Michael Schneider, Ph.D.
- Program Area:
- Systemic Risk Lab, Financial Markets
- Position:
- Research Assistant
- Institution:
- SAFE
- Phone:
- +49 69 798 30046
- Email:
- schneider@safe.uni-frankfurt.de
- Room:
- HoF 1.17
- Website
| 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 |
| No. | Author/s | Title | Program Area |
|---|---|---|---|
| 151 | Fabrizio Lillo, Loriana Pelizzon, Michael Schneider | How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis | Financial Markets, Systemic Risk Lab |
| 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 |
| Researcher | Project | Funded by | Status | Project Duration | Publication Count |
|---|---|---|---|---|---|
| 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 | Ongoing | 2016 | 1 |
| 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 |