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.

 


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

 

 


Publications

Author/sTitleProgram AreaTypePublishedKeywords
Ruggero Jappelli, Loriana PelizzonPrice 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 SmetakFrequent 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 PelizzonDesigning a rational sanctioning strategy
Policy Letter No. 95
Financial Markets Policy Paper2022SWIFT, Russian Sanctions
Ilya Dergunov, Christoph Meinerding, Christian SchlagExtreme Inflation and Time-Varying Expected Consumption Growth
forthcoming in Management Science
Financial Markets Published Paper2022
Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino, Loriana PelizzonSustainable 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
Ilya Dergunov, Christoph Meinerding, Christian SchlagExtreme Inflation and Time-Varying Expected Consumption Growth
SAFE Working Paper No. 334
Financial Markets SAFE Working Paper2022
Ruggero Jappelli, Loriana Pelizzon, Alberto PlazziThe 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 PanzicaEstimation 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 GrüningInnovation 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 KizysGlobal Temperature, R&D Expenditure, and Growth
Energy Economics
Financial Markets Published Paper2021Global Temperature, R&D, Welfare Costs
Benjamin Clapham, Peter Gomber, Michael SieringPopular 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 KochTo 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 KochResearch 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 WestheideNon-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 WildeThe 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 PelizzonA Meta-Measure of Performance Related to Both Investors and Investments Characteristics
forthcoming in Annals of Operations Research
Financial Markets Published Paper2022
Katja Langenbucher, Loriana PelizzonShort Selling – On Ethics, Politics, and Culture
Zeitschrift für Bankrecht und Bankwirtschaft
Financial Markets Published Paper2021
Jan Pieter Krahnen, Jörg Rocholl, Marcel ThumA 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 CostolaTime-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 PelizzonImpact 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 WestheideCall 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. SantagiustinaOn the “Mementum” of Meme Stocks
Economics Letters
Financial Markets Published Paper2021Meme stocksSocial mediaSocial tradingCointegrationRegime switching
Volker Flögel, Christian Schlag, Claudia ZunftMomentum-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 ThakorThe 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 RiedelBuildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case
forthcoming in 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 PelizzonInside 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 YuferovaRecovery from Fast Crashes: Role of Mutual Funds
forthcoming in 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 SimonMarket Impact of Government Communication: The Case of Presidential Tweets
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 SagadeHigh-Frequency Trading (HFT) in the Stock Market and the Costs of Option Market Making
Financial Markets Thirdparty Working Paper2021
Can Gao, Ian MartinVolatility, 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 MartinVolatility, 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 LangenbucherBaFin (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 WahrenburgNon-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 HanleyInvestor 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 SchrimpfThe FOMC Risk Shift
Journal of Monetary Economics
Financial Markets Published Paper2021
Samuel Rönnqvist, Satchit Sagade, Katia Vozian, Pontus WistbackaPredicting 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 Thirdparty Working Paper2021
Aljoscha Janssen, Johannes KasingerObfuscation 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 ZareeiGlobal 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 SubrahmanyamCorona 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 MoskCaptured 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 RoureOTC 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 PelizzonWhat 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 ModenaRecapitalization, 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 VozianResiliency: 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 SchlagEquilibrium 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 ThimmePredictability 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 ThimmePredictability 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 PelizzonMachine 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 PelizzonNon-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 WildeSeparating 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 SubrahmanyamThe 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 SubrahmanyamThe 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 PelizzonInside the ESG Ratings: (Dis)agreement and Performance
SAFE Working Paper No. 284
Financial Markets SAFE Working Paper2020
Jan Pieter Krahnen, Katja LangenbucherThe 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 RegelePandemic 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 PlazziDoes Monetary Policy Impact Sovereign Credit Risk Comovement?
SAFE Working Paper No. 276
Financial Markets, Macro Finance SAFE Working Paper2020
Gbenga Ibikunle, Khaladdin RzayevCOVID-19: Venue Selection Effects and Implications for Market Quality
Financial Markets, Systemic Risk Lab Thirdparty Working Paper2020
Jan Pieter Krahnen, Loriana PelizzonPriorities for the CMU agenda
Policy Letter No. 85
Financial Markets Policy Paper2020CMU, High-Level-Forum, Interim Report
Loriana Pelizzon, Max Riedel, Zorka Simon, Marti SubrahmanyamCollateral 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 SubrahmanyamCorona 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 SubrahmanyamCorona 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 PelizzonRisk Pooling, Leverage, 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 SubrahmanyamCorona 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 RochollZur 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 SubrahmanyamThe Coronavirus and Financial Stability
Policy Letter No. 78
Financial Markets Policy Paper2020coronavirus, financial stability, banking, strategies
Aleksey Kolokolov, Giulia Livieri, Davide PirinoStatistical Inferences for Price Staleness
Journal of Econometrics
Financial Markets Published Paper2020staleness, idle time, liquidity, zero returns, stable convergence
Christian Schlag, Julian Thimme, Rüdiger WeberImplied 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 SchlagThe Collateralizability Premium
Review of Financial Studies
Financial Markets Published Paper2020
Christian Schlag, Julian Thimme, Rüdiger WeberImplied 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 WahrenburgWhat 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 SchlagThe Collateralizability Premium
SAFE Working Paper No. 264
Financial Markets SAFE Working Paper2019
Andrea Bedin, Monica Billio, Michele Costola, Loriana PelizzonCredit 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 RiedelBuildings' 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 SchmelingWhat 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 WangCan Central Banks Boost Corporate Investment? Evidence from the ECB Liquidity Injections
Financial Markets, Macro Finance Thirdparty Related Work2019
Stefano Colonnello, Giuliano Curatola, Alessandro GioffréPricing Sin Stocks: Ethical Preference vs. Risk Aversion
European Economic Review
Financial Markets Published Paper2019
Erik Theissen, Christian WestheideCall of Duty: Designated Market Maker Participation in Call Auctions
Journal of Financial Markets
Financial Markets Published Paper2020
Christian Schlag, Kailin ZengHorizontal 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 ThimmeVolatility-of-Volatility Risk
Journal of Financial and Quantitative Analysis
Financial Markets Published Paper2019
Nicole Branger, Patrick Konermann, Christian SchlagOptimists and Pessimists in (In)Complete Markets
Journal of Financial and Quantitative Analysis
Financial Markets Published Paper2020
Christian Schlag, Kailin ZengHorizontal Industry Relationships and Return Predictability
SAFE Working Paper No. 256
Financial Markets SAFE Working Paper2019Connected industries, information flow, return predictability
Tina KoziolFire-Sale Externalities in the South African Banking Sector
Financial Markets Thirdparty Working Paper2019
Thomas Johann, Talis Putnins, Satchit Sagade, Christian WestheideQuasi-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 ScheicherThe 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 WildeBelief 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 SchlagOptimists and Pessimists in (In)Complete Markets
SAFE Working Paper No. 252
Financial Markets SAFE Working Paper2019
Puriya Abbassi, Michael SchmidtFinancial Stability Effect of Yield-Oriented Investment Behaviour
Financial Markets, Macro Finance Thirdparty Working Paper2019Portfolio allocation, fixed income, yield reversals, financial stress, financial stability
Sascha Baghestanian, Paul Gortner, Joël van der WeelePeer 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 YuferovaMarket 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 YuferovaRecovery from Fast Crashes: Role of Mutual Funds
Financial Markets, Systemic Risk Lab, Data Center Thirdparty Related Work2018Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital
Nicole Branger, Christian Schlag, Ivan Shaliastovich, Dongho SongMacroeconomic Bond Risks and the Zero Lower Bound
Financial Markets, Macro Finance Thirdparty Related Work2016Macro-Finance Term Structure Models, Zero Lower Bound, Shadow Rates, Shadow Risk Premia
Matthias Max Nagel, Matthias ThiemannShifting Frames of the Expert Debate: Quantitative Easing, International Macro-Finance and the Potential Impact of Post-Keynesian Scholarship
Financial Markets, Macro Finance Thirdparty Working Paper2019
Zhiwu Hong, LinLin NiuAn Arbitrage-Free Yield Net Model with Application to the Euro Debt Crisis
Financial Markets, Macro Finance Thirdparty Working Paper2019
Tina Koziol, Jesper Riedler, Joeri SchasfoortEuro Area Quantitative Easing in a Portfolio Balance Model with Heterogeneous Agents and Assets
Financial Markets, Macro Finance Thirdparty Working Paper2019
Allan Davids, Co-Pierre GeorgThe Cape of Good Homes: Exchange Rate Depreciations, Foreign Demand and House Prices
Financial Markets, Macro Finance Thirdparty Working Paper2019foreign housing demand, exchange rates, house prices
Mucai Lin, LinLin NiuEcho over the Great Wall: Spillover Effects of QE Announcements on Chinese Yield Curve
Financial Markets, Macro Finance Thirdparty Working Paper2019
Jan Pieter KrahnenTarget Balances and Financial Crises
Policy Letter No. 71
Financial Markets Policy Paper2019Target 2, payment system, central banks, Eurosystem
Viral AcharyaForeign Fund Flows and Asset Prices: Evidence from the Indian Stock Market
Financial Markets Thirdparty Related Work2016
LinLin Niu, Loriana Pelizzon, Marti Subrahmanyam, Reiko Tobe, Davide Tomio, Jun UnoScarcity and Spotlight Effects on Liquidity and Yield: Quantitative Easing in Japan
Financial Markets, Macro Finance, Systemic Risk Lab Thirdparty Working Paper2018
Joost Driessen, Theo E. Nijman, Zorka SimonMuch Ado About Nothing: A Study of Differential Pricing and Liquidity of Short and Long Term Bonds
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 RenòHigh-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?
SAFE Working Paper No. 270
Financial Markets, Systemic Risk Lab SAFE Working Paper2020
Jasmin Gider, Peter Gomber, Simon N. M. Schmickler, Christian WestheideHigh-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 WestheideTrader 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 SchrimpfThe 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 PanzLiquidity 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 SubrahmanyamLighting 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 PanzicaIdiosyncratic 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 HanleyPortfolio 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 YuferovaRecovery 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 KrahnenÜber 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 GioffréPricing 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 GvozdevskiyDark 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 GioffréPricing Sin Stocks: Ethical Preference vs. Risk Aversion
European Economic Review
Financial Markets Published Paper2019
Massimiliano Caporin, Aleksey Kolokolov, Roberto RenòSystemic 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 PirinoStatistical 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 ThimmeVolatility-of-Volatility Risk
SAFE Working Paper No. 210
Financial Markets SAFE Working Paper2018volatility of volatility, hedging errors, risk premiums
Michael Donadelli, Antonio Paradiso, Max RiedelA 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 ThiemannWhy 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 KraftLeaning 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 RigobonMeasuring Sovereign Contagion in Europe
Journal of Financial Stability
Financial Markets, Systemic Risk Lab Published Paper2018
Stephanie Collet, Kim OosterlinckDenouncing 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 SchlagLevel 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 PustovitGoverning Cryptocurrencies through Forward Guidance?
Policy Letter No. 68
Financial Markets Policy Paper2018cryptocurrencies, blockchain, distributed ledger technology, regulation, forward guidance
Massimiliano Caporin, Luca Corazzini, Michele CostolaMeasuring 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 PanzCircuit Breakers – A Survey among International Trading Venues
SAFE Working Paper No. 197
Financial Markets SAFE Working Paper2018
Johannes Kasinger, Loriana PelizzonFinancial 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 HaferkornHigh-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 GrüningHeterogeneity 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 PanzEnsuring Market Integrity and Stability: Circuit Breakers on International Trading Venues
Journal of Trading
Financial Markets Published Paper2017
Loriana Pelizzon, Matteo SottocornolaThe 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 SchneiderModelling 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 SottocornolaSystemic 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 KizysGlobal 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 SchlagLevel 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 GrüningHeterogeneity 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 SimonThe 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 PanzCoordination 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 PanzManaging 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 YuferovaComing 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 UnoCentral 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 SteffenLender of Last Resort, Buyer of Last Resort, and a Fear of Fire Sales in the Sovereign Bond Market
Financial Markets, Macro Finance Thirdparty Working Paper2018
Michael Donadelli, Marcus Jüppner, Max Riedel, Christian SchlagTemperature 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 SchlagTemperature 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 DergunovInternational 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 WeissGrowth Options and Firm Valuation
European Financial Management
Financial Markets Published Paper2018Firm valuation, Real options, Volatility, R&D expenses
Christel Merlin Kuate Kamga, Christian WildeLiquidity Premia in CDS Markets
SAFE Working Paper No. 173
Financial Intermediation, Financial Markets SAFE Working Paper2017CDS, liquidity
Massimiliano Caporin, Michele Costola, Shawkat Hammoudeh, Ahmed KhalifaSystemic 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 CuratolaOptimal 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 GrüningInnovation 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 GrüningInternational 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 ReyFinancial 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 PelizzonThe 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 WildeSkin-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 PanzicaEstimation 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 GrüningTechnology 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 RiedelDangerous 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 KrahnenSME 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 RiedelWhich 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 RiedelWhich 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 RiedelGlobally 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 SchneiderHow 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 RenòSystemic 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 YuferovaHigh 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 WestheideSpoilt 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 WestheideCompetition 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 SeifriedOptimal 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 GrüningLabor 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 SchlagCommodities, Financialization, and Heterogeneous Agents
SAFE Working Paper No. 131
Financial Markets SAFE Working Paper2016Commodities, General Equilibrium, Heterogeneous Preferences, Financial Markets
Peter GomberThe 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 SchüwerStructural 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 VilkovThe 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 CuratolaOptimal 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 MeinerdingInvestment-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 VilkovThe 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 GebhardtImpairments 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 KraftLeaning 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 RiedelA 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 ZulehnerMarket 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 GrüningMatching the BRIC equity premium: A structural approach
Emerging Markets Review
Financial Markets Published Paper2015BRIC countries, Equity risk premium, Long-run risk, Persistence
Giuliano CuratolaLoss 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 UnoSovereign 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 WiesGoing 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 TrögerComments 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 RigobonMeasuring 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 VaraniInternational 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 JaegerMiFID: Eine systematische Analyse der Zielerreichung
White Paper No. 14
Financial Markets Policy Paper2014MiFID, Wettbewerb, Integration, Transparenz, Integrität
Sascha Baghestanian, Paul Gortner, Joël van der WeelePeer 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 NassauerNeuordnung 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 SchlagEquilibrium 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 SchlagWhat 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 GrüningInternational 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 ThiemannThe 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 WolfMindfully Resisting the Bandwagon – IT Implementation and Its Consequences in the Financial Crisis
Policy Letter No. 10
Financial Markets Policy Paper2013IT innovations, financial services
Peter GomberHigh-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 UhleHigh Frequency Trading
White Paper No. 3, 2011
Financial Markets Policy Paper2011algorithmic trading, high-frequency trading, regulation
Peter Gomber, Markus Gsell, Marco LutatCompetition Among Electronic Markets and Market Quality
White Paper No. 25, 2010
Financial Markets Policy Paper2010MiFID, market fragmentation,liquidity
Peter Gomber, Axel PierronMiFID - Spirit and Reality of a European Financial Markets Directive
White Paper No. 22, 2010
Financial Markets Policy Paper2010MiFID, regulation, securities trading
Volker WielandRational 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 WeissGrowth 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 XiaoOption-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 SeifriedWhen 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 KraftFinancing Asset Growth
SAFE Working Paper No. 26
Financial Markets SAFE Working Paper2013
Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding, Christian SchlagAsset 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 WestheideCompetition 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 VilkovAsset 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 SeifriedOptimal 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 WildeMeasuring 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 GrüningAusterity, 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 MeinerdingThe 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 SeifriedStochastic 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 MeinerdingPartial 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 PelizzonMutual 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. WalkerAnchoring 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 WestheideThe State of Play in European Over-the-Counter Equities Trading
Journal of Trading
Financial Markets Published Paper2015
Peter Gomber, Benedikt Thomas JaegerMiFID: 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 SeifriedStochastic 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 MeinerdingPartial 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 PelizzonMutual 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. WalkerAnchoring 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 MeinerdingThe 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 SeifriedWhen 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 UnoSovereign 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 Markets, Experiment Center

Strategic Self-Deception in Repeated Interaction

David Poensgen20222323021
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 Tröger20221781011
Financial Markets

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

Luca Bertalot, Monica Billio, Stefano Colonnello, Michele Costola, Aoife Fitzpatrick, Carmelo Latino, Loriana Pelizzon20211381061
Financial Markets

The Transferability of Price Patterns in Fragmented Equity Markets

Tino Cestonaro, Jonas De Paolis, Peter Gomber2021Market microstructure; Deep learning; Limit order book; Price formation; High- frequency data; Financial machine learning1
Financial Markets

Safe Asset Shortage and Collateral Re-Use

Emanuel Moench, Michael Schneider2021safe assets, government bonds, collateral re-use, rehypothecation, repo market, securities lending1
Financial Markets, Experiment Center

(Tho)roughly Explained: The Impact of Algorithmic Transparency on Beliefs and Human Decision Making

Kevin Bauer20202323011
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, 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

Monica Billio, Nuno Cassola, Vittoria Cerasi, Michele Costola, Enrica De Cian, Iva Hristova, Carmelo Latino, Matteo Manera, Irene Monasterolo, Claudio Morana, Loriana Pelizzon20191381011
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

Fee-Based Competition between Trading Venues

Benjamin Clapham, Peter Gomber, Olga Klein, Jens Lausen, Sven Panz, Satchit Sagade, Christian Westheide, Christian Wilde2018216201
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

Nan Hu, Tim Alexander Kroencke, Maik Schmeling, Andreas Schrimpf2018214261
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, 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

Craig Lewis, Jun E. Li, 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

The Impact of QE Interventions on Sovereign Bond Market Microstructure

Zhiwu Hong, LinLin Niu, Loriana Pelizzon, Marti Subrahmanyam, Reiko Tobe, Davide Tomio, Jun Uno2016214801
Financial Markets, Macro Finance

Macroeconomic Asset Price Risks in the Presence of the Zero Lower Bound

Nicole Branger, Jun E. Li, Loriana Pelizzon, Christian Schlag, Ivan Shaliastovich, Dongho Song2016214801
Financial Markets, Macro Finance

QE, Foreigner Behavior and Market Fragility in the Indian NSE Electronic Equity Order Book Markets

Viral Acharya, Loriana Pelizzon2016214801
Financial Markets, Macro Finance

Signalling and Portfolio Balance Effects of QE Announcements on China’s Yield Curve

Mucai Lin, LinLin Niu2016214801
Financial Markets, Macro Finance

Quantitative Easing and Channels of Systemic Risk

Allan Davids, Co-Pierre Georg, Tina Koziol, Jesper Riedler2016214801
Financial Markets, Macro Finance

The Regulatory Debate Regarding Quantitative Easing and Systemic Risk

Vanessa Endrejat, Jan Pieter Krahnen, Matthias Max Nagel, Christian Resch, Matthias Thiemann2016214801
Financial Markets, Macro Finance

Private Short Term Funding and ECB Unconventional Monetary Policies

Viral Acharya, Diane Pierret, Sascha Steffen2016214801
Financial Markets, Macro Finance

Unconventional Monetary Policy, International Spillovers, and Systemic Risk

Co-Pierre Georg, Tina Koziol, Jesper Riedler2016214801
Financial Markets, Macro Finance

The topology of the South Africa interbank network

Co-Pierre Georg, Jan Pieter Krahnen2016214801
Financial Markets, Macro Finance

The Impact of Unconventional Monetary Policies on European Financial Markets

Massimiliano Caporin, Xu Liu, Loriana Pelizzon, Alberto Plazzi, Max Riedel2016214801
Financial Markets, Macro Finance, Systemic Risk Lab

Quantitative Easing and Financial (In)Stability

Marcel Bluhm, Co-Pierre Georg, Jan Pieter Krahnen, Jun E. Li, Xu Liu, Loriana Pelizzon, Mihaela-Simina Puscasu, Christian Schlag, Sascha Steffen, Marti Subrahmanyam, Matthias Thiemann, Jun Uno2016214801
Financial Intermediation, Financial Markets

The Impact of Introducing Intraday Auctions on LSE

Peter Gomber, Satchit Sagade, Stefan Scharnowski, Erik Theissen, 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, Aleksey Kolokolov, Roberto Panzica, Loriana Pelizzon, Zorka Simon, Tatiana von Landesberger2016216101
Household Finance, Financial Markets

Bequeathing Illiquid Assets across Generations in an Aging Society

Holger Kraft, Farina Weiss2016demographic 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 Westheide, Christian Wilde2016216201
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, 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

Current Research Team

ResearcherPosition
Bagnara, Matteo Junior Researcher
Billio, Monica External Researcher, SAFE Fellow
Branger, Nicole External Researcher, SAFE Fellow
Costola, Michele External Researcher, Research Affiliate
Curatola, Giuliano External Researcher, Research Affiliate
Donadelli, Michael External Researcher, Research Affiliate
Fitzpatrick, Aoife Junior Researcher
Gao, Can Advanced Researcher
Gomber, Peter External Researcher, SAFE Fellow
Hinz, Oliver Senior Researcher, SAFE Fellow
Jappelli, Ruggero Junior Researcher
Kraft, Holger External Researcher, SAFE Fellow
Krahnen, Jan Pieter Senior Researcher
Latino, Carmelo Junior Researcher
Maddaloni, Angela SAFE Fellow
Mücke, Christian Junior Researcher
Nam, Rachel Junior Researcher
Ockenfels, Peter Senior Researcher, SAFE Fellow
Pelizzon, Loriana Senior Researcher
Schlag, Christian Senior Researcher
Schmeling, Maik External Researcher, SAFE Fellow
Shaliastovich, Ivan External Researcher, SAFE Fellow
Simon, Zorka Advanced 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