Michael Schneider

09.12.2020

Research Interests

  • Market Microstructure
  • Liquidity
  • Fixed Income Markets

Refereed Publications

  • Schneider M. and F. Lillo (2019), Cross-Impact and No-Dynamic-Arbitrage, Quantitative Finance, Vol 19(1), pp. 137-154
  • Schneider M., Lillo F. and L. Pelizzon (2018), Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market, Quantitative Finance, Vol 18(2), pp. 283-293

Working Papers

  • Gündüz, Y., G. Ottonello, L. Pelizzon, M. Schneider and M.G. Subrahmanyam (2018), Lighting up the Dark: Liquidity in the German Corporate Bond Market, SAFE Working Paper No. 230, available at https://ssrn.com/abstract=3253000
  • Lillo, F., L. Pelizzon and M. Schneider (2016), How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis, SAFE Working Paper No. 151, available at https://ssrn.com/abstract=2853459 (mostly subsumed in "Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market")

Presentations

  • 2020: Round Four Digging into Data Challenge Conference, Alexandria (poster); 7th International Conference on Sovereign Bond Markets, virtual (discussion)
  • 2019: 6th International Conference on Sovereign Bond Markets, Frankfurt; Annual Meeting of the Swiss Society for Financial Market Research, Zurich; 12th Annual SoFiE Conference, Shanghai; 27th Finance Forum, Madrid; 26th Annual Meeting of the German Finance Association (DGF), Essen
  • 2018: 4th SAFE Market Microstructure Workshop, Frankfurt; 5th International Conference on Sovereign Bond Markets, Ottawa (discussion); International Risk Management Conference 11th edition, Paris; 31st Australasian Finance and Banking Conference, Sydney
  • 2017: XVIII Workshop on Quantitative Finance, Milano; Quantitative Finance Seminar, Pisa, Scuola Normale Superiore; Market Microstructure - CFM-Imperial Workshop, London (poster)
  • 2016: XVII Workshop on Quantitative Finance, Pisa (poster); Workshop on Sovereign Bonds and Quantitative Easing, Frankfurt; 4th PhD Workshop in Economics, Braga; Siena Finance Workshop, Siena; Market Microstructure - Confronting Many Viewpoints #4, Paris (poster)