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Michael Schneider

Research Interests

  • Market Microstructure
  • Sovereign Bond Markets

Working Papers

  • Lillo, F. and M. Schneider (2016), Cross-Impact and No-Dynamic-Arbitrage, available at and
  • 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


  • 2017: XVIII Workshop on Quantitative Finance, Milano; Quantitative Finance Seminar, Pisa, Scuola Normale Superiore
  • 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)

Additional information


Michael Schneider

Michael Schneider

+49 69 9566-3592


Deutsche Bundesbank

Central Office, Directorate General Economics

Wilhelm-Epstein-Straße 14
60431 Frankfurt am Main