Sheet Leasing in Germany |
Jan Friedrich, Matthias Thiemann | Financial Markets | financial innovations, regulation, regulatory arbitrage, leasing | 2018-05 |
| March 2018 |
Governing Cryptocurrencies through Forward Guidance? |
Matthias Goldmann, Grygoriy Pustovit | Financial Markets | cryptocurrencies, blockchain, distributed ledger technology, regulation, forward guidance | 2018-03 |
| February 2018 |
Financial Stability in the EU: A Case for Micro Data Transparency |
Johannes Kasinger, Loriana Pelizzon | Financial Markets, Systemic Risk Lab | micro data transparency, financial stability, financial market data | 2018-02 |
| December 2017 |
Systemic Risk in Insurance: Towards a new Approach |
Elia Berdin, Matteo Sottocornola | Financial Markets | systemic risk, macroprudential franework, insurance, financial stability | 2017-12 |
| 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 Intermediation, Financial Markets | financial resilience, financial markets regulation, banking regulation | 2017-03 |
| December 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, Dodd-Frank Act | 2017-12 |
| January 2017 |
SME Funding Without Banks? On the Interplay of Banks and Markets |
Günter Franke, Jan Pieter Krahnen | Financial Intermediation, 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, Systemic Risk Lab | 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 Intermediation, 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 Thomas 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 |
Ongoing Research Projects
Current Research Team
| Researcher | Position |
|---|---|
| Billio, Monica | External Researcher, SAFE Fellow |
| Branger, Nicole | External Researcher, SAFE Fellow |
| Curatola, Giuliano | External Researcher |
| Donadelli, Michael | External Researcher, Research Affiliate |
| Gomber, Peter | External Researcher |
| Hinz, Oliver | Senior Researcher, SAFE Fellow |
| Kraft, Holger | External Researcher |
| Krahnen, Jan Pieter | Senior Researcher |
| Latino, Carmelo | Research Assistant |
| Ockenfels, Peter | Senior Researcher, SAFE Fellow |
| Pelizzon, Loriana | Senior Researcher |
| Sagade, Satchit | Junior Researcher |
| Schlag, Christian | Senior Researcher |
| Schmeling, Maik | External Researcher |
| 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 |