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.

 


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

 

 


Publications

PublishedTitleAuthor/sProgram AreaKeywordsPublished
2020

Equilibrium Asset Pricing in Directed Networks

forthcoming in Review of Finance
Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag Financial Markets, Systemic Risk Lab Dynamic Networks, Mutually Exciting Processes, Asset Pricing, General Equilibrium, Recursive Preferences2020
2020

Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models

forthcoming in Management Science
Christian Schlag, Michael Semenischev, Julian Thimme Financial Markets Asset pricing, cross-section of stock returns, predictability2020
2009

Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data

Journal of Alternative Investments
Monica Billio, Mila Getmansky Sherman, Loriana Pelizzon Financial Markets Hedge Funds, Risk Management, High frequency data2009
2020

The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy

The Review of Corporate Finance Studies
Elena Carletti, Tommaso Oliviero, Marco Pagano, Loriana Pelizzon, Marti Subrahmanyam Financial Markets COVID-19, pandemics, losses, distress, equity, recapitalization.2020
2020

Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution

forthcoming in Journal of Financial Economics
Christian Schlag, Julian Thimme, Rüdiger Weber Financial Markets Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing2020
2020

Statistical Inferences for Price Staleness

Journal of Econometrics
Aleksey Kolokolov, Giulia Livieri, Davide Pirino Financial Markets staleness, idle time, liquidity, zero returns, stable convergence2020
2020

The Collateralizability Premium

forthcoming in Review of Financial Studies
Hengije Ai, Jun E. Li, Kai Li, Christian Schlag Financial Markets 2020
2019

Pricing Sin Stocks: Ethical Preference vs. Risk Aversion

European Economic Review
Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré Financial Markets 2019
2020

Call of Duty: Designated Market Maker Participation in Call Auctions

Journal of Financial Markets
Erik Theissen, Christian Westheide Financial Markets 2020
2019

Horizontal Industry Relationships and Return Predictability

Journal of Empirical Finance
Christian Schlag, Kailin Zeng Financial Markets Connected industries, information flow, return predictability2019
2019

Volatility-of-Volatility Risk

Journal of Financial and Quantitative Analysis
Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme Financial Markets 2019
2019

Optimists and Pessimists in (In)Complete Markets

forthcoming in Journal of Financial and Quantitative Analysis
Nicole Branger, Patrick Konermann, Christian Schlag Financial Markets 2019
2019

Peer Effects and Risk Sharing in Experimental Asset Markets

European Economic Review
Sascha Baghestanian, Paul Gortner, Joël van der Weele Household Finance, Financial Markets, Experiment Center peer effects, laboratory experiments, risk taking, asset markets2019
2017

Dark Trading under MiFID II

Regulation of the EU Financial Markets: MiFID II and MiFIR (Oxford University Press)
Peter Gomber, Ilya Gvozdevskiy Financial Markets 2017
2017

Systemic Co-Jumps

Journal of Financial Economics
Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò Financial Markets, Systemic Risk Lab Jumps; Return predictability; Systemic events; Variance risk premium2017
2019

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

The Manchester School
Michael Donadelli, Antonio Paradiso, Max Riedel Financial Markets Leading indicator, EU industrial production, Granger causality, Turning points, Forward-looking Taylor rule2019
2018

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

Financial Management
Michael Brennan, Holger Kraft Financial Markets Capital structure, financing policy, managerial incentives2018
2018

Measuring Sovereign Contagion in Europe

Journal of Financial Stability
Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon Financial Markets, Systemic Risk Lab 2018
2018

Denouncing Odious Debts

Journal of Business Ethics
Stephanie Collet, Kim Oosterlinck Financial Markets, Data Center Ethics, Odious debt, Repudiation, Financial history, Sovereign debt, Russia2018
2019

Measuring the Behavioural Component of the S&P 500 and its Relationship to Financial Stress and Aggregated Earnings Surprises

British Journal of Management
Massimiliano Caporin, Luca Corazzini, Michele Costola Financial Markets, Systemic Risk Lab 2019
2017

High-Frequency Trading and its Role in Fragmented Markets

Journal of Information Technology
Martin Haferkorn 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

Finance Research Letters
Patrick Grüning Financial Markets Heterogeneous innovation; Technology spillover; Endogenous growth; Creative destruction; International finance2018
2017

Ensuring Market Integrity and Stability: Circuit Breakers on International Trading Venues

Journal of Trading
Benjamin Clapham, Peter Gomber, Martin Haferkorn, Paul Jentsch, Sven Panz Financial Markets 2017
2018

Modelling Illiquidity Spillovers with Hawkes Processes: An Application to the Sovereign Bond Market

Quantitative Finance
Fabrizio Lillo, Loriana Pelizzon, Michael Schneider Financial Markets, Systemic Risk Lab Liquidity, Jump detection, Hawkes processes, Government bonds, MTS bond market2018
2017

Temperature Shocks and Welfare Costs

Journal of Economic Dynamics and Control
Michael Donadelli, Marcus Jüppner, Max Riedel, Christian Schlag Financial Markets Temperature shocks, long-run growth, asset prices, welfare costs, adaptation2017
2018

Growth Options and Firm Valuation

European Financial Management
Holger Kraft, Eduardo S. Schwartz Financial Markets Firm valuation, Real options, Volatility, R&D expenses2018
2017

Optimal Portfolio Choice with Loss Aversion Over Consumption

Quarterly Review of Economics and Finance
Giuliano Curatola Financial Markets Loss-aversion, Habit-formation, Consumption–portfolio choice2017
2017

International Endogenous Growth, Macro Anomalies, and Asset Prices

Journal of Economic Dynamics and Control
Patrick Grüning Financial Markets Innovation, Technology spillover, Endogenous growth, Long-run risk, International finance2017
2017

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

Journal of Financial Markets
Michael Donadelli, Renatas Kizys, Max Riedel Financial Markets WHO alerts, investor sentiment, pharmaceutical industry, trading strategies2017
2016

Which Market Integration Measure?

Journal of Banking and Finance
Monica Billio, Michael Donadelli, Antonio Paradiso, Max Riedel Financial Markets Equity market integration, dynamic correlation, principal components, international diversification benefits2016
2017

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

Journal of Economic Surveys
Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide Financial Markets Competition, Fragmentation, Market Structure, Liquidity, Price Discovery2017
2017

Optimal Consumption and Investment with Epstein-Zin Recursive Utility

Finance and Stochastics
Holger Kraft, Thomas Seiferling, Frank Thomas Seifried Financial Markets consumption-portfolio choice, asset pricing, stochastic differential utility, incomplete markets, fixed point approach, FBSDE2017
2016

Labor Market Dynamics, Endogenous Growth and Asset Prices

Economics Letters
Michael Donadelli, Patrick Grüning Financial Markets http://www.sciencedirect.com/science/article/pii/S01651765163009332016
2016

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

Journal of Monetary Economics
Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov Financial Markets Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion2016
2014

Market Structure and Market Performance in E-Commerce

European Economic Review
Franz Hackl, Michael Kummer, Rudolf Winter-Ebmer, Christine Zulehner Financial Markets Retailing, Product life cycle, Market structure, Market performance, Markup, Price dispersion2014
2015

Matching the BRIC equity premium: A structural approach

Emerging Markets Review
Giuliano Curatola, Michael Donadelli, Patrick Grüning Financial Markets BRIC countries, Equity risk premium, Long-run risk, Persistence2015
2015

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

Journal of Economic Dynamics and Control
Giuliano Curatola Financial Markets, Macro Finance Loss-aversion, Habit formation, Yield curve, Dividend strips, General equilibrium2015
2015

Going Public: How Stock Market Participation Changes Firm Innovation Behavior

Journal of Marketing Research
Christine Moorman, Simone Wies Financial Markets Innovation, breakthrough innovation, stock market impact, IPO, marketing-finance interface, consumer packaged goods2015
2015

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

Journal of International Financial Markets, Institutions and Money
Guglielmo Maria Caporale, Michael Donadelli, Alessia Varani Financial Markets Macro-anomalies, Financial autarky, Complete markets, Long-run innovations, Home bias2015
2015

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

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

MiFID: Eine systematische Analyse der Zielerreichung

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

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

Journal of Economic Theory
Holger Kraft, Frank Thomas Seifried Financial Markets stochastic differential utility, recursive utility, convergence, backward stochastic differential equation2014
2014

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

Journal of Economic Dynamics and Control
Nicole Branger, Holger Kraft, Christoph Meinerding Financial Markets, Systemic Risk Lab, Transparency Lab Asset Allocation, Contagion, Nonlinear Filtering, Hidden State, Self-exciting Processes2014
2014

Mutual Excitation in Eurozone Sovereign CDS

Journal of Econometrics
Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon Financial Markets, Macro Finance, Systemic Risk Lab CDS, Sovereign risk, Systemic risk, Jumps, Feedback, Hawkes processes, Mutually exciting processes, Impulse-response2014
2015

Anchoring in Experimental Asset Markets

Journal of Economic Behavior & Organization
Sascha Baghestanian, Todd B. Walker Financial Markets, Experiment Center Experimental Asset Markets, Anchoring, Bubbles2015
2015

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

Journal of Economic Dynamics and Control
Nicole Branger, Christian Schlag, Lue Wu Financial Markets General Equilibrium, Asset Allocation, Learning, Different Beliefs, Over-Confidence2015
2016

The Dynamics of Crises and the Equity Premium

Review of Financial Studies
Nicole Branger, Holger Kraft, Christoph Meinerding Financial Markets, Systemic Risk Lab General Equilibrium, Asset Pricing, Recursive Preferences, Long-Run Risk, Disaster Models2016
2016

When Do Jumps Matter for Portfolio Optimization?

Quantitative Finance
Marius Ascheberg, Nicole Branger, Holger Kraft, Frank Thomas Seifried Financial Markets Optimal investment, jumps, stochastic volatility, welfare loss2016
2016

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

Journal of Financial Economics
Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno Financial Markets, Systemic Risk Lab Liquidity, Credit Risk, Euro-zone Government Bonds, Financial Crisis, MTS Bond Market2016

Working Papers

TitleAuthor/sNo.Program AreaYearKeywordsPublished

The Dynamics of Crises and the Equity Premium

Nicole Branger, Holger Kraft, Christoph Meinerding11 Financial Markets, Systemic Risk Lab 2013General Equilibrium, Asset Pricing, Recursive Preferences, Long-Run Risk, Disaster Models Jan 2013

Growth Options and Firm Valuation

Holger Kraft, Eduardo S. Schwartz6 Financial Markets, Transparency Lab 2013Firm valuation, Real options, Volatility, R&D expenses Jan 2013

Option-Implied Information and Predictability of Extreme Returns

Grigory Vilkov, Yan Xiao5 Financial Markets 2013extreme value theory, tail measure, implied correlation, variance risk premium, option-implied distribution, predictability, portfolio optimization Jan 2013

When Do Jumps Matter for Portfolio Optimization?

Marius Ascheberg, Nicole Branger, Holger Kraft, Frank Thomas Seifried16 Financial Markets 2013Optimal investment, jumps, stochastic volatility, welfare loss Jan 2013

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

Holger Kraft, Frank Thomas Seifried17 Financial Markets 2013stochastic differential utility, recursive utility, convergence, backward stochastic differential equation Jan 2013

Financing Asset Growth

Michael Brennan, Holger Kraft26 Financial Markets 2013 Jan 2013

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

Nicole Branger, Holger Kraft, Christoph Meinerding28 Financial Markets, Systemic Risk Lab, Transparency Lab 2013Asset Allocation, Contagion, Nonlinear Filtering, Hidden State, Self-exciting Processes Jan 2013

Asset Pricing Under Uncertainty About Shock Propagation

Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding, Christian Schlag34 Financial Markets 2013General Equilibrium, Contagion Risk, Partial Information, Filtering, Recursive Utility Jan 2013

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

Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide35 Financial Markets 2013Competition, Fragmentation, Market Structure, Liquidity, Price Discovery Jan 2013

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

Adrian Buss, Raman Uppal, Grigory Vilkov41 Financial Markets 2014liquidity premium, incomplete markets, portfolio choice, heterogeneous agents Jan 2014

Mutual Excitation in Eurozone Sovereign CDS

Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon51 Financial Markets, Macro Finance, Systemic Risk Lab 2014CDS, Sovereign risk, Systemic risk, Jumps, Feedback, Hawkes processes, Mutually exciting processes, Impulse-response Jan 2014

Optimal Consumption and Investment with Epstein-Zin Recursive Utility

Holger Kraft, Thomas Seiferling, Frank Thomas Seifried52 Financial Markets 2014consumption-portfolio choice, asset pricing, stochastic differential utility, incomplete markets, fixed point approach, FBSDE Jan 2014

Anchoring in Experimental Asset Markets

Sascha Baghestanian, Todd B. Walker54 Financial Markets, Experiment Center 2014Experimental Asset Markets, Anchoring, Bubbles Jan 2014

Measuring Ambiguity Aversion: A Systematic Experimental Approach

Jan Pieter Krahnen, Peter Ockenfels, Christian Wilde55 Financial Intermediation, Financial Markets, Transparency Lab, Experiment Center 2014ambiguity, valuation discount, experimental economics Jan 2014

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

Giuliano Curatola, Michael Donadelli, Alessandro Gioffré, Patrick Grüning56 Financial Markets 2014Austerity Measures, Fiscal Policy, Endogenous Growth, R&D Jan 2014

Peer Effects and Risk Sharing in Experimental Asset Markets

Sascha Baghestanian, Paul Gortner, Joël van der Weele67 Household Finance, Financial Markets, Experiment Center 2014peer effects, laboratory experiments, risk taking, asset markets Jan 2014

Equilibrium Asset Pricing in Directed Networks

Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag74 Financial Markets, Systemic Risk Lab 2014Dynamic Networks, Mutually Exciting Processes, Asset Pricing, General Equilibrium, Recursive Preferences Jan 2014

International Endogenous Growth, Macro Anomalies, and Asset Prices

Patrick Grüning83 Financial Markets 2015Innovation, Product Market Competition, Endogenous Growth, Long-run Risk, International Finance Jan 2015

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

Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno95 Financial Markets, Systemic Risk Lab 2015Liquidity, Credit Risk, Euro-zone Government Bonds, Financial Crisis, MTS Bond Market Jan 2015

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

Nicole Branger, Christian Schlag, Lue Wu114 Financial Markets 2015General Equilibrium, Asset Allocation, Learning, Different Beliefs, Over-Confidence Jan 2015

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

Michael Donadelli, Antonio Paradiso, Max Riedel118 Financial Markets 2015Leading indicator, EU industrial production, Granger causality, Turning points, Forward-looking Taylor rule Jan 2015

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

Michael Brennan, Holger Kraft119 Financial Markets 2015Capital structure, financing policy, managerial incentives Jan 2015

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

Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov124 Financial Markets 2016Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion Jan 2016

Investment-Specific Shocks, Business Cycles, and Asset Prices

Giuliano Curatola, Michael Donadelli, Patrick Grüning, Christoph Meinerding129 Financial Markets 2016General Equilibrium Asset Pricing, Production Economy, Long-Run Risk, Investment-Specific Shocks, Nominal Rigidities Jan 2016

Optimal Consumption and Portfolio Choice with Loss Aversion

Giuliano Curatola130 Financial Markets 2016Loss-aversion, Habit-formation, Consumption-portfolio choice Jan 2016

Commodities, Financialization, and Heterogeneous Agents

Nicole Branger, Patrick Grüning, Christian Schlag131 Financial Markets 2016Commodities, General Equilibrium, Heterogeneous Preferences, Financial Markets Jan 2016

Spoilt for Choice: Order Routing Decisions in Fragmented Equity Markets

Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide143 Financial Markets, Systemic Risk Lab 2016Dark Trading, Fragmentation, Anonymity, Immediacy Jan 2016

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 Yuferova144 Financial Markets, Systemic Risk Lab 2016High-Frequency Traders (HFTs), Pre-Opening, Opening Call Auction, Price Discovery, Liquidity provision. Jan 2016

Systemic Co-Jumps

Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò149 Financial Markets, Systemic Risk Lab 2016Jumps, Return predictability, Systemic events, Variance Risk Premium Jan 2016

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

Fabrizio Lillo, Loriana Pelizzon, Michael Schneider151 Financial Markets, Systemic Risk Lab 2016Liquidity, jump detection, Hawkes processes, government bonds, MTS bond market, Quantitative Easing. Jan 2016

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

Michael Donadelli, Renatas Kizys, Max Riedel158 Financial Markets 2016WHO alerts, investor sentiment, pharmaceutical industry, trading strategies Dec 2016

Which Market Integration Measure?

Monica Billio, Michael Donadelli, Antonio Paradiso, Max Riedel159 Financial Markets 2016Equity market integration, dynamic correlation, principal components, international diversification benefits Dec 2016

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

Giuliano Curatola, Michael Donadelli, Patrick Grüning163 Financial Markets 2017Technology Adoption, R&D Investment, Asymmetric Tax Regimes, Asset Prices Oct 2017

Estimation and Model-Based Combination of Causality Networks

Giovanni Bonaccolto, Massimiliano Caporin, Roberto Panzica165 Financial Markets 2017Granger causality, quantile causality, multi-layer network, network combination Jan 2017

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

Monica Billio, Massimiliano Caporin, Roberto Panzica, Loriana Pelizzon166 Financial Markets, Systemic Risk Lab 2016CAPM, volatility, network, interconnections, systematic risk Dec 2016

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

Michael Donadelli, Patrick Grüning171 Financial Markets 2017Endogenous growth, Asset pricing, Government, Fiscal policy, Heterogeneous innovation Apr 2017

Systemic Risk for Financial Institutions of Major Petroleum-Based Economies: The Role of Oil

Massimiliano Caporin, Michele Costola, Shawkat Hammoudeh, Ahmed Khalifa172 Financial Intermediation, Financial Markets, Systemic Risk Lab 2017Systemic Risk, Risk Measurement, VaR, ΔCoVaR, Oil, Financial Institutions, Petroleum-based Economies Nov 2017

Liquidity Premia in CDS Markets

Christel Merlin Kuate Kamga, Christian Wilde173 Financial Intermediation, Financial Markets 2017CDS, liquidity Aug 2017

International Capital Markets with Time-Varying Preferences

Giuliano Curatola, Ilya Dergunov176 Household Finance, Financial Markets 2017Asset pricing, general equilibrium, heterogeneous agents, interdependent preferences, portfolio choice Aug 2017

Temperature Shocks and Welfare Costs

Michael Donadelli, Marcus Jüppner, Max Riedel, Christian Schlag177 Financial Markets 2017Temperature shocks, long-run growth, asset prices, welfare costs, adaptation Aug 2017

Coming Early to the Party

Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova182 Financial Markets, Systemic Risk Lab 2017High-Frequency Traders (HFTs), Proprietary Trading, Opening Auction, Liquidity Provision, Price Discovery Sep 2017

The Missing Piece of the Puzzle: Liquidity Premiums in Inflation-Indexed Markets

Joost Driessen, Theo E. Nijman, Zorka Simon183 Financial Markets 2017Liquidity premium, liquidity risk, TIPS, inflation swaps, TIPS–Treasury puzzle Sep 2017

Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and Macroeconomics

Patrick Grüning185 Financial Markets 2017Heterogeneous innovation, Technology spillover, Endogenous growth, Creative destruction, International finance Oct 2017

Global Temperature, R&D Expenditure, and Growth

Michael Donadelli, Patrick Grüning, Marcus Jüppner, Renatas Kizys188 Financial Markets 2017Global Temperature, R&D, Welfare Costs Nov 2017

Managing Excess Volatility: Design and Effectiveness of Circuit Breakers

Benjamin Clapham, Peter Gomber, Martin Haferkorn, Sven Panz195 Financial Markets 2018Circuit Breaker, Volatility Interruption, Volatility, Liquidity, Market Design Feb 2018

Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets

Benjamin Clapham, Peter Gomber, Sven Panz196 Financial Markets 2018Circuit Breaker, Volatility Interruption, Market Fragmentation, High-Frequency Trading, Stock Market, Regulation, Liquidity Feb 2018

Circuit Breakers – A Survey among International Trading Venues

Benjamin Clapham, Peter Gomber, Martin Haferkorn, Paul Jentsch, Sven Panz197 Financial Markets 2018 Feb 2018

Level and Slope of Volatility Smiles in Long-Run Risk Models

Nicole Branger, Paulo Rodrigues, Christian Schlag186 Financial Markets, Systemic Risk Lab 2017Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile Nov 2017

The Impact of Monetary Policy Interventions on the Insurance Industry

Loriana Pelizzon, Matteo Sottocornola204 Financial Markets, Macro Finance, Systemic Risk Lab 2018Event study, monetary policy surprise, unconventional monetary policy, conventional monetary policy, insurance industry Apr 2018

Volatility-of-Volatility Risk

Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme210 Financial Markets 2018volatility of volatility, hedging errors, risk premiums May 2018

Pricing Sin Stocks: Ethical Preference vs. Risk Aversion

Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré216 Financial Markets 2018Asset Pricing, General Equilibrium, Sin Stocks Jul 2018

Central Bank-Driven Mispricing

Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno226 Financial Markets, Macro Finance, Systemic Risk Lab 2018Central Bank Interventions, Liquidity, Sovereign Bonds, Futures Contracts, Arbitrage Aug 2018

Recovery from Fast Crashes: Role of Mutual Funds

Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova227 Financial Markets, Systemic Risk Lab, Data Center 2018Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital Jul 2018

Idiosyncratic Volatility Puzzle: The Role of Assets' Interconnections

Roberto Panzica228 Financial Markets, Systemic Risk Lab 2018Idiosyncratic volatility puzzle; Networks; Expected Returns; Granger Causality Aug 2018

Lighting up the Dark: Liquidity in the German Corporate Bond Market

Yalin Gündüz, Giorgio Ottonello, Loriana Pelizzon, Michael Schneider, Marti Subrahmanyam230 Financial Markets, Systemic Risk Lab 2018Corporate Bonds, WpHG, Liquidity, Transparency, OTC markets Sep 2018

Liquidity Provider Incentives in Fragmented Securities Markets

Benjamin Clapham, Peter Gomber, Jens Lausen, Sven Panz231 Financial Markets 2018Liquidity, Trading Volume, Market Fragmentation, Liquidity Provider Incentives, Transaction Costs Jul 2018

Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk

Alejandro Bernales, Nicolas Garrido, Satchit Sagade, Marcela Valenzuela, Christian Westheide234 Financial Markets 2018Fragmentation, Competition, Liquidity, Price Efficiency Oct 2018

Statistical Inferences for Price Staleness

Aleksey Kolokolov, Giulia Livieri, Davide Pirino236 Financial Markets 2018staleness, idle time, liquidity, zero returns, stable convergence Nov 2018

Much Ado About Nothing: A Study of Differential Pricing and Liquidity of Short and Long Term Bonds

Joost Driessen, Theo E. Nijman, Zorka Simon238 Financial Markets, Systemic Risk Lab 2018Sovereign Bonds, Term Structure of Interest Rates, Segmentation, Liquidity, Flight-to-safety, Credit Risk, Unconventional Monetary Policy Dec 2018

Designated Market Makers: Competition and Incentives

Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Darya Yuferova247 Financial Markets, Systemic Risk Lab 2019esignated Market Makers (DMMs), Liquidity Provision Mar 2019

High-Frequency Trading and Price Informativeness

Jasmin Gider, Simon N. M. Schmickler, Christian Westheide248 Financial Markets 2019High-Frequency Trading, Price Efficiency, Information Acquisition, Information Production Mar 2019

Optimists and Pessimists in (In)Complete Markets

Nicole Branger, Patrick Konermann, Christian Schlag252 Financial Markets 2019 Jun 2019

Belief Formation and Belief Updating under Ambiguity: Evidence from Experiments

Wenhui Li, Christian Wilde251 Financial Markets, Experiment Center 2019ambiguity, learning strategy, belief updates, non-Bayesian updates, pessimism, laboratory experiments Jun 2019

Quasi-Dark Trading: The Effects of Banning Dark Pools in a World of Many Alternatives

Thomas Johann, Talis Putnins, Satchit Sagade, Christian Westheide253 Financial Markets 2019 Jan 2019

The Anatomy of the Euro Area Interest Rate Swap Market

Silvia Dalla Fontana, Marco Holz auf der Heide, Loriana Pelizzon, Martin Scheicher255 Financial Markets, Systemic Risk Lab 2019OTC derivatives, network analysis, interest rate risk, banking, risk management, hedging Aug 2019

Horizontal Industry Relationships and Return Predictability

Christian Schlag, Kailin Zeng256 Financial Markets 2019Connected industries, information flow, return predictability Aug 2019

Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case

Monica Billio, Michele Costola, Loriana Pelizzon, Max Riedel261 Financial Markets, Systemic Risk Lab 2019Mortgages, Energy Eciency, Credit Risk Oct 2019

Credit Scoring in SME Asset-Backed Securities: An Italian Case Study

Andrea Bedin, Monica Billio, Michele Costola, Loriana Pelizzon262 Financial Markets, Systemic Risk Lab 2019credit scoring; probability of default; small and medium enterprises; assetbacked securities Oct 2019

The Collateralizability Premium

Hengije Ai, Jun E. Li, Kai Li, Christian Schlag264 Financial Markets 2019 Oct 2019

Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution

Christian Schlag, Julian Thimme, Rüdiger Weber265 Financial Markets 2020Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing Jan 2020

High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?

Mario Bellia, Kim Christensen, Aleksey Kolokolov, Loriana Pelizzon, Roberto Renò270 Financial Markets, Systemic Risk Lab 2020 Mar 2020

Risk Pooling, Leverage, and the Business Cycle

Pietro Dindo, Andrea Modena, Loriana Pelizzon271 Financial Markets, Macro Finance 0 Nov 2020

Collateral Eligibility of Corporate Debt in the Eurosystem

Loriana Pelizzon, Max Riedel, Zorka Simon, Marti Subrahmanyam275 Financial Markets, Macro Finance, Systemic Risk Lab 2020 Apr 2020

Does Monetary Policy Impact International Market Co-Movements?

Massimiliano Caporin, Loriana Pelizzon, Alberto Plazzi276 Financial Markets, Macro Finance 2020 May 2020

Inside the ESG Ratings: (Dis)agreement and Performance

Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino, Loriana Pelizzon284 Financial Markets 2020 Jun 2020

The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy

Elena Carletti, Tommaso Oliviero, Marco Pagano, Loriana Pelizzon, Marti Subrahmanyam285 Financial Markets 2020COVID-19, pandemics, losses, distress, equity, recapitalization. Jul 2020

Machine Learning Sentiment Analysis, COVID-19 News and Stock Market Reactions

Michele Costola, Oliver Hinz, Michael Nofer, Loriana Pelizzon288 Financial Markets 2020COVID-19 news, Sentiment Analysis, Stock Markets Sep 2020

Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models

Christian Schlag, Michael Semenischev, Julian Thimme289 Financial Markets 2020Asset pricing, cross-section of stock returns, predictability Sep 2020

Resiliency: Cross-Venue Dynamics with Hawkes Processes

Loriana Pelizzon, Satchit Sagade, Katia Vozian291 Financial Markets 2020liquidity, resiliency, fragmentation, competition, high-frequency data, Hawkes processes Oct 2020

Recapitalization, Bailout, and Long-run Welfare in a Dynamic Model of Banking

Andrea Modena292 Financial Markets 2020Banks, bailout, general equilibrium, financial frictions, recapitalization, welfare. Oct 2020

Policy Papers

YearTitleAuthor/sProgram AreaKeywordsYear
Nov 2020

What are the wider supervisory implications of the Wirecard case?

Jan Pieter Krahnen, Katja Langenbucher, Christian Leuz, Loriana Pelizzon Financial Markets Wirecard, Supervisory Achitecture, Auditing, Internal Controls, Market Oversight , Investor Protection, Market Integrity Nov 2020
Jul 2020

The Wirecard lessons: A reform proposal for the supervision of securities markets in Europe

Jan Pieter Krahnen, Katja Langenbucher Financial Markets Wirecard, securities markets, market supervision Jul 2020
May 2020

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

Helmut Gründl, Fabian Regele Financial Markets Covid-19-Crisis, catastrophe bond, public private partnership, pandemic insurance May 2020
May 2020

Priorities for the CMU agenda

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

Corona and Financial 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 Apr 2020
Mar 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 Mar 2020
Mar 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 Mar 2020
Mar 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 Mar 2020
Mar 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 Mar 2020
Dec 2019

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 Dec 2019
Sep 2019

What is Libra? Understanding Facebook´s Currency

Maik Schmeling Financial Markets Libra, cryptocurrency, currency board Sep 2019
Jan 2019

Target Balances and Financial Crises

Jan Pieter Krahnen Financial Markets Target 2, payment system, central banks, Eurosystem Jan 2019
Aug 2018

Über Scheinriesen: Was TARGET-Salden tatsächlich bedeuten Eine finanzökonomische Überprüfung

Jan Pieter Krahnen Financial Markets TARGET-Salden, TARGET2, europäischer Zahlungsverkehr, Zentralbankensystem, Eurosystem Aug 2018
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 May 2018
Mar 2018

Governing Cryptocurrencies through Forward Guidance?

Matthias Goldmann, Grygoriy Pustovit Financial Markets cryptocurrencies, blockchain, distributed ledger technology, regulation, forward guidance Mar 2018
Feb 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 Feb 2018
Dec 2017

Systemic Risk in Insurance: Towards a new Approach

Elia Berdin, Matteo Sottocornola Financial Markets systemic risk, macroprudential franework, insurance, financial stability Dec 2017
Mar 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 Mar 2017
Dec 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 Dec 2017
Jan 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 Jan 2017
Sep 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 Sep 2016
Feb 2016

The German Equity Trading Landscape

Peter Gomber Financial Markets MiFID II, MiFIR, equity trading, electronic trading, cash equity markets Feb 2016
Nov 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 Nov 2016
Nov 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 Nov 2015
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 May 2015
May 2014

MiFID: Eine systematische Analyse der Zielerreichung

Peter Gomber, Benedikt Thomas Jaeger Financial Markets MiFID, Wettbewerb, Integration, Transparenz, Integrität May 2014
Sep 2014

Neuordnung der Finanzmärkte in Europa durch MiFID II/MiFIR

Peter Gomber, Frank Nassauer Financial Markets MiFID II, MiFIR, Derivatehandel, Hochfrequenzhandel Sep 2014
Oct 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) Oct 2014
Feb 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 Feb 2015
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 May 2013
Sep 2011

High-Frequency-Trading: Zwischen Nutzeffekten und Risiken

Peter Gomber Financial Markets Wertpapiermärkte, High Frequency Trading, Regulierung Sep 2011
Apr 2011

High Frequency Trading

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

Competition Among Electronic Markets and Market Quality

Peter Gomber, Markus Gsell, Marco Lutat Financial Markets MiFID, market fragmentation,liquidity Dec 2010
Nov 2010

MiFID - Spirit and Reality of a European Financial Markets Directive

Peter Gomber, Axel Pierron Financial Markets MiFID, regulation, securities trading Nov 2010
Nov 2011

Rational Learning About Rare-Disaster Frequencies: A Persistent Source of Asset-Price Overreaction

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

Ongoing Research Projects

CategoryProjectResearcherProject DurationKeywordsProject IDPublication Count
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, Robert F. Dittmar, Holger Kraft, Satchit Sagade, Christian Schlag, Ivan Shaliastovich, Julian Thimme, Rüdiger Weber2020Market microstructure, asset pricing, macrofinance, sustainable finance, Green bonds, ETF, systemic risk, intermediary asset pricing1331011
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 Pelizzon20191
Financial Markets

Algorithmic Discrimination

Benjamin M. Abdel-Karim, Oliver Hinz, Nicolas Winfried Pfeuffer2019Algorithmic ,discrimination, data mining214301
Financial Markets, Systemic Risk Lab

EMIR and MIFID II Regulatory Reform

Mila Getmansky Sherman, Xu Liu, Loriana Pelizzon, Martin Scheicher, Zorka Simon, Haoxiang Zhu2019OTC market, Interest rate swaps, CCP, sovereign bond market225251
Financial Markets

Internalization in a Post-MiFID 2 World

Satchit Sagade, Erik Theissen, Christian Westheide2019Internalization; Liquidity; Price Efficiency; Cream-Skimming; MiFID 2; Best Execution; High-Frequency Trading214281
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
Financial Markets

A New Look at Market Volatility and Market Risk Premia

Constantin Hanenberg, Christian Schlag, Ivan Shaliastovich, Amir Yaron2019Idiosyncratic market risk, expected returns, option prices, present-value model214271
Financial Markets

Pricing Sin Stocks: Ethical Preference vs. Risk Aversion

Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré2018Asset Pricing, General Equilibrium, Sin Stocks, ethical preferences214291
Financial Markets

The FOMC Risk Shift

Tim Alexander Kroencke, Maik Schmeling, Andreas Schrimpf, Mengjie Shi2018monetary policy, policy shocks, risk premia, risk appetite, fund flows214261
Financial Markets

Information in Option Prices

Milad Goodarzi, Christian Schlag, Rüdiger Weber2018Option prices, information, equilbirium model, preferences214251
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 Westheide2018216201
Financial Markets

Optimism, Pessimism, Disagreement and Stock Returns

Giuliano Curatola, Ilya Dergunov, Christian Schlag2018eneral equilibrium; preference interdependence; international capital markets; portfolios.214231
Financial Markets, Systemic Risk Lab

Econometric Methods for High-Frequency Financial Data Analysis

Aleksey Kolokolov, Davide Pirino, Roberto Renò2018High-frequency data, continuous-time asset price modelling, semimartingale hypothesis, jump activity, flat trading 214241
Financial Markets, Systemic Risk Lab, Data Center

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 Zigrand2017225901
Household Finance, Financial Markets

Preference Heterogeneity, Non-Price-Taking Behavior and Asset Prices

Giuliano Curatola, Ilya Dergunov, Alessandro Gioffré, Roberto Panzica2017Networks, social interactions, asset prices 216501
Financial Markets

Competition-Enhancing Changes in Secondary Corporate Bonds

Satchit Sagade, Christian Westheide2017competition, corporate bond, liquidity216401
Financial Markets

The Informational Role of Inflation for Real Asset Prices

Ilya Dergunov, Christoph Meinerding, Christian Schlag2017Inflation, recursive preferences, filtering, equilibrium asset pricing214221
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 Walz2017Corporate Governance, Going Public, Going Private, Historical Data, Regulation212251
Financial Markets

Evaluation of Bidding Groups in First-Price Auctions

Klaus Gugler, Michael Weichselbaumer, Christine Zulehner2016210041
Financial Markets

M&A(dvertising)

Alexander Hillert, Anja Kunzmann, Stefan Ruenzi2016mergers and acquisitions, advertising, investor attention, overvaluation, managerial opportunistic behavior211241
Financial Markets

Globalization and International Financial Markets

Christoph Meinerding, Nikolai Roussanov, Christian Schlag, Ivan Shaliastovich2016international trade networks; asset pricing;214201
Financial Markets

Climate Change, Business Cycle and Asset Prices

Michael Donadelli, Patrick Grüning, Renatas Kizys, Max Riedel, Christian Schlag2016219201
Financial Markets

Exchange Systems and International Comovement of Return and Liquidity

Ryan Riordan, Satchit Sagade, Christian Westheide2016Stock exchange systems, non-fundamental comovement, market integration, excess comovement, commonality, algorithmic trading219221
Financial Markets, Macro 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 Thiemann2016214801
Financial Intermediation, Financial Markets

The Impact of Introducing Intraday Auctions on LSE

Peter Gomber, Satchit Sagade, Christian Westheide2016216201
Financial Markets, Macro Finance

Macroeconomic Bond Risks in the Presence of the Zero Lower Bound

Nicole Branger, Liu Liu, Christian Schlag, Ivan Shaliastovich, Dongho Song2016Macrofinance, bond pricing, market expectations, inflation, growth216301
Financial Markets, Systemic Risk Lab

Network Representations of Interconnections and Contagion

Nils Bertschinger, Roberto Panzica, Loriana Pelizzon, Zorka Simon, Tatiana von Landesberger2016216101
Household Finance, Financial Markets

Bequeathing Illiquid Assets across Generations in an Aging Society

Holger Kraft2016demographic change, overlapping generations, household finance, asset pricing, welfare, life cycle216601
Financial Markets, Systemic Risk Lab

Network Connectivity, Systemic and Systematic Risk

Monica Billio, Massimiliano Caporin, Aleksey Kolokolov, Roberto Panzica, Loriana Pelizzon, Zorka Simon2016216101
Financial Markets

The Role of Tick Size in Market Quality and in SME Financing

Alejandro Bernales, Richard Payne, Satchit Sagade, Christian Westheide2016216201
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 Westheide2016high frequency trading, competition, intermediation, order anticipation 216401
Household Finance, Financial Markets

Time-Varying Preferences and International Capital Markets

Giuliano Curatola, Ilya Dergunov2016Asset pricing, general equilibrium, heterogeneous agents, interdependent preferences, portfolio choice 216501
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 Westheide2016216201
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 Westheide2016216201
Financial Markets, Systemic Risk Lab

The Impact of Unconventional Monetary Policies on European Financial Markets (T4)

Massimiliano Caporin, Loriana Pelizzon, Alberto Plazzi, Roberto Rigobon2016216301
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 Vega2016216301
Financial Markets, Experiment Center

Experimental Asset Markets – Regulation and Design of Fragmented Markets

Peter Ockenfels, Christian Wilde2016216201
Financial Intermediation, Law and Finance, Financial Markets, Macro Finance, Experiment Center

Capital Requirements and Financial Stability: Experimental Evidence

Paul Gortner, Baptiste Massenot2016216501
Financial Markets

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

Satchit Sagade, Stefan Scharnowski, Erik Theissen, Christian Westheide2016216201
Financial Markets, Systemic Risk Lab

Network Connectivity and General Equilibrium Asset Prices

Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag2016Asset pricing, general equilibrium, recursive preferences, dynamic networks, mutually exciting processes, directed shocks 216101
Financial Markets

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

Adrian Buss, Raman Uppal, Grigory Vilkov2016216501
Financial Markets

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

Benjamin Clapham, Peter Gomber, Jascha-Alexander Koch, Sven Panz2015Circuit Breaker, Volatility Interruption, Volatility, Liquidity, Market Design, Coordination, Market Fragmentation, Volume Migration214901
Financial Markets

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

Michael Donadelli, Renatas Kizys, Max Riedel20151
Financial Markets

Which Market Integration Measure?

Monica Billio, Michael Donadelli, Antonio Paradiso, Max Riedel20151
Financial Markets

Investment-Specific Shocks, Business Cycles and Asset Prices

Giuliano Curatola, Michael Donadelli, Patrick Grüning, Christoph Meinerding20151
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 Yuferova2014High Frequency Traders, Order Submission, Order Cancellation, Pre-Opening, Price Discovery, Liquidity Provision121501
Financial Markets

International Models of Growth

Giuliano Curatola, Michael Donadelli, Patrick Grüning2014Endogenous Growth, Innovation, Product Market Competition, Long-run Risk, International Finance114311
Financial Markets

Why Do Different Stocks Fragment Differently?

Jonathan Brogaard, Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide2014Fragmentation, Liquidity, Equitiy Trading, MTF114291
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 Uno2014Sovereign bonds, Liquidity, futures markets, ECB interventions, futures-bond basis, arbitrage121261
Financial Markets

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

Patrick Konermann, Christoph Meinerding, Christian Schlag2014Asset Pricing, General Equilibrium, Recursive Preferences, Dynamic Networks, Mutually Exciting Processes, Jump Processes, Contagion Risk, Network Connectivity114281
Financial Markets, Systemic Risk Lab, Transparency Lab

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

Adrian Buss, Raman Uppal, Grigory Vilkov, Kailin Zeng2014114221
Financial Markets

Financialization in Commodity Markets

Nicole Branger, Patrick Grüning, Max Riedel, Christian Schlag2014financialization, commodities, heterogenous agents114271
Financial Markets, Experiment Center

Excessive Risk Taking, Compensation Schemes and Financial Market Stability

Sascha Baghestanian, Paul Gortner, Baptiste Massenot2014Compensation Schemes, Bubbles, Risk Seeking, Liquidity, Experimental Asset Markets112261
Financial Markets, Experiment Center

Non-Standard Preferences in Experimental Asset Markets

Matthias Blonski, Paul Gortner, Heiner Schumacher, Joël van der Weele2014laboratory experiments, experimental asset markets, peer effects, social preferences112311
Financial Markets

The Continuous-Time Limit of Recursive Utility

Christoph Hambel, Holger Kraft, Frank Thomas Seifried, Sebastian Wagner2014stochastic differential utility, recursive utility, convergence, backward stochastic differential equation114261
Financial Markets

Sentiment and the Economy: A General Equilibrium Analysis

Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov2014114251
Financial Markets, Systemic Risk Lab, Transparency Lab

Determinants of OTC Trading Volume

Peter Gomber, Ilya Gvozdevskiy, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide2013OTC Trading, Dark Pools, MiFID114241
Financial Markets, Systemic Risk Lab, Transparency Lab

Asset Pricing with Recursive Utility and Heterogenous Investors

Nicole Branger, Christopher Scheins, Christian Schlag, Ivan Shaliastovich2013recursive utility, heterogenous investors, differences in beliefs114211
Financial Markets, Systemic Risk Lab, Transparency Lab

General Equilibrium with Contagion Effects

Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding, Christian Schlag2013General Equilibrium, Contagion Risk, Partial Information, Filtering, Recursive Utility, Asset Pricing, Jump Processes114231

Current Research Team

ResearcherPosition
Bagnara, Matteo Research Assistant
Billio, Monica External Researcher, SAFE Fellow
Branger, Nicole External Researcher, SAFE Fellow
Costola, Michele External Researcher, Research Affiliate
Curatola, Giuliano External Researcher, Research Affiliate
Gomber, Peter External Researcher, SAFE Fellow
Hinz, Oliver Senior Researcher, SAFE Fellow
Kraft, Holger External Researcher, SAFE Fellow
Krahnen, Jan Pieter Senior Researcher
Latino, Carmelo Research Assistant
Liu, Xu Research Assistant
Modena, Andrea External Researcher, Research Affiliate
Mücke, Christian Research Assistant
Ockenfels, Peter Senior Researcher, SAFE Fellow
Pelizzon, Loriana Senior Researcher
Schlag, Christian Senior Researcher
Schmeling, Maik External Researcher, SAFE Fellow
Schneider, Michael Research Assistant
Shaliastovich, Ivan External Researcher, SAFE Fellow
Simon, Zorka Junior Researcher
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
Zadourian, Rubina Research Assistant