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.


Publications

Published Title Author/s Program Area Keywords Published
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

Title Author/s No. Program 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 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

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

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 202006

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

Does Monetary Policy Impact International Market Co-Movements?

Massimiliano Caporin, Loriana Pelizzon, Alberto Plazzi 276 Financial Markets, Macro and Finance 2020 202005

Policy Papers

Year Title Author/s Program Area Keywords Year
May 2020

Pandemic Insurance through Pandemic Partnership Bonds: A Fully Funded Insurance Solution in a Public Private Partnership

Helmut Gründl, Fabian Regele Financial Markets insurance, pandemic, corona crisis, public private partnership, pandemic partnership bond, alternative risk transfer 2020-05
May 2020

Priorities for the CMU agenda

Jan Pieter Krahnen, Loriana Pelizzon Financial Markets CMU, High-Level-Forum, Interim Report 2020-05
April 2020

Corona and Financil Stability 4.0: Implementing a European Pandemic Equity Fund

Arnoud Boot, Elena Carletti, Hans-Helmut Kotz, Jan Pieter Krahnen, Loriana Pelizzon, Marti Subrahmanyam Financial Markets Coronavirus, Risk sharing, Financial stability, Policy measures in the EU, Equity fund 2020-04
March 2020

Corona and Financial Stability 3.0: Try equity -risk sharing for companies, large and small

Arnoud Boot, Elena Carletti, Hans-Helmut Kotz, Jan Pieter Krahnen, Loriana Pelizzon, Marti Subrahmanyam Financial Markets Coronavirus, Financial stability, Risk sharing, Policy measures in the EU 2020-03
March 2020

Corona and Financial Stability 2.0: Act jointly now, but also think about tomorrow

Arnoud Boot, Elena Carletti, Hans-Helmut Kotz, Jan Pieter Krahnen, Loriana Pelizzon, Marti Subrahmanyam Financial Markets coronavirus, financial stability, systemic risk, strategies 2020-03
March 2020

Zur Reform der Einlagensicherung: Elemente einer anreizkompatiblen Europäischen Rückversicherung

Klaus Adam, Thiess Büttner, Joachim Hennrichs, Jan Pieter Krahnen, Jörg Rocholl Financial Markets Einlagensicherung, EDIS, Bankenunion 2020-03
March 2020

The Coronavirus and Financial Stability

Arnoud Boot, Elena Carletti, Rainer Haselmann, Hans-Helmut Kotz, Jan Pieter Krahnen, Loriana Pelizzon, Stephen Schaefer, Marti Subrahmanyam Financial Markets coronavirus, financial stability, banking, strategies 2020-03
January 2020

What are the main factors for the subdued profitability of significant banks in the Banking Union, and is the ECB’s supervisory response conclusive and exhaustive?

Tatiana Farina, Jan Pieter Krahnen, Loriana Pelizzon, Mark Wahrenburg Financial Markets Bank Profitability, Supervisory Guidance, Banking Union, Financial regulation 2020-01
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

Category Project Researcher Project Duration Keywords Project ID 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

Current Research Team

Researcher 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