Michael Schneider, Ph.D.

Michael Schneider, Ph.D.

Program Area:

Financial Markets

Position:

Advanced Researcher

Institution:

SAFE

Key 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 Finance	Financial 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

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