Michael Schneider, Ph.D.
Program Area:
Financial Markets
Position:
Junior Researcher
Institution:
SAFEKey Research Topic(s):
Financial Markets, Market Microstructure, Fixed Income, Money Markets
- Selected Publications
Author/s Title Program Area Published Fabrizio Lillo, Loriana Pelizzon, Michael Schneider Modelling Illiquidity Spillovers with Hawkes Processes: An Application to the Sovereign Bond Market
Quantitative FinanceFinancial Markets, Systemic Risk Lab 2018
- SAFE Working Papers
No. Author/s Title Program Area 230 Yalin Gündüz, Giorgio Ottonello, Loriana Pelizzon, Michael Schneider, Marti Subrahmanyam Lighting up the Dark: Liquidity in the German Corporate Bond Market Financial Markets, Systemic Risk Lab 151 Fabrizio Lillo, Loriana Pelizzon, Michael Schneider How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis Financial Markets, Systemic Risk Lab 298 Emanuel Moench, Loriana Pelizzon, Michael Schneider, Calebe de Roure OTC Discount Financial Markets, Systemic Risk Lab, Data Center
- Ongoing Projects
Researcher Project Funded by Status Project Duration Publication Count Mario Bellia, Patrice Fontaine, Mila Getmansky Sherman, Terrence John Hendershott, Aleksey Kolokolov, Andrea Modena, Loriana Pelizzon, Francesco Poli, Satchit Sagade, Peter Sarlin, Michael Schneider, Jean-Pierre Zigrand Digging into High Frequency Data: Present and Future Risks and Opportunities DFG Ongoing 2017 1 Emanuel Moench, Michael Schneider Safe Asset Shortage and Collateral Re-Use SAFE Ongoing 2021 1
- Completed Projects
Researcher Project Funded by Status Project Duration Publication Count Jannic Cutura, Loriana Pelizzon, Michael Schneider, Marti Subrahmanyam, Davide Tomio, Jun Uno, Clara Vega The Impact of QE Interventions on Market Liquidity and Limits to Arbitrage LOEWE Completed 2016 1