Financial Markets

The department Financial Markets is studying the functioning, resilience and transition of financial markets which today are essentially determined by exogenous and endogenous shocks, risk spillovers (e.g. the Coronavirus crisis), monetary policy, technology and regulation. Research issues arise on the consequences for pricing (asset pricing), competition, liquidity in secondary markets, market stability, and systemic and sovereign risk as well as for consumer protection. Specific regulatory measures, such as the EU Directive on Markets and Financial Instruments MiFID II, EMIR, 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. The same is true for new digital developments, such as fintechs, crypto-assets or blockchain technology that might impair the functioning of the financial markets and contribute to systemic and sovereign risk.

Loriana Pelizzon just brought in her expertise in the , which addresses regulatory changes in the European crisis management and deposit insurance framework following the recent troubles in the US and Suisse banking markets.

Loriana Pelizzon will lead a session on Sustainable Finance at the 2023 (CEBRA) from 5 to 7 July 2023, in New York City, USA. The conference will feature 37 sessions and include a poster session, aimed at early-career women in Economics.


The department is (co-)organizing the following conference series:

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Publications

Author/sTitleProgram AreaTypePublishedKeywords
Yalin Gündüz, Giorgio Ottonello, Loriana Pelizzon, Michael Schneider, Marti Subrahmanyam Lighting up the Dark: Liquidity in the German Corporate Bond Market
fortcoming in Journal of Fixed Income
Financial Markets, Systemic Risk Lab Published Paper2023Corporate Bonds, WpHG, Liquidity, Transparency, OTC markets
Gill Segal, Ivan Shaliastovich Uncertainty, Risk, and Capital Growth
SAFE Working Paper No. 388
Financial Markets SAFE Working Paper2023
Michele Costola, Katia Vozian Pricing Climate Transition Risk: Evidence from European Corporate CDS
SAFE Working Paper No. 387
Financial Markets SAFE Working Paper2023
Ignazio Angeloni The digital euro: A precautionary device, not a deus ex machina
Financial Markets Policy Paper2023Digital, Euro, Financial Stability, Monetary Policy, Central Bank, CBDC, Banks
Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide Spoilt for Choice: Order Routing Decisions in Fragmented Equity Markets
forthcoming in Journal of Financial Markets
Financial Markets, Systemic Risk Lab Published Paper2023Dark Trading, Fragmentation, Anonymity, Immediacy
Jan Pieter Krahnen, Christian Wilde Skin-in-the-Game in ABS Transactions: A Critical Review of Policy Options
forthcoming in Journal of Financial Stability
Financial Markets Published Paper2023Structured finance, ABS, STS (simple, transparent, and standardized securitizations), regulation, retention, Dodd-Frank Act
Florian Heider, Jan Pieter Krahnen, Loriana Pelizzon, Jonas Schlegel, Tobias Tröger European lessons from Silicon Valley Bank resolution: A plea for a comprehensive demand deposit protection scheme (CDDPS)
Policy Letter No. 98
Financial Intermediation, Financial Markets Policy Paper2023European Deposit protection scheme
Fincap Team Non-Standard Errors
forthcoming in Journal of Finance
Financial Intermediation, Financial Markets Published Paper2023non-standard errors, multi-analyst approach, liquidity
Alexander Hillert, Alexandra Niessen-Ruenzi, Stefan Ruenzi Mutual Fund Shareholder Letters: Flows, Performance, and Managerial Behavior
SAFE Working Paper No. 380
Financial Markets, Data Center SAFE Working Paper2023
Anastasia Kotovskaia, Tobias Tröger National Interests and Supranational Resolution in the European Banking Union
forthcoming in European Business Law Review
Financial Intermediation, Law and Finance, Financial Markets Published Paper2023SRB, SRF, bank resolution, banking union, bail-in, ESM, national interest, political economy, bureaucrats’ incentives
Alessandro Pollastri, Paulo Rodrigues, Christian Schlag, Norman Seeger A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks
forthcoming in Journal of Empirical Finance
Financial Markets Published Paper2023
Ilya Dergunov, Christoph Meinerding, Christian Schlag Extreme Inflation and Time-Varying Expected Consumption Growth
forthcoming in Management Science
Financial Markets Published Paper2023
Michele Costola, Oliver Hinz, Michael Nofer, Loriana Pelizzon Machine Learning Sentiment Analysis, COVID-19 News and Stock Market Reactions
Research in International Business and Finance
Financial Markets Published Paper2023COVID-19 news, Sentiment Analysis, Stock Markets
Oliver Hinz, Nora Jansen Inferring Opinion Leadership from Digital Footprints
Journal of Business Research
Financial Markets Published Paper2022
Oliver Hinz, Cristina Mihale-Wilson, Christof Weinhardt, Wil van der Aalst Corporate Digital Responsibility - Relevance and Opportunities for Business and Information Systems Engineering
Business & Information Systems Engineering
Financial Markets Published Paper2022
Oliver Hinz, Andreas Lanz, Christian Schlereth, Simon Stolz, Michael Weiler Social Capital Accumulation Through Social Media Networks: Evidence from a Randomized Field Experiment and Individual-Level Panel Data
Management Information Systems Quarterly (MISQ)
Financial Markets Published Paper2022
Oliver Hinz How Do Recommender Systems Lead to Consumer Purchases? A Causal Mediation Analysis of a Field Experiment
Information Systems Research
Financial Markets Published Paper2022
Valerie Carl, Oliver Hinz, Timothy Zilcher Corporate Digital Responsibility and the Current Corporate Social Responsibility Standard: An Analysis of Applicability
Open Identity Summit 2022. Bonn: Gesellschaft für Informatik e.V..
Financial Markets Published Paper2022
Vanya Horneff, Raimond Maurer, Olivia S. Mitchell How Would 401(k) ‘Rothification’ Alter Saving, Retirement Security, and Inequality?
forthcoming in Journal of Pension Economics & Finance
Financial Markets Published Paper2023
Alessandro Pollastri, Paulo Rodrigues, Christian Schlag, Norman Seeger A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks
SAFE Working Paper No. 372
Financial Markets SAFE Working Paper2022 Jump-diffusion models; individual stocks; Markov Chain Monte Carlo
Mariano Massimiliano Croce, Tatyana Marchuk, Christian Schlag The Leading Premium
SAFE Working Paper No. 371
Financial Markets SAFE Working Paper2022
Vanya Horneff, Raimond Maurer, Olivia S. Mitchell How Would 401(k) ‘Rothification’ Alter Saving, Retirement Security, and Inequality?
SAFE Working Paper No. 368
Financial Markets SAFE Working Paper2022
Micha Bender, Benjamin Clapham, Peter Gomber, Jens Lausen Drivers and Effects of Stock Market Fragmentation - Insights on SME Stocks
SAFE Working Paper No. 367
Financial Markets SAFE Working Paper2022Market Microstructure, Market Fragmentation, Securities Market Regulation, Market Quality, SME Trading
Thorsten Beck, Jan Pieter Krahnen, Philippe Martin, Franz Mayer, Jean Pisani-Ferry, Tobias Tröger, Nicolas Véron, Beatrice Weder di Mauro, Jeromin Zettelmeyer Completing the banking union: Economic requirements and legal conditions
White Paper No. 93
Financial Markets Policy Paper2022Banking Union, Legal Reforms
Satchit Sagade, Stefan Scharnowski, Christian Westheide Broker Colocation and the Execution Costs of Customer and Proprietary Orders
SAFE Working Paper No. 366
Financial Markets SAFE Working Paper2022
Monica Billio, Michele Costola, Loriana Pelizzon, Max Riedel Creditworthiness and Buildings’ Energy Efficiency in the Italian Mortgage Market
Climate Investing: New Strategies and Implementation Challenges
Financial Markets Published Paper2023
Tatiana Farina, Jan Pieter Krahnen, Irene Mecatti, Loriana Pelizzon, Jonas Schlegel, Tobias Tröger Is there a ‘retail challenge’ to banks’ resolvability? What do we know about the holders of bail-inable securities in the Banking Union?
White Paper No. 92
Financial Markets Policy Paper2022Banking Union, Bailin, Retail Challenge
Jannis Bischof, Rainer Haselmann, Tobias Tröger Monitoring Complex Financial Instruments in Banks’ Balance Sheets
White Paper No. 91
Financial Markets Policy Paper2022Bank's Balance Sheets, Complex Financial Instruments
Rachel Nam Open Banking and Customer Data Sharing: Implications for FinTech Borrowers
SAFE Working Paper No. 364
Financial Markets SAFE Working Paper2022
Matteo Bagnara Asset Pricing and Machine Learning: A Critical Review
forthcoming in Journal of Economic Surveys
Financial Markets Published Paper2023
Alejandro Bernales, Nicolas Garrido, Satchit Sagade, Marcela Valenzuela, Christian Westheide Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk
forthcoming in Journal of Financial and Quantitative Analysis
Financial Markets Published Paper2023Fragmentation, Competition, Liquidity, Price Efficiency
Stephan Jank, Emanuel Moench, Michael Schneider Safe Asset Shortage and Collateral Reuse
SAFE Working Paper No. 355
Financial Markets SAFE Working Paper2022
Monica Billio, Michele Costola, Loriana Pelizzon, Max Riedel Creditworthiness and buildings’ energy efficiency in the Italian mortgage market
SAFE Working Paper No. 352
Financial Markets SAFE Working Paper2022
Andreas Nölke The weaponization of global payment infrastructures: A strategic dilemma
White Paper No. 89
Financial Markets, Policy Center Policy Paper2022Ukraine, Russia, Sanctions, SWIFT
Massimiliano Caporin, Michele Costola Time-Varying Granger Causality Tests for Applications in Global Crude Oil Markets: A Study on the DCC-MGARCH Hong Test
Energy Economics
Financial Markets Published Paper2022Granger Causality, Hong test, DCC-GARCH, Oil market, COVID-19
Ruggero Jappelli, Konrad Lucke, Loriana Pelizzon Price and Liquidity Discovery in European Sovereign Bonds and Futures
SAFE Working Paper No. 350
Financial Markets SAFE Working Paper2022Fixed Income, Limits to Arbitrage, Market Liquidity
Steffen Eibelshäuser, Fabian Smetak Frequent Batch Auctions and Informed Trading
SAFE Working Paper No. 344
Household Finance, Financial Markets SAFE Working Paper2022
Ignazio Angeloni, Christopher Daase, Nicole Deitelhoff, Matthias Goldmann, Jan Pieter Krahnen, Stefan Kroll, Carl-Georg Luft, Andreas Nölke, Anton Peez, Loriana Pelizzon Designing a rational sanctioning strategy
Policy Letter No. 95
Financial Markets Policy Paper2022SWIFT, Russian Sanctions
Anastasia Kotovskaia, Tobias Tröger National Interests and Supranational Resolution in the European Banking Union
SAFE Working Paper No. 340
Financial Intermediation, Law and Finance, Financial Markets SAFE Working Paper2022SRB, SRF, bank resolution, banking union, bail-in, ESM, national interest, political economy, bureaucrats’ incentives
Mariano Massimiliano Croce, Tatyana Marchuk, Christian Schlag The Leading Premium
forthcoming in Review of Financial Studies
Financial Markets Published Paper2023
Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino, Loriana Pelizzon Sustainable Finance: A journey toward ESG and climate risk
SAFE Working Paper No. 349
Financial Markets SAFE Working Paper2022Environmental, social, and governance factors (ESG); credit risk; debt cost; equity cost; sovereign bonds; portfolio management
Matteo Bagnara, Ruggero Jappelli Liquidity Derivatives
SAFE Working Paper No. 358
Financial Markets SAFE Working Paper2022Asset Pricing, Market Liquidity, Liquidity Risk.
Pietro Dindo, Andrea Modena, Loriana Pelizzon Risk Pooling, Intermediation Efficiency, and the Business Cycle
Journal of Economic Dynamics & Control
Financial Markets, Macro Finance Published Paper2022Amplification, business cycle, efficiency, dampening, restricted market participation, risk pooling
Gianluca Anese, Marco Corazza, Michele Costola, Loriana Pelizzon Impact of Public News Sentiment on Stock Market Index Return and Volatility
forthcoming in Computational Management Science
Financial Markets Published Paper2023Public financial news, Stock market, NLP, Dictionary, LSTM neural net- works, Investor sentiment, S&P 500
Ilya Dergunov, Christoph Meinerding, Christian Schlag Extreme Inflation and Time-Varying Expected Consumption Growth
SAFE Working Paper No. 334
Financial Markets SAFE Working Paper2022
Joost Driessen, Theo E. Nijman, Zorka Simon A Simple Approach to Estimate Long-Term Interest Rates
forthcoming in Journal of Pension Economics and Finance
Financial Markets, Systemic Risk Lab Published Paper2023Sovereign Bonds, Term Structure of Interest Rates, Segmentation, Liquidity, Flight-to-safety, Credit Risk, Unconventional Monetary Policy
Ruggero Jappelli, Loriana Pelizzon, Alberto Plazzi The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times
SAFE Working Paper No. 331
Financial Markets SAFE Working Paper2021
Giovanni Bonaccolto, Massimiliano Caporin, Roberto Panzica Estimation and Model-Based Combination of Causality Networks
Journal of Empirical Finance
Financial Markets Published Paper2019Granger causality, quantile causality, multi-layer network, network combination
Michael Donadelli, Patrick Grüning Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare
The North American Journal of Economics and Finance
Financial Markets Published Paper2021Endogenous growth, Asset pricing, Government, Fiscal policy, Heterogeneous innovation
Michael Donadelli, Patrick Grüning, Marcus Jüppner, Renatas Kizys Global Temperature, R&D Expenditure, and Growth
Energy Economics
Financial Markets Published Paper2021Global Temperature, R&D, Welfare Costs
Benjamin Clapham, Peter Gomber, Michael Siering Popular News Are Relevant News! How Investor Attention Affects Algorithmic Decision-Making and Decision Support in Financial Markets
Information Systems Frontiers
Financial Markets Published Paper2021
Micha Bender, Benjamin Clapham, Peter Gomber, Jascha-Alexander Koch To Bundle or Not to Bundle? A Review of Soft Commissions and Research Unbundling
Financial Analysts Journal
Financial Markets Published Paper2021
Micha Bender, Tino Cestonaro, Peter Gomber, Jascha-Alexander Koch Research Unbundling and COVID-19: Will Europe's Capital Markets Recovery Package Help?
Journal of Investing
Financial Markets Published Paper2021
Fincap Team, Jan Pieter Krahnen, Loriana Pelizzon, Christian Westheide Non-Standard Errors
SAFE Working Paper No. 327
Financial Intermediation, Financial Markets SAFE Working Paper2021non-standard errors, multi-analyst approach, liquidity
Wenhui Li, Peter Ockenfels, Christian Wilde The Effect of Ambiguity on Price Formation and Trading Behavior in Financial Markets
SAFE Working Paper No. 326
Financial Markets SAFE Working Paper2021ambiguity, financial market, market price, volatility, trading activity, bid- ask spread, market-based measure of ambiguity, laboratory experiment
Monica Billio, Bertrand B. Maillet, Loriana Pelizzon A Meta-Measure of Performance Related to Both Investors and Investments Characteristics
Annals of Operations Research
Financial Markets Published Paper2022
Katja Langenbucher, Loriana Pelizzon Short Selling – On Ethics, Politics, and Culture
Zeitschrift für Bankrecht und Bankwirtschaft
Financial Markets Published Paper2021
Jan Pieter Krahnen, Jörg Rocholl, Marcel Thum A primer on green finance: From wishful thinking to marginal impact
White Paper No. 87
Financial Markets Policy Paper2021Green Finance, Climate Change, Sustainability, Taxonomy, ESG
Massimiliano Caporin, Michele Costola Time-Varying Granger Causality Tests for Applications in Global Crude Oil Markets: A Study on the DCC-MGARCH Hong Test
SAFE Working Paper No. 324
Financial Markets SAFE Working Paper2021Granger Causality, Hong test, DCC-GARCH, Oil market, COVID-19
Gianluca Anese, Marco Corazza, Michele Costola, Loriana Pelizzon Impact of Public News Sentiment on Stock Market Index Return and Volatility
SAFE Working Paper No. 322
Financial Markets SAFE Working Paper2021Public financial news, Stock market, NLP, Dictionary, LSTM neural net- works, Investor sentiment, S&P 500
Prioritäten für die Bundestagswahl 2021 im Finanzbereich
Policy Letter No. 91
Financial Markets Policy Paper2021Klimawandel, Green Finance, Digitalisierung, Finanzstabilität, Bankenunion, Kapitalmarktunion, Altersversorgung
Erik Theissen, Christian Westheide Call of Duty: Designated Market Maker Participation in Call Auctions
SAFE Working Paper No. 319
Financial Markets SAFE Working Paper2021
Michele Costola, Matteo Iacopini, Carlo R.M.A. Santagiustina On the “Mementum” of Meme Stocks
Economics Letters
Financial Markets Published Paper2021Meme stocksSocial mediaSocial tradingCointegrationRegime switching
Volker Flögel, Christian Schlag, Claudia Zunft Momentum-Managed Equity Factors
forthcoming in Journal of Banking and Finance
Financial Markets Published Paper2023factor timing, time series momentum, anomalies
Volker Flögel, Christian Schlag, Claudia Zunft Momentum-Managed Equity Factors
SAFE Working Paper No. 317
Financial Markets SAFE Working Paper2021factor timing, time series momentum, anomalies
Christian Mücke, Loriana Pelizzon, Vincenzo Pezone, Anjan Thakor The Carrot and the Stick: Bank Bailouts and the Disciplining Role of Board Appointments
SAFE Working Paper No. 316
Financial Markets SAFE Working Paper2021Bank Bailout, TARP, Capital Purchase Program, Dividend Pay- ments, Board Appointments, Bank Recapitalization
Monica Billio, Michele Costola, Loriana Pelizzon, Max Riedel Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case
Journal of Real Estate Finance and Economics
Financial Markets, Systemic Risk Lab Published Paper2022Mortgages, Energy Eciency, Credit Risk
Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino, Loriana Pelizzon Inside the ESG Ratings: (Dis)agreement and Performance
Corporate Social Responsibility and Environmental Management, Special Issue on Environmental, Social, Governance: Implications for Businesses and Effects for Stakeholders
Financial Markets Published Paper2021
Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova Recovery from Fast Crashes: Role of Mutual Funds
Journal of Financial Markets
Financial Markets, Systemic Risk Lab, Data Center Published Paper2022Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital
Farshid Abdi, Mila Getmansky Sherman, Emily Kormanyos, Loriana Pelizzon, Zorka Simon The President Reacts to News Channel of Government Communication
SAFE Working Paper No. 314
Financial Markets SAFE Working Paper2021Market efficiency, Social media, Twitter, High-frequency event study, Machine learning, ETFs.
Mahendrarajah Nimalendran, Khaladdin Rzayev, Satchit Sagade High-Frequency Trading (HFT) in the Stock Market and the Costs of Option Market Making
Financial Markets Other Publications2021
Can Gao, Ian Martin Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment
Journal of Finance
Financial Markets Published Paper2021bubbles, Option prices, sentiment, valuation ratios, volatility
Can Gao, Ian Martin Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment
SAFE Working Paper No. 312
Financial Markets SAFE Working Paper2021bubbles, Option prices, sentiment, valuation ratios, volatility
Patrick Blank, Ann-Katrin Kaufhold, Jan Pieter Krahnen, Katja Langenbucher BaFin (in)dependence – A reform proposal
White Paper No. 82
Law and Finance, Financial Markets Policy Paper2021Capital markets, supervision, Wirecard
Johannes Kasinger, Jan Pieter Krahnen, Steven Ongena, Loriana Pelizzon, Maik Schmeling, Mark Wahrenburg Non-performing Loans - New risks and policies?
White Paper No. 84
Financial Markets Policy Paper2021Covid-19, Non-performing Loans, Bank Resolution, Secondary Loan Markets, BRRD
Loriana Pelizzon, Aleksandra Rzeźnik, Kathleen Weiss Hanley Investor Reliance on ESG Ratings and Stock Price Performance
SAFE Working Paper No. 310
Financial Markets SAFE Working Paper2021Corporate Social Responsibility, ESG Rating Agencies, Sustainable Invest- ments, Socially responsible investing, ESG, Portfolio choice
Tim Alexander Kroencke, Maik Schmeling, Andreas Schrimpf The FOMC Risk Shift
Journal of Monetary Economics
Financial Markets Published Paper2021
Samuel Rönnqvist, Satchit Sagade, Katia Vozian, Pontus Wistbacka Predicting Stock Price and Spread Movements from News
Proceedings of the 54th Hawaii International Conference on System Sciences, p. 1593
Financial Markets, Systemic Risk Lab, Data Center Other Publications2021
Aljoscha Janssen, Johannes Kasinger Obfuscation and Rational Inattention in Digitalized Markets
SAFE Working Paper No. 306
Financial Intermediation, Financial Markets SAFE Working Paper2021Rational Inattention, Obfuscation, Price Competition, Digitalized Markets
Monica Billio, Mila Getmansky Sherman, Andrew Lo, Loriana Pelizzon, Abalfazl Zareei Global Realignment in Financial Market Dynamics
SAFE Working Paper No. 304
Financial Markets SAFE Working Paper2021Network theory; Centrality; High Frequency Data; ETFs; Financial Crises; Covid-19; International Finance
Arnoud Boot, Elena Carletti, Hans-Helmut Kotz, Jan Pieter Krahnen, Loriana Pelizzon, Marti Subrahmanyam Corona and banking - A financial crisis in slow motion? An evaluation of the policy options
White Paper No. 79
Financial Markets Policy Paper2021Bank Capitalization, Financial Crisis, Covid-19, Non-performing Loans, Asset Management Companies, Forbearance
Thomas Mosk Captured by financial institutions? New academic insights for European policymakers
White Paper No. 77
Financial Markets Policy Paper2020Regulatory Capture, Lobbying, Transparency, Quid-pro-quo Mechanism
Emanuel Moench, Loriana Pelizzon, Michael Schneider, Calebe de Roure OTC Discount
SAFE Working Paper No. 298
Financial Markets, Systemic Risk Lab, Data Center SAFE Working Paper2020Market Microstructure, Hybrid Markets, Venue Choice, Interdealer Brokerage, Fixed-Income, OTC Markets, Search Frictions, Information Frictions
Jan Pieter Krahnen, Katja Langenbucher, Christian Leuz, Loriana Pelizzon What are the wider supervisory implications of the Wirecard case?
White Paper No. 74
Financial Markets Policy Paper2020Wirecard, Supervisory Achitecture, Auditing, Internal Controls, Market Oversight , Investor Protection, Market Integrity
Andrea Modena Recapitalization, Bailout, and Long-run Welfare in a Dynamic Model of Banking
SAFE Working Paper No. 292
Financial Markets SAFE Working Paper2020Banks, bailout, general equilibrium, financial frictions, recapitalization, welfare.
Loriana Pelizzon, Satchit Sagade, Katia Vozian Resiliency: Cross-Venue Dynamics with Hawkes Processes
SAFE Working Paper No. 291
Financial Markets SAFE Working Paper2020liquidity, resiliency, fragmentation, competition, high-frequency data, Hawkes processes
Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag Equilibrium Asset Pricing in Directed Networks
Review of Finance
Financial Markets, Systemic Risk Lab Published Paper2021Dynamic Networks, Mutually Exciting Processes, Asset Pricing, General Equilibrium, Recursive Preferences
Christian Schlag, Michael Semenischev, Julian Thimme Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models
Management Science
Financial Markets Published Paper2021Asset pricing, cross-section of stock returns, predictability
Christian Schlag, Michael Semenischev, Julian Thimme Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models
SAFE Working Paper No. 289
Financial Markets SAFE Working Paper2020Asset pricing, cross-section of stock returns, predictability
Michele Costola, Oliver Hinz, Michael Nofer, Loriana Pelizzon Machine Learning Sentiment Analysis, COVID-19 News and Stock Market Reactions
SAFE Working Paper No. 288
Financial Markets SAFE Working Paper2020COVID-19 news, Sentiment Analysis, Stock Markets
Monica Billio, Mila Getmansky Sherman, Loriana Pelizzon Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data
Journal of Alternative Investments
Financial Markets Published Paper2009Hedge Funds, Risk Management, High frequency data
Wenhui Li, Christian Wilde Separating the Effects of Beliefs and Attitudes on Pricing under Ambiguity
SAFE Working Paper No. 311
Financial Markets SAFE Working Paper2021ambiguity, belief estimation, belief effect, ambiguity premium, laboratory experiments
Elena Carletti, Tommaso Oliviero, Marco Pagano, Loriana Pelizzon, Marti Subrahmanyam The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy
The Review of Corporate Finance Studies
Financial Markets Published Paper2020COVID-19, pandemics, losses, distress, equity, recapitalization.
Elena Carletti, Tommaso Oliviero, Marco Pagano, Loriana Pelizzon, Marti Subrahmanyam The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy
SAFE Working Paper No. 285
Financial Markets SAFE Working Paper2020COVID-19, pandemics, losses, distress, equity, recapitalization.
Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino, Loriana Pelizzon Inside the ESG Ratings: (Dis)agreement and Performance
SAFE Working Paper No. 284
Financial Markets SAFE Working Paper2020
Jan Pieter Krahnen, Katja Langenbucher The Wirecard lessons: A reform proposal for the supervision of securities markets in Europe
Policy Letter No. 88
Financial Markets Policy Paper2020Wirecard, securities markets, market supervision
Helmut Gründl, Fabian Regele Pandemic Insurance through Pandemic Partnership Bonds: A Fully Funded Insurance Solution in a Public Private Partnership
Policy Letter No. 86
Financial Markets Policy Paper2020Covid-19-Crisis, catastrophe bond, public private partnership, pandemic insurance
Massimiliano Caporin, Loriana Pelizzon, Alberto Plazzi Does Monetary Policy Impact Sovereign Credit Risk Comovement?
SAFE Working Paper No. 276
Financial Markets, Macro Finance SAFE Working Paper2020
Gbenga Ibikunle, Khaladdin Rzayev COVID-19: Venue Selection Effects and Implications for Market Quality
Financial Markets, Systemic Risk Lab Other Publications2020
Jan Pieter Krahnen, Loriana Pelizzon Priorities for the CMU agenda
Policy Letter No. 85
Financial Markets Policy Paper2020CMU, High-Level-Forum, Interim Report
Loriana Pelizzon, Max Riedel, Zorka Simon, Marti Subrahmanyam Collateral Eligibility of Corporate Debt in the Eurosystem
SAFE Working Paper No. 275
Financial Markets, Macro Finance, Systemic Risk Lab SAFE Working Paper2020
Arnoud Boot, Elena Carletti, Hans-Helmut Kotz, Jan Pieter Krahnen, Loriana Pelizzon, Marti Subrahmanyam Corona and Financial Stability 4.0: Implementing a European Pandemic Equity Fund
Policy Letter No. 84
Financial Markets Policy Paper2020Coronavirus, Risk sharing, Financial stability, Policy measures in the EU, Equity fund
Arnoud Boot, Elena Carletti, Hans-Helmut Kotz, Jan Pieter Krahnen, Loriana Pelizzon, Marti Subrahmanyam Corona and Financial Stability 3.0: Try equity -risk sharing for companies, large and small
Policy Letter No. 81
Financial Markets Policy Paper2020Coronavirus, Financial stability, Risk sharing, Policy measures in the EU
Pietro Dindo, Andrea Modena, Loriana Pelizzon Risk Pooling, Intermediation Efficiency, and the Business Cycle
SAFE Working Paper No. 271
Financial Markets, Macro Finance SAFE Working Paper2020Amplification, business cycle, efficiency, dampening, restricted market participation, risk pooling
Arnoud Boot, Elena Carletti, Hans-Helmut Kotz, Jan Pieter Krahnen, Loriana Pelizzon, Marti Subrahmanyam Corona and Financial Stability 2.0: Act jointly now, but also think about tomorrow
Policy Letter No. 79
Financial Markets Policy Paper2020coronavirus, financial stability, systemic risk, strategies
Klaus Adam, Thiess Büttner, Joachim Hennrichs, Jan Pieter Krahnen, Jörg Rocholl Zur Reform der Einlagensicherung: Elemente einer anreizkompatiblen Europäischen Rückversicherung
White Paper No. 66
Financial Markets Policy Paper2020Einlagensicherung, EDIS, Bankenunion
Arnoud Boot, Elena Carletti, Rainer Haselmann, Hans-Helmut Kotz, Jan Pieter Krahnen, Loriana Pelizzon, Stephen Schaefer, Marti Subrahmanyam The Coronavirus and Financial Stability
Policy Letter No. 78
Financial Markets Policy Paper2020coronavirus, financial stability, banking, strategies
Aleksey Kolokolov, Giulia Livieri, Davide Pirino Statistical Inferences for Price Staleness
Journal of Econometrics
Financial Markets Published Paper2020staleness, idle time, liquidity, zero returns, stable convergence
Christian Schlag, Julian Thimme, Rüdiger Weber Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution
Journal of Financial Economics
Financial Markets Published Paper2021Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing
Hengjie Ai, Jun E. Li, Kai Li, Christian Schlag The Collateralizability Premium
Review of Financial Studies
Financial Markets Published Paper2020
Christian Schlag, Julian Thimme, Rüdiger Weber Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution
SAFE Working Paper No. 265
Financial Markets SAFE Working Paper2020Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing
Tatiana Farina, Jan Pieter Krahnen, Loriana Pelizzon, Mark Wahrenburg 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?
White Paper No. 65
Financial Markets Policy Paper2019Bank Profitability, Supervisory Guidance, Banking Union, Financial regulation
Hengjie Ai, Jun E. Li, Kai Li, Christian Schlag The Collateralizability Premium
SAFE Working Paper No. 264
Financial Markets SAFE Working Paper2019
Andrea Bedin, Monica Billio, Michele Costola, Loriana Pelizzon Credit Scoring in SME Asset-Backed Securities: An Italian Case Study
SAFE Working Paper No. 262
Financial Markets, Systemic Risk Lab SAFE Working Paper2019credit scoring; probability of default; small and medium enterprises; assetbacked securities
Monica Billio, Michele Costola, Loriana Pelizzon, Max Riedel Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case
SAFE Working Paper No. 261
Financial Markets, Systemic Risk Lab SAFE Working Paper2019Mortgages, Energy Eciency, Credit Risk
Maik Schmeling What is Libra? Understanding Facebook´s Currency
Policy Letter No. 76
Financial Markets Policy Paper2019Libra, cryptocurrency, currency board
Stine Louise Daetz, Marti Subrahmanyam, Dragon Yongjun Tang, Sarah Qian Wang Can Central Banks Boost Corporate Investment? Evidence from the ECB Liquidity Injections
Financial Markets, Macro Finance Other Publications2019
Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré Pricing Sin Stocks: Ethical Preference vs. Risk Aversion
European Economic Review
Financial Markets Published Paper2019
Erik Theissen, Christian Westheide Call of Duty: Designated Market Maker Participation in Call Auctions
Journal of Financial Markets
Financial Markets Published Paper2020
Christian Schlag, Kailin Zeng Horizontal Industry Relationships and Return Predictability
Journal of Empirical Finance
Financial Markets Published Paper2019Connected industries, information flow, return predictability
Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme Volatility-of-Volatility Risk
Journal of Financial and Quantitative Analysis
Financial Markets Published Paper2019
Nicole Branger, Patrick Konermann, Christian Schlag Optimists and Pessimists in (In)Complete Markets
Journal of Financial and Quantitative Analysis
Financial Markets Published Paper2020
Christian Schlag, Kailin Zeng Horizontal Industry Relationships and Return Predictability
SAFE Working Paper No. 256
Financial Markets SAFE Working Paper2019Connected industries, information flow, return predictability
Tina Koziol Fire-Sale Externalities in the South African Banking Sector
Financial Markets Other Publications2019
Thomas Johann, Talis Putnins, Satchit Sagade, Christian Westheide Quasi-Dark Trading: The Effects of Banning Dark Pools in a World of Many Alternatives
SAFE Working Paper No. 253
Financial Markets SAFE Working Paper2019
Silvia Dalla Fontana, Marco Holz auf der Heide, Loriana Pelizzon, Martin Scheicher The Anatomy of the Euro Area Interest Rate Swap Market
SAFE Working Paper No. 255
Financial Markets, Systemic Risk Lab SAFE Working Paper2019OTC derivatives, network analysis, interest rate risk, banking, risk management, hedging
Wenhui Li, Christian Wilde Belief Formation and Belief Updating under Ambiguity: Evidence from Experiments
SAFE Working Paper No. 251
Financial Markets, Experiment Center SAFE Working Paper2019ambiguity, learning strategy, belief updates, non-Bayesian updates, pessimism, laboratory experiments
Nicole Branger, Patrick Konermann, Christian Schlag Optimists and Pessimists in (In)Complete Markets
SAFE Working Paper No. 252
Financial Markets SAFE Working Paper2019
Puriya Abbassi, Michael Schmidt Financial Stability Effect of Yield-Oriented Investment Behaviour
Financial Markets, Macro Finance Other Publications2019Portfolio allocation, fixed income, yield reversals, financial stress, financial stability
Sascha Baghestanian, Paul Gortner, Joël van der Weele Peer Effects and Risk Sharing in Experimental Asset Markets
European Economic Review
Household Finance, Financial Markets, Experiment Center Published Paper2019peer effects, laboratory experiments, risk taking, asset markets
Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova Market Liquidity and Competition Among Designated Market Makers
SAFE Working Paper No. 247
Financial Markets, Systemic Risk Lab SAFE Working Paper2019esignated Market Makers (DMMs), Liquidity Provision
Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova Recovery from Fast Crashes: Role of Mutual Funds
Financial Markets, Systemic Risk Lab, Data Center Other Publications2018Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital
Nicole Branger, Christian Schlag, Ivan Shaliastovich, Dongho Song Macroeconomic Bond Risks and the Zero Lower Bound
Financial Markets, Macro Finance Other Publications2016Macro-Finance Term Structure Models, Zero Lower Bound, Shadow Rates, Shadow Risk Premia
Matthias Max Nagel, Matthias Thiemann Shifting Frames of the Expert Debate: Quantitative Easing, International Macro-Finance and the Potential Impact of Post-Keynesian Scholarship
Financial Markets, Macro Finance Other Publications2019
Zhiwu Hong, Linlin Niu An Arbitrage-Free Yield Net Model with Application to the Euro Debt Crisis
Financial Markets, Macro Finance Other Publications2019
Tina Koziol, Jesper Riedler, Joeri Schasfoort Euro Area Quantitative Easing in a Portfolio Balance Model with Heterogeneous Agents and Assets
Financial Markets, Macro Finance Other Publications2019
Allan Davids, Co-Pierre Georg The Cape of Good Homes: Exchange Rate Depreciations, Foreign Demand and House Prices
Financial Markets, Macro Finance Other Publications2019foreign housing demand, exchange rates, house prices
Mucai Lin, Linlin Niu Echo over the Great Wall: Spillover Effects of QE Announcements on Chinese Yield Curve
Financial Markets, Macro Finance Other Publications2019
Jan Pieter Krahnen Target Balances and Financial Crises
Policy Letter No. 71
Financial Markets Policy Paper2019Target 2, payment system, central banks, Eurosystem
Viral Acharya Foreign Fund Flows and Asset Prices: Evidence from the Indian Stock Market
Financial Markets Other Publications2016
Linlin Niu, Loriana Pelizzon, Marti Subrahmanyam, Reiko Tobe, Davide Tomio, Jun Uno Scarcity and Spotlight Effects on Liquidity and Yield: Quantitative Easing in Japan
Financial Markets, Macro Finance, Systemic Risk Lab Other Publications2018
Joost Driessen, Theo E. Nijman, Zorka Simon A Simple Approach to Estimate Long-Term Interest Rates
SAFE Working Paper No. 238
Financial Markets, Systemic Risk Lab SAFE Working Paper2018Sovereign Bonds, Term Structure of Interest Rates, Segmentation, Liquidity, Flight-to-safety, Credit Risk, Unconventional Monetary Policy
Mario Bellia, Kim Christensen, Aleksey Kolokolov, Loriana Pelizzon, Roberto Renò Do Designated Market Makers Provide Liquidity During a Flash Crash?
SAFE Working Paper No. 270
Financial Markets, Systemic Risk Lab SAFE Working Paper2020
Monica Billio, Massimiliano Caporin, Roberto Panzica, Loriana Pelizzon The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification
International Review of Economics & Finance
Financial Markets, Systemic Risk Lab Published Paper2023CAPM, volatility, network, interconnections, systematic risk
Jasmin Gider, Peter Gomber, Simon N. M. Schmickler, Christian Westheide High-Frequency Trading and Price Informativeness
SAFE Working Paper No. 248
Financial Markets SAFE Working Paper2019High-Frequency Trading, Price Efficiency, Information Acquisition, Information Production
Alejandro Bernales, Nicolas Garrido, Satchit Sagade, Marcela Valenzuela, Christian Westheide Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk
SAFE Working Paper No. 234
Financial Markets SAFE Working Paper2018Fragmentation, Competition, Liquidity, Price Efficiency
Tim Alexander Kroencke, Maik Schmeling, Andreas Schrimpf The FOMC Risk Shift
SAFE Working Paper No. 302
Financial Markets SAFE Working Paper2021Monetary Policy Surprises; Equity Premium; Fund Flows; Portfolio Rebalanc- ing; Price Pressures
Benjamin Clapham, Peter Gomber, Jens Lausen, Sven Panz Liquidity Provider Incentives in Fragmented Securities Markets
SAFE Working Paper No. 231
Financial Markets SAFE Working Paper2018Liquidity, Trading Volume, Market Fragmentation, Liquidity Provider Incentives, Transaction Costs
Yalin Gündüz, Giorgio Ottonello, Loriana Pelizzon, Michael Schneider, Marti Subrahmanyam Lighting up the Dark: Liquidity in the German Corporate Bond Market
SAFE Working Paper No. 230
Financial Markets, Systemic Risk Lab SAFE Working Paper2018Corporate Bonds, WpHG, Liquidity, Transparency, OTC markets
Roberto Panzica Idiosyncratic Volatility Puzzle: The Role of Assets' Interconnections
SAFE Working Paper No. 228
Financial Markets, Systemic Risk Lab SAFE Working Paper2018Idiosyncratic volatility puzzle; Networks; Expected Returns; Granger Causality
Mila Getmansky Sherman, Giulio Girardi, Stanislava Nikolova, Loriana Pelizzon, Kathleen Weiss Hanley Portfolio Similarity and Asset Liquidation in the Insurance Industry
Journal of Financial Economics
Financial Markets, Systemic Risk Lab Published Paper2021Interconnectedness, Asset Liquidation, Similarity, Financial Stability, Insurance Com- panies, SIFI
Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova Recovery from Fast Crashes: Role of Mutual Funds
SAFE Working Paper No. 227
Financial Markets, Systemic Risk Lab, Data Center SAFE Working Paper2018Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital
Jan Pieter Krahnen Über Scheinriesen: Was TARGET-Salden tatsächlich bedeuten Eine finanzökonomische Überprüfung
White Paper No. 56
Financial Markets Policy Paper2018TARGET-Salden, TARGET2, europäischer Zahlungsverkehr, Zentralbankensystem, Eurosystem
Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré Pricing Sin Stocks: Ethical Preference vs. Risk Aversion
SAFE Working Paper No. 216
Financial Markets SAFE Working Paper2018Asset Pricing, General Equilibrium, Sin Stocks
Peter Gomber, Ilya Gvozdevskiy Dark Trading under MiFID II
Regulation of the EU Financial Markets: MiFID II and MiFIR (Oxford University Press)
Financial Markets Published Paper2017
Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré Pricing Sin Stocks: Ethical Preference vs. Risk Aversion
European Economic Review
Financial Markets Published Paper2019
Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò Systemic Co-Jumps
Journal of Financial Economics
Financial Markets, Systemic Risk Lab Published Paper2017Jumps; Return predictability; Systemic events; Variance risk premium
Aleksey Kolokolov, Giulia Livieri, Davide Pirino Statistical Inferences for Price Staleness
SAFE Working Paper No. 236
Financial Markets SAFE Working Paper2018staleness, idle time, liquidity, zero returns, stable convergence
Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme Volatility-of-Volatility Risk
SAFE Working Paper No. 210
Financial Markets SAFE Working Paper2018volatility of volatility, hedging errors, risk premiums
Michael Donadelli, Antonio Paradiso, Max Riedel A Quasi Real-Time Leading Indicator for the EU Industrial Production
The Manchester School
Financial Markets Published Paper2019Leading indicator, EU industrial production, Granger causality, Turning points, Forward-looking Taylor rule
Jan Friedrich, Matthias Thiemann Why the Initial Regulation of Financial Innovations is Decisive − Regulatory Arbitrage and Off-Balance-Sheet Leasing in Germany
Policy Letter No. 69
Financial Markets Policy Paper2018financial innovations, regulation, regulatory arbitrage, leasing
Michael Brennan, Holger Kraft Leaning Against the Wind: Debt Financing in the Face of Adversity
Financial Management
Financial Markets Published Paper2018Capital structure, financing policy, managerial incentives
Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon Measuring Sovereign Contagion in Europe
Journal of Financial Stability
Financial Markets, Systemic Risk Lab Published Paper2018
Stephanie Collet, Kim Oosterlinck Denouncing Odious Debts
Journal of Business Ethics
Financial Markets, Data Center Published Paper2018 Ethics, Odious debt, Repudiation, Financial history, Sovereign debt, Russia
Nicole Branger, Paulo Rodrigues, Christian Schlag Level and Slope of Volatility Smiles in Long-Run Risk Models
SAFE Working Paper No. 186
Financial Markets, Systemic Risk Lab SAFE Working Paper2017Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile
Matthias Goldmann, Grygoriy Pustovit Governing Cryptocurrencies through Forward Guidance?
Policy Letter No. 68
Financial Markets Policy Paper2018cryptocurrencies, blockchain, distributed ledger technology, regulation, forward guidance
Massimiliano Caporin, Luca Corazzini, Michele Costola Measuring the Behavioural Component of the S&P 500 and its Relationship to Financial Stress and Aggregated Earnings Surprises
British Journal of Management
Financial Markets, Systemic Risk Lab Published Paper2019
Benjamin Clapham, Peter Gomber, Martin Haferkorn, Paul Jentsch, Sven Panz Circuit Breakers – A Survey among International Trading Venues
SAFE Working Paper No. 197
Financial Markets SAFE Working Paper2018
Johannes Kasinger, Loriana Pelizzon Financial Stability in the EU: A Case for Micro Data Transparency
Policy Letter No. 67
Financial Markets, Systemic Risk Lab Policy Paper2018micro data transparency, financial stability, financial market data
Martin Haferkorn High-Frequency Trading and its Role in Fragmented Markets
Journal of Information Technology
Financial Markets Published Paper2017Eelectronic market hypothesis, High-frequency trading, Market efficiency, Regulation, Securities trading
Patrick Grüning Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and Macroeconomics
Finance Research Letters
Financial Markets Published Paper2018Heterogeneous innovation; Technology spillover; Endogenous growth; Creative destruction; International finance
Benjamin Clapham, Peter Gomber, Martin Haferkorn, Paul Jentsch, Sven Panz Ensuring Market Integrity and Stability: Circuit Breakers on International Trading Venues
Journal of Trading
Financial Markets Published Paper2017
Loriana Pelizzon, Matteo Sottocornola The Impact of Monetary Policy Interventions on the Insurance Industry
SAFE Working Paper No. 204
Financial Markets, Macro Finance, Systemic Risk Lab SAFE Working Paper2018Event study, monetary policy surprise, unconventional monetary policy, conventional monetary policy, insurance industry
Fabrizio Lillo, Loriana Pelizzon, Michael Schneider Modelling Illiquidity Spillovers with Hawkes Processes: An Application to the Sovereign Bond Market
Quantitative Finance
Financial Markets, Systemic Risk Lab Published Paper2018Liquidity, Jump detection, Hawkes processes, Government bonds, MTS bond market
Elia Berdin, Matteo Sottocornola Systemic Risk in Insurance: Towards a new Approach
Policy Letter No. 62
Financial Markets Policy Paper2017systemic risk, macroprudential franework, insurance, financial stability
Michael Donadelli, Patrick Grüning, Marcus Jüppner, Renatas Kizys Global Temperature, R&D Expenditure, and Growth
SAFE Working Paper No. 188
Financial Markets SAFE Working Paper2017Global Temperature, R&D, Welfare Costs
Nicole Branger, Paulo Rodrigues, Christian Schlag Level and Slope of Volatility Smiles in Long-Run Risk Models
Journal of Economic Dynamics and Control
Financial Markets, Systemic Risk Lab Published Paper2018Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile
Patrick Grüning Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and Macroeconomics
SAFE Working Paper No. 185
Financial Markets SAFE Working Paper2017Heterogeneous innovation, Technology spillover, Endogenous growth, Creative destruction, International finance
Joost Driessen, Theo E. Nijman, Zorka Simon The Missing Piece of the Puzzle: Liquidity Premiums in Inflation-Indexed Markets
SAFE Working Paper No. 183
Financial Markets SAFE Working Paper2017Liquidity premium, liquidity risk, TIPS, inflation swaps, TIPS–Treasury puzzle
Benjamin Clapham, Peter Gomber, Sven Panz Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets
SAFE Working Paper No. 196
Financial Markets SAFE Working Paper2018Circuit Breaker, Volatility Interruption, Market Fragmentation, High-Frequency Trading, Stock Market, Regulation, Liquidity
Benjamin Clapham, Peter Gomber, Martin Haferkorn, Sven Panz Managing Excess Volatility: Design and Effectiveness of Circuit Breakers
SAFE Working Paper No. 195
Financial Markets SAFE Working Paper2018Circuit Breaker, Volatility Interruption, Volatility, Liquidity, Market Design
Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova Coming Early to the Party
SAFE Working Paper No. 182
Financial Markets, Systemic Risk Lab SAFE Working Paper2017High-Frequency Traders (HFTs), Proprietary Trading, Opening Auction, Liquidity Provision, Price Discovery
Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno Central Bank-Driven Mispricing
SAFE Working Paper No. 226
Financial Markets, Macro Finance, Systemic Risk Lab SAFE Working Paper2018Central Bank Interventions, Liquidity, Sovereign Bonds, Futures Contracts, Arbitrage
Viral Acharya, Diane Pierret, Sascha Steffen Lender of Last Resort, Buyer of Last Resort, and a Fear of Fire Sales in the Sovereign Bond Market
Financial Markets, Macro Finance Other Publications2018
Michael Donadelli, Marcus Jüppner, Max Riedel, Christian Schlag Temperature Shocks and Welfare Costs
Journal of Economic Dynamics and Control
Financial Markets Published Paper2017Temperature shocks, long-run growth, asset prices, welfare costs, adaptation
Michael Donadelli, Marcus Jüppner, Max Riedel, Christian Schlag Temperature Shocks and Welfare Costs
SAFE Working Paper No. 177
Financial Markets SAFE Working Paper2017Temperature shocks, long-run growth, asset prices, welfare costs, adaptation
Giuliano Curatola, Ilya Dergunov International Capital Markets with Time-Varying Preferences
SAFE Working Paper No. 176
Household Finance, Financial Markets SAFE Working Paper2017Asset pricing, general equilibrium, heterogeneous agents, interdependent preferences, portfolio choice
Holger Kraft, Eduardo S. Schwartz, Farina Weiss Growth Options and Firm Valuation
European Financial Management
Financial Markets Published Paper2018Firm valuation, Real options, Volatility, R&D expenses
Christel Merlin Kuate Kamga, Christian Wilde Liquidity Premia in CDS Markets
SAFE Working Paper No. 173
Financial Intermediation, Financial Markets SAFE Working Paper2017CDS, liquidity
Massimiliano Caporin, Michele Costola, Shawkat Hammoudeh, Ahmed Khalifa Systemic Risk for Financial Institutions of Major Petroleum-Based Economies: The Role of Oil
SAFE Working Paper No. 172
Financial Intermediation, Financial Markets, Systemic Risk Lab SAFE Working Paper2017Systemic Risk, Risk Measurement, VaR, ΔCoVaR, Oil, Financial Institutions, Petroleum-based Economies
Giuliano Curatola Optimal Portfolio Choice with Loss Aversion Over Consumption
Quarterly Review of Economics and Finance
Financial Markets Published Paper2017Loss-aversion, Habit-formation, Consumption–portfolio choice
Michael Donadelli, Patrick Grüning Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare
SAFE Working Paper No. 171
Financial Markets SAFE Working Paper2017Endogenous growth, Asset pricing, Government, Fiscal policy, Heterogeneous innovation
Patrick Grüning International Endogenous Growth, Macro Anomalies, and Asset Prices
Journal of Economic Dynamics and Control
Financial Markets Published Paper2017Innovation, Technology spillover, Endogenous growth, Long-run risk, International finance
Franklin Allen, Jan Pieter Krahnen, Holger Lüthen, Hélène Rey Financial Resilience Revisited: Why Consistency in Regulation is now Paramount – Across Sectors and Regions, and Over Time
Policy Letter No. 55
Financial Intermediation, Financial Markets Policy Paper2017financial resilience, financial markets regulation, banking regulation
Monica Billio, Massimiliano Caporin, Roberto Panzica, Loriana Pelizzon The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification
SAFE Working Paper No. 166
Financial Markets, Systemic Risk Lab SAFE Working Paper2016CAPM, volatility, network, interconnections, systematic risk
Jan Pieter Krahnen, Christian Wilde Skin-in-the-Game in ABS Transactions: A Critical Review of Policy Options
White Paper No. 46
Financial Markets Policy Paper2017Structured finance, ABS, STS (simple, transparent, and standardized securitizations), regulation, retention, Dodd-Frank Act
Giovanni Bonaccolto, Massimiliano Caporin, Roberto Panzica Estimation and Model-Based Combination of Causality Networks
SAFE Working Paper No. 165
Financial Markets SAFE Working Paper2017Granger causality, quantile causality, multi-layer network, network combination
Giuliano Curatola, Michael Donadelli, Patrick Grüning Technology Trade with Asymmetric Tax Regimes and Heterogeneous Labor Markets: Implications for Macro Quantities and Asset Prices
SAFE Working Paper No. 163
Financial Markets SAFE Working Paper2017Technology Adoption, R&D Investment, Asymmetric Tax Regimes, Asset Prices
Michael Donadelli, Renatas Kizys, Max Riedel Dangerous Infectious Diseases: Bad News for Main Street, Good News for Wall Street?
Journal of Financial Markets
Financial Markets Published Paper2017WHO alerts, investor sentiment, pharmaceutical industry, trading strategies
Günter Franke, Jan Pieter Krahnen SME Funding Without Banks? On the Interplay of Banks and Markets
White Paper No. 44
Financial Intermediation, Financial Markets Policy Paper2017SME, funding, capital markets, lending instruments, banks
Monica Billio, Michael Donadelli, Antonio Paradiso, Max Riedel Which Market Integration Measure?
Journal of Banking and Finance
Financial Markets Published Paper2016Equity market integration, dynamic correlation, principal components, international diversification benefits
Monica Billio, Michael Donadelli, Antonio Paradiso, Max Riedel Which Market Integration Measure?
SAFE Working Paper No. 159
Financial Markets SAFE Working Paper2016Equity market integration, dynamic correlation, principal components, international diversification benefits
Michael Donadelli, Renatas Kizys, Max Riedel Globally Dangerous Diseases: Bad News for Main Street, Good News for Wall Street?
SAFE Working Paper No. 158
Financial Markets SAFE Working Paper2016WHO alerts, investor sentiment, pharmaceutical industry, trading strategies
Fabrizio Lillo, Loriana Pelizzon, Michael Schneider How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis
SAFE Working Paper No. 151
Financial Markets, Systemic Risk Lab SAFE Working Paper2016Liquidity, jump detection, Hawkes processes, government bonds, MTS bond market, Quantitative Easing.
Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò Systemic Co-Jumps
SAFE Working Paper No. 149
Financial Markets, Systemic Risk Lab SAFE Working Paper2016Jumps, Return predictability, Systemic events, Variance Risk Premium
Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova High Frequency Traders without Trading: Price Discovery and Liquidity Provision in the Pre-Opening Period
SAFE Working Paper No. 144
Financial Markets, Systemic Risk Lab SAFE Working Paper2016High-Frequency Traders (HFTs), Pre-Opening, Opening Call Auction, Price Discovery, Liquidity provision.
Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide Spoilt for Choice: Order Routing Decisions in Fragmented Equity Markets
SAFE Working Paper No. 143
Financial Markets, Systemic Risk Lab SAFE Working Paper2016Dark Trading, Fragmentation, Anonymity, Immediacy
Jan Pieter Krahnen, Loriana Pelizzon "Predatory" Margins and the Regulation and Supervision of Central Counterparty Clearing Houses (CCPs)
White Paper No. 41
Financial Markets, Systemic Risk Lab Policy Paper2016 central counterparties, CCP, derivatives, financial market regulation, financial market supervision
Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide Competition Between Equity Markets: A Review of the Consolidation Versus Fragmentation Debate
Journal of Economic Surveys
Financial Markets Published Paper2017Competition, Fragmentation, Market Structure, Liquidity, Price Discovery
Holger Kraft, Thomas Seiferling, Frank Thomas Seifried Optimal Consumption and Investment with Epstein-Zin Recursive Utility
Finance and Stochastics
Financial Markets Published Paper2017consumption-portfolio choice, asset pricing, stochastic differential utility, incomplete markets, fixed point approach, FBSDE
Michael Donadelli, Patrick Grüning Labor Market Dynamics, Endogenous Growth and Asset Prices
Economics Letters
Financial Markets Published Paper2016http://www.sciencedirect.com/science/article/pii/S0165176516300933
Nicole Branger, Patrick Grüning, Christian Schlag Commodities, Financialization, and Heterogeneous Agents
SAFE Working Paper No. 131
Financial Markets SAFE Working Paper2016Commodities, General Equilibrium, Heterogeneous Preferences, Financial Markets
Peter Gomber The German Equity Trading Landscape
White Paper No. 34
Financial Markets Policy Paper2016MiFID II, MiFIR, equity trading, electronic trading, cash equity markets
Jan Pieter Krahnen, Felix Noth, Ulrich Schüwer Structural Reforms in Banking: The Role of Trading
White Paper No. 33
Financial Intermediation, Financial Markets Policy Paper2016proprietary trading, banking separation proposals, bank risk
Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis
Journal of Monetary Economics
Financial Markets Published Paper2016Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion
Giuliano Curatola Optimal Consumption and Portfolio Choice with Loss Aversion
SAFE Working Paper No. 130
Financial Markets SAFE Working Paper2016Loss-aversion, Habit-formation, Consumption-portfolio choice
Giuliano Curatola, Michael Donadelli, Patrick Grüning, Christoph Meinerding Investment-Specific Shocks, Business Cycles, and Asset Prices
SAFE Working Paper No. 129
Financial Markets SAFE Working Paper2016General Equilibrium Asset Pricing, Production Economy, Long-Run Risk, Investment-Specific Shocks, Nominal Rigidities
Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis
SAFE Working Paper No. 124
Financial Markets SAFE Working Paper2016Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion
Günther Gebhardt Impairments of Greek Government Bonds under IAS 39 and IFRS 9: A Case Study
White Paper No. 30
Financial Markets Policy Paper2015government bonds, IFRS 9, credit losses
Michael Brennan, Holger Kraft Leaning Against the Wind: Debt Financing in the Face of Adversity
SAFE Working Paper No. 119
Financial Markets SAFE Working Paper2015Capital structure, financing policy, managerial incentives
Michael Donadelli, Antonio Paradiso, Max Riedel A Quasi Real-Time Leading Indicator for the EU Industrial Production
SAFE Working Paper No. 118
Financial Markets SAFE Working Paper2015Leading indicator, EU industrial production, Granger causality, Turning points, Forward-looking Taylor rule
Franz Hackl, Michael Kummer, Rudolf Winter-Ebmer, Christine Zulehner Market Structure and Market Performance in E-Commerce
European Economic Review
Financial Markets Published Paper2014Retailing, Product life cycle, Market structure, Market performance, Markup, Price dispersion
Giuliano Curatola, Michael Donadelli, Patrick Grüning Matching the BRIC equity premium: A structural approach
Emerging Markets Review
Financial Markets Published Paper2015BRIC countries, Equity risk premium, Long-run risk, Persistence
Giuliano Curatola Loss aversion, habit formation and the term structures of equity and interest rates
Journal of Economic Dynamics and Control
Financial Markets, Macro Finance Published Paper2015Loss-aversion, Habit formation, Yield curve, Dividend strips, General equilibrium
Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina?
SAFE Working Paper No. 95
Financial Markets, Systemic Risk Lab SAFE Working Paper2015Liquidity, Credit Risk, Euro-zone Government Bonds, Financial Crisis, MTS Bond Market
Christine Moorman, Simone Wies Going Public: How Stock Market Participation Changes Firm Innovation Behavior
Journal of Marketing Research
Financial Markets Published Paper2015Innovation, breakthrough innovation, stock market impact, IPO, marketing-finance interface, consumer packaged goods
Volker Brühl, Helmut Gründl, Andreas Hackethal, Hans-Helmut Kotz, Jan Pieter Krahnen, Tobias Tröger Comments on the EU Commission’s Capital Markets Union Project
White Paper No. 27
Financial Markets Policy Paper2015Capital Markets Union, functional finance approach, level playing field, financial services
Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon Measuring Sovereign Contagion in Europe
SAFE Working Paper No. 103
Financial Markets, Systemic Risk Lab SAFE Working Paper2015Sovereign Risk, Contagion, Disintegration
Guglielmo Maria Caporale, Michael Donadelli, Alessia Varani International Capital Markets Structure, Preferences and Puzzles: A US-China World
Journal of International Financial Markets, Institutions and Money
Financial Markets Published Paper2015Macro-anomalies, Financial autarky, Complete markets, Long-run innovations, Home bias
Peter Gomber, Benedikt Thomas Jaeger MiFID: Eine systematische Analyse der Zielerreichung
White Paper No. 14
Financial Markets Policy Paper2014MiFID, Wettbewerb, Integration, Transparenz, Integrität
Sascha Baghestanian, Paul Gortner, Joël van der Weele Peer Effects and Risk Sharing in Experimental Asset Markets
SAFE Working Paper No. 67
Household Finance, Financial Markets, Experiment Center SAFE Working Paper2014peer effects, laboratory experiments, risk taking, asset markets
Peter Gomber, Frank Nassauer Neuordnung der Finanzmärkte in Europa durch MiFID II/MiFIR
White Paper No. 20
Financial Markets Policy Paper2014MiFID II, MiFIR, Derivatehandel, Hochfrequenzhandel
Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag Equilibrium Asset Pricing in Directed Networks
SAFE Working Paper No. 74
Financial Markets, Systemic Risk Lab SAFE Working Paper2014Dynamic Networks, Mutually Exciting Processes, Asset Pricing, General Equilibrium, Recursive Preferences
Craig Lewis, Christian Schlag What Does U.S. Money Market Mutual Fund Reform Portend for the European Union?
White Paper No. 24
Financial Markets Policy Paper2014money market funds, liquidity runs, floating net asset value (FNAV)
Patrick Grüning International Endogenous Growth, Macro Anomalies, and Asset Prices
SAFE Working Paper No. 83
Financial Markets SAFE Working Paper2015Innovation, Product Market Competition, Endogenous Growth, Long-run Risk, International Finance
Matthias Thiemann The Regulation of Repo Markets: Incorporating Public Interest through a Stronger Role of Civil Society
White Paper No. 25
Financial Markets Policy Paper2015Repo Markets, Shadow Banking, Non-governmental Organizations
Roman Beck, Wolfgang König, Immanuel Pahlke, Martin Wolf Mindfully Resisting the Bandwagon – IT Implementation and Its Consequences in the Financial Crisis
Policy Letter No. 10
Financial Markets Policy Paper2013IT innovations, financial services
Peter Gomber High-Frequency-Trading: Zwischen Nutzeffekten und Risiken
Press Article No. 8, 2011
Financial Markets Policy Paper2011Wertpapiermärkte, High Frequency Trading, Regulierung
Björn Arndt, Peter Gomber, Marco Lutat, Tim Uhle High Frequency Trading
White Paper No. 3, 2011
Financial Markets Policy Paper2011algorithmic trading, high-frequency trading, regulation
Peter Gomber, Markus Gsell, Marco Lutat Competition Among Electronic Markets and Market Quality
White Paper No. 25, 2010
Financial Markets Policy Paper2010MiFID, market fragmentation,liquidity
Peter Gomber, Axel Pierron MiFID - Spirit and Reality of a European Financial Markets Directive
White Paper No. 22, 2010
Financial Markets Policy Paper2010MiFID, regulation, securities trading
Volker Wieland Rational Learning About Rare-Disaster Frequencies: A Persistent Source of Asset-Price Overreaction
Policy Letter No. 14, 2011
Financial Markets Policy Paper2011asset prices, comsumer beliefs, Bayesian learning
Holger Kraft, Eduardo S. Schwartz, Farina Weiss Growth Options and Firm Valuation
SAFE Working Paper No. 6
Financial Markets, Transparency Lab SAFE Working Paper2013Firm valuation, Real options, Volatility, R&D expenses
Grigory Vilkov, Yan Xiao Option-Implied Information and Predictability of Extreme Returns
SAFE Working Paper No. 5
Financial Markets SAFE Working Paper2013extreme value theory, tail measure, implied correlation, variance risk premium, option-implied distribution, predictability, portfolio optimization
Marius Ascheberg, Nicole Branger, Holger Kraft, Frank Thomas Seifried When Do Jumps Matter for Portfolio Optimization?
SAFE Working Paper No. 16
Financial Markets SAFE Working Paper2013Optimal investment, jumps, stochastic volatility, welfare loss
Michael Brennan, Holger Kraft Financing Asset Growth
SAFE Working Paper No. 26
Financial Markets SAFE Working Paper2013
Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding, Christian Schlag Asset Pricing Under Uncertainty About Shock Propagation
SAFE Working Paper No. 34
Financial Markets SAFE Working Paper2013General Equilibrium, Contagion Risk, Partial Information, Filtering, Recursive Utility
Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide Competition Between Equity Markets: A Review of the Consolidation Versus Fragmentation Debate
SAFE Working Paper No. 35
Financial Markets SAFE Working Paper2013Competition, Fragmentation, Market Structure, Liquidity, Price Discovery
Adrian Buss, Raman Uppal, Grigory Vilkov Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs
SAFE Working Paper No. 41
Financial Markets SAFE Working Paper2014liquidity premium, incomplete markets, portfolio choice, heterogeneous agents
Holger Kraft, Thomas Seiferling, Frank Thomas Seifried Optimal Consumption and Investment with Epstein-Zin Recursive Utility
SAFE Working Paper No. 52
Financial Markets SAFE Working Paper2014consumption-portfolio choice, asset pricing, stochastic differential utility, incomplete markets, fixed point approach, FBSDE
Jan Pieter Krahnen, Peter Ockenfels, Christian Wilde Measuring Ambiguity Aversion: A Systematic Experimental Approach
SAFE Working Paper No. 55
Financial Intermediation, Financial Markets, Transparency Lab, Experiment Center SAFE Working Paper2014ambiguity, valuation discount, experimental economics
Giuliano Curatola, Michael Donadelli, Alessandro Gioffré, Patrick Grüning Austerity, Fiscal Uncertainty, and Economic Growth: Insights from Fiscally Weak EU Countries
SAFE Working Paper No. 56
Financial Markets SAFE Working Paper2014Austerity Measures, Fiscal Policy, Endogenous Growth, R&D
Nicole Branger, Holger Kraft, Christoph Meinerding The Dynamics of Crises and the Equity Premium
SAFE Working Paper No. 11
Financial Markets, Systemic Risk Lab SAFE Working Paper2013General Equilibrium, Asset Pricing, Recursive Preferences, Long-Run Risk, Disaster Models
Holger Kraft, Frank Thomas Seifried Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility
SAFE Working Paper No. 17
Financial Markets SAFE Working Paper2013stochastic differential utility, recursive utility, convergence, backward stochastic differential equation
Nicole Branger, Holger Kraft, Christoph Meinerding Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization
SAFE Working Paper No. 28
Financial Markets, Systemic Risk Lab, Transparency Lab SAFE Working Paper2013Asset Allocation, Contagion, Nonlinear Filtering, Hidden State, Self-exciting Processes
Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon Mutual Excitation in Eurozone Sovereign CDS
SAFE Working Paper No. 51
Financial Markets, Macro Finance, Systemic Risk Lab SAFE Working Paper2014CDS, Sovereign risk, Systemic risk, Jumps, Feedback, Hawkes processes, Mutually exciting processes, Impulse-response
Sascha Baghestanian, Todd B. Walker Anchoring in Experimental Asset Markets
SAFE Working Paper No. 54
Financial Markets, Experiment Center SAFE Working Paper2014Experimental Asset Markets, Anchoring, Bubbles
Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide The State of Play in European Over-the-Counter Equities Trading
Journal of Trading
Financial Markets Published Paper2015
Peter Gomber, Benedikt Thomas Jaeger MiFID: Eine systematische Analyse der Zielerreichung
Zeitschrift für Bankrecht und Bankwirtschaft
Financial Markets Published Paper2014
Kevin Bauer, Nicole Branger, Christian Schlag, Lue Wu "Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors
SAFE Working Paper No. 114
Financial Markets SAFE Working Paper2015General Equilibrium, Asset Allocation, Learning, Different Beliefs, Over-Confidence
Holger Kraft, Frank Thomas Seifried Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility
Journal of Economic Theory
Financial Markets Published Paper2014stochastic differential utility, recursive utility, convergence, backward stochastic differential equation
Nicole Branger, Holger Kraft, Christoph Meinerding Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization
Journal of Economic Dynamics and Control
Financial Markets, Systemic Risk Lab, Transparency Lab Published Paper2014Asset Allocation, Contagion, Nonlinear Filtering, Hidden State, Self-exciting Processes
Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon Mutual Excitation in Eurozone Sovereign CDS
Journal of Econometrics
Financial Markets, Macro Finance, Systemic Risk Lab Published Paper2014CDS, Sovereign risk, Systemic risk, Jumps, Feedback, Hawkes processes, Mutually exciting processes, Impulse-response
Sascha Baghestanian, Todd B. Walker Anchoring in Experimental Asset Markets
Journal of Economic Behavior & Organization
Financial Markets, Experiment Center Published Paper2015Experimental Asset Markets, Anchoring, Bubbles
Nicole Branger, Christian Schlag, Lue Wu "Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors
Journal of Economic Dynamics and Control
Financial Markets Published Paper2015General Equilibrium, Asset Allocation, Learning, Different Beliefs, Over-Confidence
Nicole Branger, Holger Kraft, Christoph Meinerding The Dynamics of Crises and the Equity Premium
Review of Financial Studies
Financial Markets, Systemic Risk Lab Published Paper2016General Equilibrium, Asset Pricing, Recursive Preferences, Long-Run Risk, Disaster Models
Marius Ascheberg, Nicole Branger, Holger Kraft, Frank Thomas Seifried When Do Jumps Matter for Portfolio Optimization?
Quantitative Finance
Financial Markets Published Paper2016Optimal investment, jumps, stochastic volatility, welfare loss
Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina?
Journal of Financial Economics
Financial Markets, Systemic Risk Lab Published Paper2016Liquidity, Credit Risk, Euro-zone Government Bonds, Financial Crisis, MTS Bond Market

Ongoing Research Projects

CategoryProjectResearcherProject DurationKeywordsProject IDPublication Count
Financial Intermediation, Law and Finance, Financial Markets

From Machine Learning to Machine Teaching – Making Machines AND Humans Smarter (ML2MT)

Hendrik Drachsler, Oliver Hinz, Kristian Kersting, Loriana Pelizzon, Gernot Rohde, Yee Lee Shing, Tobias Tröger 20231781011
Financial Markets

Stranded Assets, Financial Constraints, and the Distributional Impacts of Climate Policy (FAIRCLIP)

Aoife Fitzpatrick, Konrad Lucke, Loriana Pelizzon 20231331041
Financial Markets, Experiment Center

The Mechanisms behind the Effect of Echo Chambers on Biased Beliefs

Andreas Grunewald, Victor Klockmann, Alicia von Schenk, Ferdinand von Siemens 20222323031
Financial Markets

Green Auto Securitization (GAS)

Carmelo Latino, Loriana Pelizzon, Max Riedel 20221381081
Financial Markets, Experiment Center

Strategic Self-Deception in Repeated Interaction

David Poensgen20222323021
Financial Markets

Mainstreaming Transparent Assessment of Energy Efficiency in ESG Ratings (TranspArEEnS)

Luca Bertalot, Monica Billio, Stefano Colonnello, Michele Costola, Aoife Fitzpatrick, Carmelo Latino, Konrad Lucke, Loriana Pelizzon 20211381061
Financial Markets

The Transferability of Price Patterns in Fragmented Equity Markets

Tino Cestonaro, Jonas De Paolis, Peter Gomber 2021Market microstructure; Deep learning; Limit order book; Price formation; High- frequency data; Financial machine learning1
Financial Markets

Market Impact of Government Communication: The Case of Presidential Tweets

Farshid Abdi, Mila Getmansky Sherman, Emily Kormanyos, Loriana Pelizzon, Zorka Simon20201
Financial Markets

Securities Lending and Quantitative Easing

Virginia Gianinazzi, Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio2020Quantitative Easing, Security Lending Facility, Repo Market1331031
Financial Markets

Risk Pricing & Trading

Matteo Bagnara, Nicole Branger, Mariano Massimiliano Croce, Ilya Dergunov, Robert F. Dittmar, Volker Flögel, Holger Kraft, Tatyana Marchuk, Christoph Meinerding, Alessandro Pollastri, Paulo Rodrigues, Satchit Sagade, Christian Schlag, Norman Seeger, Michael Semenischev, Ivan Shaliastovich, Julian Thimme, Rüdiger Weber, Claudia Zunft2020Market microstructure, asset pricing, macrofinance, sustainable finance, Green bonds, ETF, systemic risk, intermediary asset pricing1331011
Financial Markets, Experiment Center

Experimental Asset Markets - Price Formation in the Presence of Ambiguity

Wenhui Li, Peter Ockenfels, Christian Wilde2019Experimental asset markets, information transmission, price formation, ambiguity1331021

Current Research Team

ResearcherPosition
Alabrese, Eleonora Advanced Researcher
Bagnara, Matteo Junior Researcher
Billio, Monica SAFE Fellow
Branger, Nicole SAFE Fellow
Curatola, Giuliano SAFE Fellow
Fitzpatrick, Aoife Junior Researcher
Gomber, Peter External Researcher, SAFE Fellow
Heider, Florian Senior Researcher
Hinz, Oliver Senior Researcher, SAFE Fellow
Jappelli, Ruggero Junior Researcher
Kraft, Holger SAFE Fellow
Latino, Carmelo Junior Researcher
Lucke, Konrad Junior Researcher
Maddaloni, Angela SAFE Fellow
Mücke, Christian Junior Researcher
Nam, Rachel Junior Researcher
Ockenfels, Peter SAFE Fellow
Pelizzon, Loriana Senior Researcher
Riedel, Max Advanced Researcher
Schlag, Christian Senior Researcher
Schmeling, Maik SAFE Fellow
Shaliastovich, Ivan SAFE Fellow
Subrahmanyam, Marti External Researcher, SAFE Fellow
Theissen, Erik SAFE Fellow