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:

International Conference on Sovereign Bond Markets

SAFE Asset Pricing Workshop

Publications

Published	Title	Author/s	Program Area	Keywords	Published
2020	Equilibrium Asset Pricing in Directed Networks	Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag forthcoming in Review of Finance	Financial Markets, Systemic Risk Lab	Dynamic Networks, Mutually Exciting Processes, Asset Pricing, General Equilibrium, Recursive Preferences	2020
2020	Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models	Christian Schlag, Michael Semenischev, Julian Thimme forthcoming in Management Science	Financial Markets	Asset pricing, cross-section of stock returns, predictability	2020
2009	Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data	Monica Billio, Mila Getmansky Sherman, Loriana Pelizzon Journal of Alternative Investments	Financial Markets	Hedge Funds, Risk Management, High frequency data	2009
2020	The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy	Elena Carletti, Tommaso Oliviero, Marco Pagano, Loriana Pelizzon, Marti Subrahmanyam The Review of Corporate Finance Studies	Financial Markets	COVID-19, pandemics, losses, distress, equity, recapitalization.	2020
2020	Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution	Christian Schlag, Julian Thimme, Rüdiger Weber forthcoming in Journal of Financial Economics	Financial Markets	Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing	2020
2020	Statistical Inferences for Price Staleness	Aleksey Kolokolov, Giulia Livieri, Davide Pirino Journal of Econometrics	Financial Markets	staleness, idle time, liquidity, zero returns, stable convergence	2020
2020	The Collateralizability Premium	Hengije Ai, Jun E. Li, Kai Li, Christian Schlag forthcoming in Review of Financial Studies	Financial Markets		2020
2019	Pricing Sin Stocks: Ethical Preference vs. Risk Aversion	Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré European Economic Review	Financial Markets		2019
2020	Call of Duty: Designated Market Maker Participation in Call Auctions	Erik Theissen, Christian Westheide Journal of Financial Markets	Financial Markets		2020
2019	Horizontal Industry Relationships and Return Predictability	Christian Schlag, Kailin Zeng Journal of Empirical Finance	Financial Markets	Connected industries, information flow, return predictability	2019
2019	Volatility-of-Volatility Risk	Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme Journal of Financial and Quantitative Analysis	Financial Markets		2019
2019	Optimists and Pessimists in (In)Complete Markets	Nicole Branger, Patrick Konermann, Christian Schlag forthcoming in Journal of Financial and Quantitative Analysis	Financial Markets		2019
2019	Peer Effects and Risk Sharing in Experimental Asset Markets	Sascha Baghestanian, Paul Gortner, Joël van der Weele European Economic Review	Household Finance, Financial Markets, Experiment Center	peer effects, laboratory experiments, risk taking, asset markets	2019
2017	Dark Trading under MiFID II	Peter Gomber, Ilya Gvozdevskiy Regulation of the EU Financial Markets: MiFID II and MiFIR (Oxford University Press)	Financial Markets		2017
2017	Systemic Co-Jumps	Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò Journal of Financial Economics	Financial Markets, Systemic Risk Lab	Jumps; Return predictability; Systemic events; Variance risk premium	2017
2019	A Quasi Real-Time Leading Indicator for the EU Industrial Production	Michael Donadelli, Antonio Paradiso, Max Riedel The Manchester School	Financial Markets	Leading indicator, EU industrial production, Granger causality, Turning points, Forward-looking Taylor rule	2019
2018	Leaning Against the Wind: Debt Financing in the Face of Adversity	Michael Brennan, Holger Kraft Financial Management	Financial Markets	Capital structure, financing policy, managerial incentives	2018
2018	Measuring Sovereign Contagion in Europe	Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon Journal of Financial Stability	Financial Markets, Systemic Risk Lab		2018
2018	Denouncing Odious Debts	Stephanie Collet, Kim Oosterlinck Journal of Business Ethics	Data Center, Financial Markets	Ethics, Odious debt, Repudiation, Financial history, Sovereign debt, Russia	2018
2019	Measuring the Behavioural Component of the S&P 500 and its Relationship to Financial Stress and Aggregated Earnings Surprises	Massimiliano Caporin, Luca Corazzini, Michele Costola British Journal of Management	Financial Markets, Systemic Risk Lab		2019
2017	High-Frequency Trading and its Role in Fragmented Markets	Martin Haferkorn Journal of Information Technology	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	Patrick Grüning Finance Research Letters	Financial Markets	Heterogeneous innovation; Technology spillover; Endogenous growth; Creative destruction; International finance	2018
2017	Ensuring Market Integrity and Stability: Circuit Breakers on International Trading Venues	Benjamin Clapham, Peter Gomber, Martin Haferkorn, Paul Jentsch, Sven Panz Journal of Trading	Financial Markets		2017
2018	Modelling Illiquidity Spillovers with Hawkes Processes: An Application to the Sovereign Bond Market	Fabrizio Lillo, Loriana Pelizzon, Michael Schneider Quantitative Finance	Financial Markets, Systemic Risk Lab	Liquidity, Jump detection, Hawkes processes, Government bonds, MTS bond market	2018
2017	Temperature Shocks and Welfare Costs	Michael Donadelli, Marcus Jüppner, Max Riedel, Christian Schlag Journal of Economic Dynamics and Control	Financial Markets	Temperature shocks, long-run growth, asset prices, welfare costs, adaptation	2017
2018	Growth Options and Firm Valuation	Holger Kraft, Eduardo S. Schwartz European Financial Management	Financial Markets	Firm valuation, Real options, Volatility, R&D expenses	2018
2017	Optimal Portfolio Choice with Loss Aversion Over Consumption	Giuliano Curatola Quarterly Review of Economics and Finance	Financial Markets	Loss-aversion, Habit-formation, Consumption–portfolio choice	2017
2017	International Endogenous Growth, Macro Anomalies, and Asset Prices	Patrick Grüning Journal of Economic Dynamics and Control	Financial Markets	Innovation, Technology spillover, Endogenous growth, Long-run risk, International finance	2017
2017	Dangerous Infectious Diseases: Bad News for Main Street, Good News for Wall Street?	Michael Donadelli, Renatas Kizys, Max Riedel Journal of Financial Markets	Financial Markets	WHO alerts, investor sentiment, pharmaceutical industry, trading strategies	2017
2016	Which Market Integration Measure?	Monica Billio, Michael Donadelli, Antonio Paradiso, Max Riedel Journal of Banking and Finance	Financial Markets	Equity market integration, dynamic correlation, principal components, international diversification benefits	2016
2017	Competition Between Equity Markets: A Review of the Consolidation Versus Fragmentation Debate	Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide Journal of Economic Surveys	Financial Markets	Competition, Fragmentation, Market Structure, Liquidity, Price Discovery	2017
2017	Optimal Consumption and Investment with Epstein-Zin Recursive Utility	Holger Kraft, Thomas Seiferling, Frank Thomas Seifried Finance and Stochastics	Financial Markets	consumption-portfolio choice, asset pricing, stochastic differential utility, incomplete markets, fixed point approach, FBSDE	2017
2016	Labor Market Dynamics, Endogenous Growth and Asset Prices	Michael Donadelli, Patrick Grüning Economics Letters	Financial Markets	http://www.sciencedirect.com/science/article/pii/S0165176516300933	2016
2016	The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis	Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov Journal of Monetary Economics	Financial Markets	Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion	2016
2014	Market Structure and Market Performance in E-Commerce	Franz Hackl, Michael Kummer, Rudolf Winter-Ebmer, Christine Zulehner European Economic Review	Financial Markets	Retailing, Product life cycle, Market structure, Market performance, Markup, Price dispersion	2014
2015	Matching the BRIC equity premium: A structural approach	Giuliano Curatola, Michael Donadelli, Patrick Grüning Emerging Markets Review	Financial Markets	BRIC countries, Equity risk premium, Long-run risk, Persistence	2015
2015	Loss aversion, habit formation and the term structures of equity and interest rates	Giuliano Curatola Journal of Economic Dynamics and Control	Financial Markets, Macro Finance	Loss-aversion, Habit formation, Yield curve, Dividend strips, General equilibrium	2015
2015	Going Public: How Stock Market Participation Changes Firm Innovation Behavior	Christine Moorman, Simone Wies Journal of Marketing Research	Financial Markets	Innovation, breakthrough innovation, stock market impact, IPO, marketing-finance interface, consumer packaged goods	2015
2015	International Capital Markets Structure, Preferences and Puzzles: A US-China World	Guglielmo Maria Caporale, Michael Donadelli, Alessia Varani Journal of International Financial Markets, Institutions and Money	Financial Markets	Macro-anomalies, Financial autarky, Complete markets, Long-run innovations, Home bias	2015
2015	The State of Play in European Over-the-Counter Equities Trading	Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide Journal of Trading	Financial Markets		2015
2014	MiFID: Eine systematische Analyse der Zielerreichung	Peter Gomber, Benedikt Thomas Jaeger Zeitschrift für Bankrecht und Bankwirtschaft	Financial Markets		2014
2014	Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility	Holger Kraft, Frank Thomas Seifried Journal of Economic Theory	Financial Markets	stochastic differential utility, recursive utility, convergence, backward stochastic differential equation	2014
2014	Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization	Nicole Branger, Holger Kraft, Christoph Meinerding Journal of Economic Dynamics and Control	Systemic Risk Lab, Financial Markets, Transparency Lab	Asset Allocation, Contagion, Nonlinear Filtering, Hidden State, Self-exciting Processes	2014
2014	Mutual Excitation in Eurozone Sovereign CDS	Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon Journal of Econometrics	Systemic Risk Lab, Financial Markets, Macro Finance	CDS, Sovereign risk, Systemic risk, Jumps, Feedback, Hawkes processes, Mutually exciting processes, Impulse-response	2014
2015	Anchoring in Experimental Asset Markets	Sascha Baghestanian, Todd B. Walker Journal of Economic Behavior & Organization	Financial Markets, Experiment Center	Experimental Asset Markets, Anchoring, Bubbles	2015
2015	"Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors	Nicole Branger, Christian Schlag, Lue Wu Journal of Economic Dynamics and Control	Financial Markets	General Equilibrium, Asset Allocation, Learning, Different Beliefs, Over-Confidence	2015
2016	The Dynamics of Crises and the Equity Premium	Nicole Branger, Holger Kraft, Christoph Meinerding Review of Financial Studies	Systemic Risk Lab, Financial Markets	General Equilibrium, Asset Pricing, Recursive Preferences, Long-Run Risk, Disaster Models	2016
2016	When Do Jumps Matter for Portfolio Optimization?	Marius Ascheberg, Nicole Branger, Holger Kraft, Frank Thomas Seifried Quantitative Finance	Financial Markets	Optimal investment, jumps, stochastic volatility, welfare loss	2016
2016	Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina?	Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno Journal of Financial Economics	Systemic Risk Lab, Financial Markets	Liquidity, Credit Risk, Euro-zone Government Bonds, Financial Crisis, MTS Bond Market	2016

More Research PublicationsLess Research Publications

Working Papers

Title	Author/s	No.	Program Area	Year	Keywords	Published
The Dynamics of Crises and the Equity Premium	Nicole Branger, Holger Kraft, Christoph Meinerding	11	Systemic Risk Lab, Financial Markets	2013	General Equilibrium, Asset Pricing, Recursive Preferences, Long-Run Risk, Disaster Models	201301
Growth Options and Firm Valuation	Holger Kraft, Eduardo S. Schwartz	6	Financial Markets, Transparency Lab	2013	Firm valuation, Real options, Volatility, R&D expenses	201301
Option-Implied Information and Predictability of Extreme Returns	Grigory Vilkov, Yan Xiao	5	Financial Markets	2013	extreme value theory, tail measure, implied correlation, variance risk premium, option-implied distribution, predictability, portfolio optimization	201301
When Do Jumps Matter for Portfolio Optimization?	Marius Ascheberg, Nicole Branger, Holger Kraft, Frank Thomas Seifried	16	Financial Markets	2013	Optimal investment, jumps, stochastic volatility, welfare loss	201301
Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility	Holger Kraft, Frank Thomas Seifried	17	Financial Markets	2013	stochastic differential utility, recursive utility, convergence, backward stochastic differential equation	201301
Financing Asset Growth	Michael Brennan, Holger Kraft	26	Financial Markets	2013		201301
Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization	Nicole Branger, Holger Kraft, Christoph Meinerding	28	Transparency Lab, Systemic Risk Lab, Financial Markets	2013	Asset Allocation, Contagion, Nonlinear Filtering, Hidden State, Self-exciting Processes	201301
Asset Pricing Under Uncertainty About Shock Propagation	Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding, Christian Schlag	34	Financial Markets	2013	General Equilibrium, Contagion Risk, Partial Information, Filtering, Recursive Utility	201301
Competition Between Equity Markets: A Review of the Consolidation Versus Fragmentation Debate	Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide	35	Financial Markets	2013	Competition, Fragmentation, Market Structure, Liquidity, Price Discovery	201301
Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs	Adrian Buss, Raman Uppal, Grigory Vilkov	41	Financial Markets	2014	liquidity premium, incomplete markets, portfolio choice, heterogeneous agents	201401
Mutual Excitation in Eurozone Sovereign CDS	Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon	51	Systemic Risk Lab, Financial Markets, Macro Finance	2014	CDS, Sovereign risk, Systemic risk, Jumps, Feedback, Hawkes processes, Mutually exciting processes, Impulse-response	201401
Optimal Consumption and Investment with Epstein-Zin Recursive Utility	Holger Kraft, Thomas Seiferling, Frank Thomas Seifried	52	Financial Markets	2014	consumption-portfolio choice, asset pricing, stochastic differential utility, incomplete markets, fixed point approach, FBSDE	201401
Anchoring in Experimental Asset Markets	Sascha Baghestanian, Todd B. Walker	54	Financial Markets, Experiment Center	2014	Experimental Asset Markets, Anchoring, Bubbles	201401
Measuring Ambiguity Aversion: A Systematic Experimental Approach	Jan Pieter Krahnen, Peter Ockenfels, Christian Wilde	55	Financial Intermediation, Financial Markets, Transparency Lab, Experiment Center	2014	ambiguity, valuation discount, experimental economics	201401
Austerity, Fiscal Uncertainty, and Economic Growth: Insights from Fiscally Weak EU Countries	Giuliano Curatola, Michael Donadelli, Alessandro Gioffré, Patrick Grüning	56	Financial Markets	2014	Austerity Measures, Fiscal Policy, Endogenous Growth, R&D	201401
Peer Effects and Risk Sharing in Experimental Asset Markets	Sascha Baghestanian, Paul Gortner, Joël van der Weele	67	Household Finance, Financial Markets, Experiment Center	2014	peer effects, laboratory experiments, risk taking, asset markets	201401
Equilibrium Asset Pricing in Directed Networks	Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag	74	Financial Markets, Systemic Risk Lab	2014	Dynamic Networks, Mutually Exciting Processes, Asset Pricing, General Equilibrium, Recursive Preferences	201401
International Endogenous Growth, Macro Anomalies, and Asset Prices	Patrick Grüning	83	Financial Markets	2015	Innovation, Product Market Competition, Endogenous Growth, Long-run Risk, International Finance	201501
Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina?	Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno	95	Systemic Risk Lab, Financial Markets	2015	Liquidity, Credit Risk, Euro-zone Government Bonds, Financial Crisis, MTS Bond Market	201501
"Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors	Nicole Branger, Christian Schlag, Lue Wu	114	Financial Markets	2015	General Equilibrium, Asset Allocation, Learning, Different Beliefs, Over-Confidence	201501
A Quasi Real-Time Leading Indicator for the EU Industrial Production	Michael Donadelli, Antonio Paradiso, Max Riedel	118	Financial Markets	2015	Leading indicator, EU industrial production, Granger causality, Turning points, Forward-looking Taylor rule	201501
Leaning Against the Wind: Debt Financing in the Face of Adversity	Michael Brennan, Holger Kraft	119	Financial Markets	2015	Capital structure, financing policy, managerial incentives	201501
The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis	Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov	124	Financial Markets	2016	Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion	201601
Investment-Specific Shocks, Business Cycles, and Asset Prices	Giuliano Curatola, Michael Donadelli, Patrick Grüning, Christoph Meinerding	129	Financial Markets	2016	General Equilibrium Asset Pricing, Production Economy, Long-Run Risk, Investment-Specific Shocks, Nominal Rigidities	201601
Optimal Consumption and Portfolio Choice with Loss Aversion	Giuliano Curatola	130	Financial Markets	2016	Loss-aversion, Habit-formation, Consumption-portfolio choice	201601
Commodities, Financialization, and Heterogeneous Agents	Nicole Branger, Patrick Grüning, Christian Schlag	131	Financial Markets	2016	Commodities, General Equilibrium, Heterogeneous Preferences, Financial Markets	201601
Spoilt for Choice: Order Routing Decisions in Fragmented Equity Markets	Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide	143	Financial Markets, Systemic Risk Lab	2016	Dark Trading, Fragmentation, Anonymity, Immediacy	201601
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 Yuferova	144	Financial Markets, Systemic Risk Lab	2016	High-Frequency Traders (HFTs), Pre-Opening, Opening Call Auction, Price Discovery, Liquidity provision.	201601
Systemic Co-Jumps	Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò	149	Financial Markets, Systemic Risk Lab	2016	Jumps, Return predictability, Systemic events, Variance Risk Premium	201601
How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis	Fabrizio Lillo, Loriana Pelizzon, Michael Schneider	151	Financial Markets, Systemic Risk Lab	2016	Liquidity, jump detection, Hawkes processes, government bonds, MTS bond market, Quantitative Easing.	201601
Globally Dangerous Diseases: Bad News for Main Street, Good News for Wall Street?	Michael Donadelli, Renatas Kizys, Max Riedel	158	Financial Markets	2016	WHO alerts, investor sentiment, pharmaceutical industry, trading strategies	201612
Which Market Integration Measure?	Monica Billio, Michael Donadelli, Antonio Paradiso, Max Riedel	159	Financial Markets	2016	Equity market integration, dynamic correlation, principal components, international diversification benefits	201612
Technology Trade with Asymmetric Tax Regimes and Heterogeneous Labor Markets: Implications for Macro Quantities and Asset Prices	Giuliano Curatola, Michael Donadelli, Patrick Grüning	163	Financial Markets	2017	Technology Adoption, R&D Investment, Asymmetric Tax Regimes, Asset Prices	201710
Estimation and Model-Based Combination of Causality Networks	Giovanni Bonaccolto, Massimiliano Caporin, Roberto Panzica	165	Financial Markets	2017	Granger causality, quantile causality, multi-layer network, network combination	201701
The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification	Monica Billio, Massimiliano Caporin, Roberto Panzica, Loriana Pelizzon	166	Financial Markets, Systemic Risk Lab	2016	CAPM, volatility, network, interconnections, systematic risk	201612
Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare	Michael Donadelli, Patrick Grüning	171	Financial Markets	2017	Endogenous growth, Asset pricing, Government, Fiscal policy, Heterogeneous innovation	201704
Systemic Risk for Financial Institutions of Major Petroleum-Based Economies: The Role of Oil	Massimiliano Caporin, Michele Costola, Shawkat Hammoudeh, Ahmed Khalifa	172	Financial Markets, Financial Intermediation, Systemic Risk Lab	2017	Systemic Risk, Risk Measurement, VaR, ΔCoVaR, Oil, Financial Institutions, Petroleum-based Economies	201711
Liquidity Premia in CDS Markets	Christel Merlin Kuate Kamga, Christian Wilde	173	Financial Markets, Financial Intermediation	2017	CDS, liquidity	201708
International Capital Markets with Time-Varying Preferences	Giuliano Curatola, Ilya Dergunov	176	Financial Markets, Household Finance	2017	Asset pricing, general equilibrium, heterogeneous agents, interdependent preferences, portfolio choice	201708
Temperature Shocks and Welfare Costs	Michael Donadelli, Marcus Jüppner, Max Riedel, Christian Schlag	177	Financial Markets	2017	Temperature shocks, long-run growth, asset prices, welfare costs, adaptation	201708
Coming Early to the Party	Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova	182	Financial Markets, Systemic Risk Lab	2017	High-Frequency Traders (HFTs), Proprietary Trading, Opening Auction, Liquidity Provision, Price Discovery	201709
The Missing Piece of the Puzzle: Liquidity Premiums in Inflation-Indexed Markets	Joost Driessen, Theo E. Nijman, Zorka Simon	183	Financial Markets	2017	Liquidity premium, liquidity risk, TIPS, inflation swaps, TIPS–Treasury puzzle	201709
Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and Macroeconomics	Patrick Grüning	185	Financial Markets	2017	Heterogeneous innovation, Technology spillover, Endogenous growth, Creative destruction, International finance	201710
Global Temperature, R&D Expenditure, and Growth	Michael Donadelli, Patrick Grüning, Marcus Jüppner, Renatas Kizys	188	Financial Markets	2017	Global Temperature, R&D, Welfare Costs	201711
Managing Excess Volatility: Design and Effectiveness of Circuit Breakers	Benjamin Clapham, Peter Gomber, Martin Haferkorn, Sven Panz	195	Financial Markets	2018	Circuit Breaker, Volatility Interruption, Volatility, Liquidity, Market Design	201802
Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets	Benjamin Clapham, Peter Gomber, Sven Panz	196	Financial Markets	2018	Circuit Breaker, Volatility Interruption, Market Fragmentation, High-Frequency Trading, Stock Market, Regulation, Liquidity	201802
Circuit Breakers – A Survey among International Trading Venues	Benjamin Clapham, Peter Gomber, Martin Haferkorn, Paul Jentsch, Sven Panz	197	Financial Markets	2018		201802
Level and Slope of Volatility Smiles in Long-Run Risk Models	Nicole Branger, Paulo Rodrigues, Christian Schlag	186	Financial Markets, Systemic Risk Lab	2017	Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile	201711
The Impact of Monetary Policy Interventions on the Insurance Industry	Loriana Pelizzon, Matteo Sottocornola	204	Macro Finance, Financial Markets, Systemic Risk Lab	2018	Event study, monetary policy surprise, unconventional monetary policy, conventional monetary policy, insurance industry	201804
Volatility-of-Volatility Risk	Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme	210	Financial Markets	2018	volatility of volatility, hedging errors, risk premiums	201805
Pricing Sin Stocks: Ethical Preference vs. Risk Aversion	Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré	216	Financial Markets	2018	Asset Pricing, General Equilibrium, Sin Stocks	201807
Central Bank-Driven Mispricing	Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno	226	Financial Markets, Macro Finance, Systemic Risk Lab	2018	Central Bank Interventions, Liquidity, Sovereign Bonds, Futures Contracts, Arbitrage	201808
Recovery from Fast Crashes: Role of Mutual Funds	Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova	227	Systemic Risk Lab, Data Center, Financial Markets	2018	Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital	201807
Idiosyncratic Volatility Puzzle: The Role of Assets' Interconnections	Roberto Panzica	228	Financial Markets, Systemic Risk Lab	2018	Idiosyncratic volatility puzzle; Networks; Expected Returns; Granger Causality	201808
Lighting up the Dark: Liquidity in the German Corporate Bond Market	Yalin Gündüz, Giorgio Ottonello, Loriana Pelizzon, Michael Schneider, Marti Subrahmanyam	230	Financial Markets, Systemic Risk Lab	2018	Corporate Bonds, WpHG, Liquidity, Transparency, OTC markets	201809
Liquidity Provider Incentives in Fragmented Securities Markets	Benjamin Clapham, Peter Gomber, Jens Lausen, Sven Panz	231	Financial Markets	2018	Liquidity, Trading Volume, Market Fragmentation, Liquidity Provider Incentives, Transaction Costs	201807
Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk	Alejandro Bernales, Nicolas Garrido, Satchit Sagade, Marcela Valenzuela, Christian Westheide	234	Financial Markets	2018	Fragmentation, Competition, Liquidity, Price Efficiency	201810
Statistical Inferences for Price Staleness	Aleksey Kolokolov, Giulia Livieri, Davide Pirino	236	Financial Markets	2018	staleness, idle time, liquidity, zero returns, stable convergence	201811
Much Ado About Nothing: A Study of Differential Pricing and Liquidity of Short and Long Term Bonds	Joost Driessen, Theo E. Nijman, Zorka Simon	238	Financial Markets, Systemic Risk Lab	2018	Sovereign Bonds, Term Structure of Interest Rates, Segmentation, Liquidity, Flight-to-safety, Credit Risk, Unconventional Monetary Policy	201812
Designated Market Makers: Competition and Incentives	Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Darya Yuferova	247	Financial Markets, Systemic Risk Lab	2019	esignated Market Makers (DMMs), Liquidity Provision	201903
High-Frequency Trading and Price Informativeness	Jasmin Gider, Simon N. M. Schmickler, Christian Westheide	248	Financial Markets	2019	High-Frequency Trading, Price Efficiency, Information Acquisition, Information Production	201903
Optimists and Pessimists in (In)Complete Markets	Nicole Branger, Patrick Konermann, Christian Schlag	252	Financial Markets	2019		201906
Belief Formation and Belief Updating under Ambiguity: Evidence from Experiments	Wenhui Li, Christian Wilde	251	Financial Markets, Experiment Center	2019	ambiguity, learning strategy, belief updates, non-Bayesian updates, pessimism, laboratory experiments	201906
Quasi-Dark Trading: The Effects of Banning Dark Pools in a World of Many Alternatives	Thomas Johann, Talis Putnins, Satchit Sagade, Christian Westheide	253	Financial Markets	2019		201901
The Anatomy of the Euro Area Interest Rate Swap Market	Silvia Dalla Fontana, Marco Holz auf der Heide, Loriana Pelizzon, Martin Scheicher	255	Financial Markets, Systemic Risk Lab	2019	OTC derivatives, network analysis, interest rate risk, banking, risk management, hedging	201908
Horizontal Industry Relationships and Return Predictability	Christian Schlag, Kailin Zeng	256	Financial Markets	2019	Connected industries, information flow, return predictability	201908
Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case	Monica Billio, Michele Costola, Loriana Pelizzon, Max Riedel	261	Systemic Risk Lab, Financial Markets	2019	Mortgages, Energy Eciency, Credit Risk	201910
Credit Scoring in SME Asset-Backed Securities: An Italian Case Study	Andrea Bedin, Monica Billio, Michele Costola, Loriana Pelizzon	262	Financial Markets, Systemic Risk Lab	2019	credit scoring; probability of default; small and medium enterprises; assetbacked securities	201910
The Collateralizability Premium	Hengije Ai, Jun E. Li, Kai Li, Christian Schlag	264	Financial Markets	2019		201910
Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution	Christian Schlag, Julian Thimme, Rüdiger Weber	265	Financial Markets	2020	Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing	202001
High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?	Mario Bellia, Kim Christensen, Aleksey Kolokolov, Loriana Pelizzon, Roberto Renò	270	Systemic Risk Lab, Financial Markets	2020		202003
Risk Pooling, Leverage, and the Business Cycle	Pietro Dindo, Andrea Modena, Loriana Pelizzon	271	Financial Markets, Macro Finance	0		202312
Collateral Eligibility of Corporate Debt in the Eurosystem	Loriana Pelizzon, Max Riedel, Zorka Simon, Marti Subrahmanyam	275	Financial Markets, Macro Finance, Systemic Risk Lab	2020		202004
Does Monetary Policy Impact International Market Co-Movements?	Massimiliano Caporin, Loriana Pelizzon, Alberto Plazzi	276	Financial Markets, Macro Finance	2020		202005
Inside the ESG Ratings: (Dis)agreement and Performance	Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino, Loriana Pelizzon	284	Financial Markets	2020		202006
The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy	Elena Carletti, Tommaso Oliviero, Marco Pagano, Loriana Pelizzon, Marti Subrahmanyam	285	Financial Markets	2020	COVID-19, pandemics, losses, distress, equity, recapitalization.	202007
Machine Learning Sentiment Analysis, COVID-19 News and Stock Market Reactions	Michele Costola, Oliver Hinz, Michael Nofer, Loriana Pelizzon	288	Financial Markets	2020	COVID-19 news, Sentiment Analysis, Stock Markets	202009
Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models	Christian Schlag, Michael Semenischev, Julian Thimme	289	Financial Markets	2020	Asset pricing, cross-section of stock returns, predictability	202009
Resiliency: Cross-Venue Dynamics with Hawkes Processes	Loriana Pelizzon, Satchit Sagade, Katia Vozian	291	Financial Markets	2020	liquidity, resiliency, fragmentation, competition, high-frequency data, Hawkes processes	202010
Recapitalization, Bailout, and Long-run Welfare in a Dynamic Model of Banking	Andrea Modena	292	Financial Markets	2020	Banks, bailout, general equilibrium, financial frictions, recapitalization, welfare.	202010

More Working PapersLess Working Papers

Policy Papers

Year	Title	Author/s	Program Area	Keywords	Year
November 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	2020-11
July 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	2020-07
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	2020-05
May 2020	Priorities for the CMU agenda	Jan Pieter Krahnen, Loriana Pelizzon	Financial Markets	CMU, High-Level-Forum, Interim Report	2020-05
April 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	2020-04
March 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	2020-03
March 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	2020-03
March 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	2020-03
March 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	2020-03
December 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	2019-12
September 2019	What is Libra? Understanding Facebook´s Currency	Maik Schmeling	Financial Markets	Libra, cryptocurrency, currency board	2019-09
January 2019	Target Balances and Financial Crises	Jan Pieter Krahnen	Financial Markets	Target 2, payment system, central banks, Eurosystem	2019-01
August 2018	Über Scheinriesen: Was TARGET-Salden tatsächlich bedeuten Eine finanzökonomische Überprüfung	Jan Pieter Krahnen	Financial Markets	TARGET-Salden, TARGET2, europäischer Zahlungsverkehr, Zentralbankensystem, Eurosystem	2018-08
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	2018-05
March 2018	Governing Cryptocurrencies through Forward Guidance?	Matthias Goldmann, Grygoriy Pustovit	Financial Markets	cryptocurrencies, blockchain, distributed ledger technology, regulation, forward guidance	2018-03
February 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	2018-02
December 2017	Systemic Risk in Insurance: Towards a new Approach	Elia Berdin, Matteo Sottocornola	Financial Markets	systemic risk, macroprudential franework, insurance, financial stability	2017-12
March 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	2017-03
December 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	2017-12
January 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	2017-01
September 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	2016-09
February 2016	The German Equity Trading Landscape	Peter Gomber	Financial Markets	MiFID II, MiFIR, equity trading, electronic trading, cash equity markets	2016-02
November 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	2016-11
November 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	2015-11
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	2015-05
May 2014	MiFID: Eine systematische Analyse der Zielerreichung	Peter Gomber, Benedikt Thomas Jaeger	Financial Markets	MiFID, Wettbewerb, Integration, Transparenz, Integrität	2014-05
September 2014	Neuordnung der Finanzmärkte in Europa durch MiFID II/MiFIR	Peter Gomber, Frank Nassauer	Financial Markets	MiFID II, MiFIR, Derivatehandel, Hochfrequenzhandel	2014-09
October 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)	2014-10
February 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	2015-02
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	2013-05
September 2011	High-Frequency-Trading: Zwischen Nutzeffekten und Risiken	Peter Gomber	Financial Markets	Wertpapiermärkte, High Frequency Trading, Regulierung	2011-09
April 2011	High Frequency Trading	Björn Arndt, Peter Gomber, Marco Lutat, Tim Uhle	Financial Markets	algorithmic trading, high-frequency trading, regulation	2011-04
December 2010	Competition Among Electronic Markets and Market Quality	Peter Gomber, Markus Gsell, Marco Lutat	Financial Markets	MiFID, market fragmentation,liquidity	2010-12
November 2010	MiFID - Spirit and Reality of a European Financial Markets Directive	Peter Gomber, Axel Pierron	Financial Markets	MiFID, regulation, securities trading	2010-11
November 2011	Rational Learning About Rare-Disaster Frequencies: A Persistent Source of Asset-Price Overreaction	Volker Wieland	Financial Markets	asset prices, comsumer beliefs, Bayesian learning	2011-11

More Policy PublicationsLess Policy Publications

Ongoing Research Projects

Category	Project	Researcher	Project Duration	Keywords	Project ID	Publication Count
Financial Markets	Securities Lending and Quantitative Easing	Virginia Gianinazzi, Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio	2020	Quantitative Easing, Security Lending Facility, Repo Market	133103	0
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 Weber	2020	Market microstructure, asset pricing, macrofinance, sustainable finance, Green bonds, ETF, systemic risk, intermediary asset pricing	133101	0
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 Pelizzon	2019			1
Financial Markets	Algorithmic Discrimination	Benjamin M. Abdel-Karim, Oliver Hinz, Nicolas Winfried Pfeuffer	2019	Algorithmic ,discrimination, data mining	21430	0
Financial Markets, Systemic Risk Lab	EMIR and MIFID II Regulatory Reform	Mila Getmansky Sherman, Xu Liu, Loriana Pelizzon, Martin Scheicher, Zorka Simon, Haoxiang Zhu	2019	OTC market, Interest rate swaps, CCP, sovereign bond market	22525	1
Financial Markets	Internalization in a Post-MiFID 2 World	Satchit Sagade, Erik Theissen, Christian Westheide	2019	Internalization; Liquidity; Price Efficiency; Cream-Skimming; MiFID 2; Best Execution; High-Frequency Trading	21428	0
Financial Markets, Experiment Center	Experimental Asset Markets - Price Formation in the Presence of Ambiguity	Wenhui Li, Peter Ockenfels, Christian Wilde	2019	Experimental asset markets, information transmission, price formation, ambiguity	133102	1
Financial Markets	A New Look at Market Volatility and Market Risk Premia	Constantin Hanenberg, Christian Schlag, Ivan Shaliastovich, Amir Yaron	2019	Idiosyncratic market risk, expected returns, option prices, present-value model	21427	0
Financial Markets	Pricing Sin Stocks: Ethical Preference vs. Risk Aversion	Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré	2018	Asset Pricing, General Equilibrium, Sin Stocks, ethical preferences	21429	1
Financial Markets	The FOMC Risk Shift	Tim Alexander Kroencke, Maik Schmeling, Andreas Schrimpf, Mengjie Shi	2018	monetary policy, policy shocks, risk premia, risk appetite, fund flows	21426	0
Financial Markets	Information in Option Prices	Milad Goodarzi, Christian Schlag, Rüdiger Weber	2018	Option prices, information, equilbirium model, preferences	21425	1
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 Westheide	2018		21620	1
Financial Markets	Optimism, Pessimism, Disagreement and Stock Returns	Giuliano Curatola, Ilya Dergunov, Christian Schlag	2018	eneral equilibrium; preference interdependence; international capital markets; portfolios.	21423	0
Financial Markets, Systemic Risk Lab	Econometric Methods for High-Frequency Financial Data Analysis	Aleksey Kolokolov, Davide Pirino, Roberto Renò	2018	High-frequency data, continuous-time asset price modelling, semimartingale hypothesis, jump activity, flat trading	21424	1
Systemic Risk Lab, Data Center, Financial Markets	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 Zigrand	2017		22590	1
Household Finance, Financial Markets	Preference Heterogeneity, Non-Price-Taking Behavior and Asset Prices	Giuliano Curatola, Ilya Dergunov, Alessandro Gioffré, Roberto Panzica	2017	Networks, social interactions, asset prices	21650	0
Financial Markets	Competition-Enhancing Changes in Secondary Corporate Bonds	Satchit Sagade, Christian Westheide	2017	competition, corporate bond, liquidity	21640	1
Financial Markets	The Informational Role of Inflation for Real Asset Prices	Ilya Dergunov, Christoph Meinerding, Christian Schlag	2017	Inflation, recursive preferences, filtering, equilibrium asset pricing	21422	0
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 Walz	2017	Corporate Governance, Going Public, Going Private, Historical Data, Regulation	21225	0
Financial Markets	Evaluation of Bidding Groups in First-Price Auctions	Klaus Gugler, Michael Weichselbaumer, Christine Zulehner	2016		21004	0
Financial Markets	M&A(dvertising)	Alexander Hillert, Anja Kunzmann, Stefan Ruenzi	2016	mergers and acquisitions, advertising, investor attention, overvaluation, managerial opportunistic behavior	21124	0
Financial Markets	Globalization and International Financial Markets	Christoph Meinerding, Nikolai Roussanov, Christian Schlag, Ivan Shaliastovich	2016	international trade networks; asset pricing;	21420	0
Financial Markets	Climate Change, Business Cycle and Asset Prices	Michael Donadelli, Patrick Grüning, Renatas Kizys, Max Riedel, Christian Schlag	2016		21920	1
Financial Markets	Exchange Systems and International Comovement of Return and Liquidity	Ryan Riordan, Satchit Sagade, Christian Westheide	2016	Stock exchange systems, non-fundamental comovement, market integration, excess comovement, commonality, algorithmic trading	21922	0
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 Thiemann	2016		21480	1
Financial Markets, Financial Intermediation	The Impact of Introducing Intraday Auctions on LSE	Peter Gomber, Satchit Sagade, Christian Westheide	2016		21620	1
Financial Markets, Macro Finance	Macroeconomic Bond Risks in the Presence of the Zero Lower Bound	Nicole Branger, Liu Liu, Christian Schlag, Ivan Shaliastovich, Dongho Song	2016	Macrofinance, bond pricing, market expectations, inflation, growth	21630	1
Financial Markets, Systemic Risk Lab	Network Representations of Interconnections and Contagion	Nils Bertschinger, Roberto Panzica, Loriana Pelizzon, Zorka Simon, Tatiana von Landesberger	2016		21610	1
Financial Markets, Household Finance	Bequeathing Illiquid Assets across Generations in an Aging Society	Holger Kraft	2016	demographic change, overlapping generations, household finance, asset pricing, welfare, life cycle	21660	1
Financial Markets, Systemic Risk Lab	Network Connectivity, Systemic and Systematic Risk	Monica Billio, Massimiliano Caporin, Aleksey Kolokolov, Roberto Panzica, Loriana Pelizzon, Zorka Simon	2016		21610	1
Financial Markets	The Role of Tick Size in Market Quality and in SME Financing	Alejandro Bernales, Richard Payne, Satchit Sagade, Christian Westheide	2016		21620	1
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 Westheide	2016	high frequency trading, competition, intermediation, order anticipation	21640	1
Financial Markets, Household Finance	Time-Varying Preferences and International Capital Markets	Giuliano Curatola, Ilya Dergunov	2016	Asset pricing, general equilibrium, heterogeneous agents, interdependent preferences, portfolio choice	21650	1
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 Westheide	2016		21620	1
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 Westheide	2016		21620	1
Financial Markets, Systemic Risk Lab	The Impact of Unconventional Monetary Policies on European Financial Markets (T4)	Massimiliano Caporin, Loriana Pelizzon, Alberto Plazzi, Roberto Rigobon	2016		21630	1
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 Vega	2016		21630	1
Financial Markets, Experiment Center	Experimental Asset Markets – Regulation and Design of Fragmented Markets	Peter Ockenfels, Christian Wilde	2016		21620	1
Macro Finance, Financial Intermediation, Law and Finance, Financial Markets, Experiment Center	Capital Requirements and Financial Stability: Experimental Evidence	Paul Gortner, Baptiste Massenot	2016		21650	1
Financial Markets	The Effect of EU Short Selling Regulations on Liquidity and Price Efficiency	Satchit Sagade, Stefan Scharnowski, Erik Theissen, Christian Westheide	2016		21620	1
Financial Markets, Systemic Risk Lab	Network Connectivity and General Equilibrium Asset Prices	Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag	2016	Asset pricing, general equilibrium, recursive preferences, dynamic networks, mutually exciting processes, directed shocks	21610	1
Financial Markets	Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets	Adrian Buss, Raman Uppal, Grigory Vilkov	2016		21650	1
Financial Markets	Management of Market Risks: Regulation and Coordination of Volatility Interruptions in Europe	Benjamin Clapham, Peter Gomber, Jascha-Alexander Koch, Sven Panz	2015	Circuit Breaker, Volatility Interruption, Volatility, Liquidity, Market Design, Coordination, Market Fragmentation, Volume Migration	21490	1
Financial Markets	Globally Dangerous Diseases: Bad News for Main Street, Good News for Wall Street?	Michael Donadelli, Renatas Kizys, Max Riedel	2015			1
Financial Markets	Which Market Integration Measure?	Monica Billio, Michael Donadelli, Antonio Paradiso, Max Riedel	2015			1
Financial Markets	Investment-Specific Shocks, Business Cycles and Asset Prices	Giuliano Curatola, Michael Donadelli, Patrick Grüning, Christoph Meinerding	2015			1
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 Yuferova	2014	High Frequency Traders, Order Submission, Order Cancellation, Pre-Opening, Price Discovery, Liquidity Provision	12150	1
Financial Markets	International Models of Growth	Giuliano Curatola, Michael Donadelli, Patrick Grüning	2014	Endogenous Growth, Innovation, Product Market Competition, Long-run Risk, International Finance	11431	1
Financial Markets	Why Do Different Stocks Fragment Differently?	Jonathan Brogaard, Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide	2014	Fragmentation, Liquidity, Equitiy Trading, MTF	11429	1
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 Uno	2014	Sovereign bonds, Liquidity, futures markets, ECB interventions, futures-bond basis, arbitrage	12126	1
Financial Markets	Network Connectivity, Self-Exciting Jumps and General Equilibrium Asset Prices	Patrick Konermann, Christoph Meinerding, Christian Schlag	2014	Asset Pricing, General Equilibrium, Recursive Preferences, Dynamic Networks, Mutually Exciting Processes, Jump Processes, Contagion Risk, Network Connectivity	11428	1
Financial Markets, Transparency Lab, Systemic Risk Lab	Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs	Adrian Buss, Raman Uppal, Grigory Vilkov, Kailin Zeng	2014		11422	1
Financial Markets	Financialization in Commodity Markets	Nicole Branger, Patrick Grüning, Max Riedel, Christian Schlag	2014	financialization, commodities, heterogenous agents	11427	1
Experiment Center, Financial Markets	Excessive Risk Taking, Compensation Schemes and Financial Market Stability	Sascha Baghestanian, Paul Gortner, Baptiste Massenot	2014	Compensation Schemes, Bubbles, Risk Seeking, Liquidity, Experimental Asset Markets	11226	1
Experiment Center, Financial Markets	Non-Standard Preferences in Experimental Asset Markets	Matthias Blonski, Paul Gortner, Heiner Schumacher, Joël van der Weele	2014	laboratory experiments, experimental asset markets, peer effects, social preferences	11231	1
Financial Markets	The Continuous-Time Limit of Recursive Utility	Christoph Hambel, Holger Kraft, Frank Thomas Seifried, Sebastian Wagner	2014	stochastic differential utility, recursive utility, convergence, backward stochastic differential equation	11426	1
Financial Markets	Sentiment and the Economy: A General Equilibrium Analysis	Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov	2014		11425	1
Financial Markets, Transparency Lab, Systemic Risk Lab	Determinants of OTC Trading Volume	Peter Gomber, Ilya Gvozdevskiy, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide	2013	OTC Trading, Dark Pools, MiFID	11424	1
Financial Markets, Transparency Lab, Systemic Risk Lab	Asset Pricing with Recursive Utility and Heterogenous Investors	Nicole Branger, Christopher Scheins, Christian Schlag, Ivan Shaliastovich	2013	recursive utility, heterogenous investors, differences in beliefs	11421	1
Financial Markets, Transparency Lab, Systemic Risk Lab	General Equilibrium with Contagion Effects	Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding, Christian Schlag	2013	General Equilibrium, Contagion Risk, Partial Information, Filtering, Recursive Utility, Asset Pricing, Jump Processes	11423	1

More ProjectsLess Projects

Current Research Team

Researcher	Position
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

Financial Markets

Contact

Publications

Equilibrium Asset Pricing in Directed Networks

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

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

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

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

Statistical Inferences for Price Staleness

The Collateralizability Premium

Pricing Sin Stocks: Ethical Preference vs. Risk Aversion

Call of Duty: Designated Market Maker Participation in Call Auctions

Horizontal Industry Relationships and Return Predictability

Volatility-of-Volatility Risk

Optimists and Pessimists in (In)Complete Markets

Peer Effects and Risk Sharing in Experimental Asset Markets

Dark Trading under MiFID II

Systemic Co-Jumps

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

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

Measuring Sovereign Contagion in Europe

Denouncing Odious Debts

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

High-Frequency Trading and its Role in Fragmented Markets

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

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

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

Temperature Shocks and Welfare Costs

Growth Options and Firm Valuation

Optimal Portfolio Choice with Loss Aversion Over Consumption

International Endogenous Growth, Macro Anomalies, and Asset Prices

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

Which Market Integration Measure?

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

Optimal Consumption and Investment with Epstein-Zin Recursive Utility

Labor Market Dynamics, Endogenous Growth and Asset Prices

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

Market Structure and Market Performance in E-Commerce

Matching the BRIC equity premium: A structural approach

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

Going Public: How Stock Market Participation Changes Firm Innovation Behavior

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

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

MiFID: Eine systematische Analyse der Zielerreichung

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

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

Mutual Excitation in Eurozone Sovereign CDS

Anchoring in Experimental Asset Markets

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

The Dynamics of Crises and the Equity Premium

When Do Jumps Matter for Portfolio Optimization?

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

Working Papers

Financing Asset Growth

Policy Papers

What are the wider supervisory implications of the Wirecard case?

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

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

Priorities for the CMU agenda

Corona and Financial Stability 4.0: Implementing a European Pandemic Equity Fund

Corona and Financial Stability 3.0: Try equity -risk sharing for companies, large and small

Corona and Financial Stability 2.0: Act jointly now, but also think about tomorrow

Zur Reform der Einlagensicherung: Elemente einer anreizkompatiblen Europäischen Rückversicherung

The Coronavirus and Financial Stability

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?

What is Libra? Understanding Facebook´s Currency

Target Balances and Financial Crises

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

Why the Initial Regulation of Financial Innovations is Decisive − Regulatory Arbitrage and Off-Balance-Sheet Leasing in Germany