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Publications

by members of

London School of Economics (LSE) → Systemic Risk Centre

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Books |

Working papers

2025

  1. Kemal Kirtac & Guido Germano, 2025, "Large language models in finance : what is financial sentiment?," Papers, arXiv.org, number 2503.03612, Mar, revised Mar 2025.
  2. Koukorinis, Andreas & Peters, Gareth W. & Germano, Guido, 2025, "Generative-discriminative machine learning models for high-frequency financial regime classification," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 128016, Jun.
  3. Aldasoro, Iñaki & Barbon, Andrea & Barthélemy, Jean & Benedetti, Marco & Da Silva, Pedro Bento Pereira & Born, Alexandra & Brandi, Marco & Brousse, Claire & Butruille, Béranger & Martinez, José Manuel, 2025, "Crypto-Asset Monitoring Expert Group (CAMEG) 2024 Conference - Book of abstracts," Occasional Paper Series, European Central Bank, number 368, Feb.
  4. Katja Neugebauer & Fernando Cascão, 2025, "Determinants of Residential Property Prices in Portugal: A Nonparametric Quantile Approach," Working Papers, Banco de Portugal, Economics and Research Department, number w202506.
  5. Frederico Mira Godinho & Katja Neugebauer, 2025, "House Hunting High and Low: Constructing a Housing Search Index for Portugal," Working Papers, Banco de Portugal, Economics and Research Department, number w202507.
  6. Greg Adams & Evan Dudley & Jean-Sébastien Fontaine & Sofia Tchamova & Andreas Uthemann, 2025, "The Dealer-to-Client Repo Market: A Buoy on a Swaying Sea," Discussion Papers, Bank of Canada, number 2025-14, Nov, DOI: 10.34989/sdp-2025-14.
  7. Ingomar Krohn & Andreas Uthemann & Rishi Vala & Jun Yang, 2025, "Demand-Driven Risk Premia in Foreign Exchange and Bond Markets," Staff Working Papers, Bank of Canada, number 25-29, Nov, DOI: 10.34989/swp-2025-29.
  8. Andreas Uthemann & Rishi Vala & Jun Yang, 2025, "The impact of trading flows on Government of Canada bond prices," Staff Analytical Notes, Bank of Canada, number 2025-20, Jul, DOI: 10.34989/san-2025-20.
  9. Andreas Uthemann & Rishi Vala & Jun Yang, 2025, "L’incidence des flux d’opérations sur les prix des obligations du gouvernement du Canada," Staff Analytical Notes, Bank of Canada, number 2025-20fr, Jul, DOI: 10.34989/san-2025-20.

2024

  1. Kemal Kirtac & Guido Germano, 2024, "Sentiment trading with large language models," Papers, arXiv.org, number 2412.19245, Dec.
  2. Katja Neugebauer & João Almeida & João Alves & Carlos Bettencourt & Maria Bettencourt & Madalena Borges & Filipa Castilho & Sónia Correia & Gisela Fonseca & Mariana Júdice & André Leal & Afonso Marque, 2024, "Occasional paper on Decentralised Finance," Working Papers, Banco de Portugal, Economics and Research Department, number o202402.
  3. Andreas Uthemann & Rishi Vala, 2024, "How big is cash-futures basis trading in Canada’s government bond market?," Staff Analytical Notes, Bank of Canada, number 2024-16, Jun, DOI: 10.34989/san-2024-16.
  4. Andreas Uthemann & Rishi Vala, 2024, "Quelle est la part de l’arbitrage comptant-terme sur le marché canadien des obligations d’État?," Staff Analytical Notes, Bank of Canada, number 2024-16fr, Jun, DOI: 10.34989/san-2024-16.

2022

  1. Fricke, Daniel & Greppmair, Stefan & Paludkiewicz, Karol, 2022, "You can't always get what you want (where you want it): Cross-border effects of the US money market fund reform," Discussion Papers, Deutsche Bundesbank, number 03/2022.
  2. Eppinger, Peter S. & Neugebauer, Katja, 2022, "External financial dependence and firms' crisis performance across Europe," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 121948, Feb.
  3. Katja Neugebauer & Márcio Mateus, 2022, "Stayin’ alive? Government support measures in Portugal during the Covid-19 pandemic," Working Papers, Banco de Portugal, Economics and Research Department, number w202212.
  4. Cipriani, Marco & Guarino, Antonio & Uthemann, Andreas, 2022, "Financial Transaction Taxes and the Informational Efficiency of Financial Markets: A Structural Estimation," CEPR Discussion Papers, Centre for Economic Policy Research, number 17238, Apr.
  5. Danielsson, Jon & Macrae, Robert & Uthemann, Andreas, 2022, "Artificial intelligence and systemic risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 111601, Jul.

2021

  1. Fricke, Daniel, 2021, "Synthetic leverage and fund risk-taking," Discussion Papers, Deutsche Bundesbank, number 09/2021.
  2. Carolyn E. Phelan & Daniele Marazzina & Guido Germano, 2021, "Pricing methods for $\alpha$-quantile and perpetual early exercise options based on Spitzer identities," Papers, arXiv.org, number 2106.06030, Jun.
  3. Katja Neugebauer & Vítor Branco Oliveira, 2021, "Assessing the effectiveness of the Portuguese borrower-based measure in the Covid-19 context," Working Papers, Banco de Portugal, Economics and Research Department, number w202110.
  4. Jean-Sébastien Fontaine & Corey Garriott & Jesse Johal & Jessica Lee & Andreas Uthemann, 2021, "COVID-19 Crisis: Lessons Learned for Future Policy Research," Discussion Papers, Bank of Canada, number 2021-2, Feb, DOI: 10.34989/sdp-2021-2.

2020

  1. Fricke, Daniel & Roukny, Tarik, 2020, "Generalists and specialists in the credit market," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 87749, Mar.
  2. Fricke, Daniel & Wilke, Hannes, 2020, "Connected funds," Discussion Papers, Deutsche Bundesbank, number 48/2020.
  3. Ramadiah, Amanah & Fricke, Daniel & Caccioli, Fabio, 2020, "Backtesting macroprudential stress tests," Discussion Papers, Deutsche Bundesbank, number 45/2020.
  4. Kapar, Burcu & Iori, Giulia & Gabbi, Giampaolo & Germano, Guido, 2020, "Market microstructure, banks' behaviour and interbank spreads: evidence after the crisis," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 100467, Jan.
  5. Sariev, Eduard & Germano, Guido, 2020, "Bayesian regularized artificial neural networks for the estimation of the probability of default," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 101029, Feb.
  6. Phelan, C. E. & Marazzina, D. & Germano, G., 2020, "Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 103780, Jun.
  7. Lerby Ergun & Andreas Uthemann, 2020, "Strategic Uncertainty in Financial Markets: Evidence from a Consensus Pricing Service," Staff Working Papers, Bank of Canada, number 20-55, Dec, DOI: 10.34989/swp-2020-55.

2019

  1. Alessi, Lucia & Bruno, Brunella & Carletti, Elena & Neugebauer, Katja, 2019, "What drives bank coverage ratios: Evidence from the euro area," JRC Working Papers in Economics and Finance, Joint Research Centre, European Commission, number 2019-14, Aug.

2018

  1. Ramadiah, Amanah & Caccioli, Fabio & Fricke, Daniel, 2018, "Reconstructing and stress testing credit networks," ESRB Working Paper Series, European Systemic Risk Board, number 84, Sep.
  2. Fricke, Daniel, 2018, "Are specialist funds “special”?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 91335, Nov.
  3. Sariev, Eduard & Germano, Guido, 2018, "An innovative feature selection method for support vector machines and its test on the estimation of the credit risk of default," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 100211, Nov.
  4. Bremus, Franziska & Neugebauer, Katja, 2018, "Reduced cross-border lending and financing costs of SMEs," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 84298, Feb.

2017

  1. Fricke, Christoph & Fricke, Daniel, 2017, "Vulnerable asset management? The case of mutual funds," Discussion Papers, Deutsche Bundesbank, number 32/2017.
  2. Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2017, "Hilbert transform, spectral filters and option pricing," Papers, arXiv.org, number 1706.09755, Jun, revised Jan 2020.
  3. Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2017, "Fluctuation identities with continuous monitoring and their application to price barrier options," Papers, arXiv.org, number 1712.00077, Nov.
  4. Grinis, Inna, 2017, "The STEM requirements of "non-STEM" jobs: evidence from UK online vacancy postings and implications for skills & knowledge shortages," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 85123, May.
  5. Grinis, Inna, 2017, "Trend growth durations & shifts," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 85126, Jul.
  6. Grinis, Inna, 2017, "Skills diversity in unity," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 85125, Jul.
  7. Franziska Bremus & Katja Neugebauer, 2017, "Don't Stop Me Now: The Impact of Credit Market Fragmentation on Firms' Financing Constraints," Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research, number 1650.

2016

  1. Yiran Cui & Sebastian del Bano Rollin & Guido Germano, 2016, "Stability of calibration procedures: fractals in the Black-Scholes model," Papers, arXiv.org, number 1612.01951, Dec.
  2. Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016, "Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 67564, May.
  3. Sofia Priazhkina & Frank H. Page, 2016, "Information Sharing and Bargaining in Buyer-Seller Networks," Staff Working Papers, Bank of Canada, number 16-63, DOI: 10.34989/swp-2016-63.
  4. Gong, Rui & He, Jieshuang & Page, Frank, 2016, "Incentive compatible networks and the delegated networking principle," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 66045, Feb.

2015

  1. Yiran Cui & Sebastian del Ba~no Rollin & Guido Germano, 2015, "Full and fast calibration of the Heston stochastic volatility model," Papers, arXiv.org, number 1511.08718, Nov, revised May 2016.
  2. Gerardo-Giorda, Luca & Germano, Guido & Scalas, Enrico, 2015, "Large scale simulation of synthetic markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 67563.
  3. Iori, Giulia & Politi, Mauro & Germano, Guido & Gabbi, Giampaolo, 2015, "Banks' strategies and cost of money: effects of the financial crisis on the European electronic overnight interbank market," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 67565, Jul.
  4. Grinis, Inna, 2015, "Credit risk spillovers, systemic importance and vulnerability in financial networks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 60954, Jan.
  5. Ferrando, Annalisa & Altomonte, Carlo & Blank, Sven & Meinen, Philipp & Iudice, Matteo & Felt, Marie-Hélène & Neugebauer, Katja & Siedschlag, Iulia, 2015, "Assessing the financial and financing conditions of firms in Europe: the financial module in CompNet," Working Paper Series, European Central Bank, number 1836, Aug.
  6. Bremus, Franziska Maria & Neugebauer, Katja, 2015, "Don't Stop Me Now: The Impact of Credit Market Segmentation on Firms' Financing Constraints," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association, number 112857.
  7. Gong, Rui & Page, Frank & Wooders, Myrna, 2015, "Endogenous correlated network dynamics," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 65098, Jun.
  8. Page, Frank, 2015, "A fixed point theorem for measurable-selection-valued correspondences arising in game theory," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 65101, Sep.
  9. Page, Frank, 2015, "Parameterized games, minimal Nash correspondences, and connectedness," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 65102, Sep.
  10. Page, Frank, 2015, "Stationary Markov equilibria for K-class discounted stochastic games," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 65103, Sep.

2014

  1. Sofia Priazhkina & Frank Page, 2014, "Formation of Bargaining Networks Via Link Sharing," Working Papers, Fondazione Eni Enrico Mattei, number 2014.52, May.

2013

  1. Fricke, Daniel & Lux, Thomas, 2013, "The effects of a financial transaction tax in an artificial financial market," Kiel Working Papers, Kiel Institute for the World Economy, number 1868.
  2. Fricke, Daniel & Finger, Karl & Lux, Thomas, 2013, "On assortative and disassortative mixing in scale-free networks: The case of interbank credit networks," Kiel Working Papers, Kiel Institute for the World Economy, number 1830.
  3. Fricke, Daniel & Lux, Thomas, 2013, "On the distribution of links in the interbank network: Evidence from the e-mid overnight money market," Kiel Working Papers, Kiel Institute for the World Economy, number 1819.
  4. Claudia M. Buch & Katja Neugebauer & Christoph Schröder, 2013, "Changing Forces of Gravity: How the Crisis Affected International Banking," IAW Discussion Papers, Institut für Angewandte Wirtschaftsforschung (IAW), number 100, Dec.

2012

  1. Fricke, Daniel & Lux, Thomas, 2012, "Core-periphery structure in the overnight money market: Evidence from the e-MID trading platform," Kiel Working Papers, Kiel Institute for the World Economy, number 1759.
  2. Finger, Karl & Fricke, Daniel & Lux, Thomas, 2012, "Network analysis of the e-MID overnight money market: The informational value of different aggregation levels for intrinsic dynamic processes," Kiel Working Papers, Kiel Institute for the World Economy, number 1782.
  3. Fricke, Daniel, 2012, "Trading strategies in the overnight money market: Correlations and clustering on the e-MID trading platform," Kiel Working Papers, Kiel Institute for the World Economy, number 1766.
  4. Gabbi, G. & Germano, G. & Hatzopoulos, V. & Iori, G. & Politi, M., 2012, "Market microstructure, bank's behaviour and interbank spreads," Working Papers, Department of Economics, City St George's, University of London, number 12/06.
  5. Joern Kleinert & Katja Neugebauer, 2012, "All You Need Is Trade: On the In(ter)dependence of Trade and Asset Holdings in Gravity Equations," IAW Discussion Papers, Institut für Angewandte Wirtschaftsforschung (IAW), number 80, Mar.
  6. Neugebauer, Katja & Spies, Julia, 2012, "Borrowing Locally, Operating Globally? Financing and Trading Patterns of Firms during the 2007/2008 Economic Crisis," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association, number 62066.

2011

  1. Danilov, Vladimir & Koshovoy, Gleb & Page, Frank & Wooders, Myrna, 2011, "Existence of equilibrium with unbounded short sales: A new approach," MPRA Paper, University Library of Munich, Germany, number 37778, revised Mar 2012.

2010

  1. Fricke, Daniel, 2010, "Contagion between European and US banks: Evidence from equity prices," Kiel Working Papers, Kiel Institute for the World Economy, number 1667.
  2. Claudia M. Buch & Katja Neugebauer, 2010, "Bank-Specific Shocks and the Real Economy," Working Paper / FINESS, DIW Berlin, German Institute for Economic Research, number 2.3.
  3. Katja Neugebauer, 2010, "Banks in Space: Does Distance Really Affect Cross-Border Banking?," Working Paper / FINESS, DIW Berlin, German Institute for Economic Research, number 2.5.

2009

  1. Mauro Politi & Enrico Scalas & Daniel Fulger & Guido Germano, 2009, "Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation," Papers, arXiv.org, number 0903.1629, Mar.
  2. Claudia M. Buch & Katja Neugebauer, 2009, "Diversification of Banks' International Portfolios: Evidence and Policy Lessons," Working Paper / FINESS, DIW Berlin, German Institute for Economic Research, number 2.4.
  3. Blank, Sven & Buch, Claudia M. & Neugebauer, Katja, 2009, "Shocks at large banks and banking sector distress: the Banking Granular Residual," Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank, number 2009,04.
  4. Frank H. Page & Myrna H. Wooders, 2009, "Endogenous Network Dynamics," Working Papers, Fondazione Eni Enrico Mattei, number 2009.28, May.

2008

  1. Guido Germano & Mauro Politi & Enrico Scalas & Ren'e L. Schilling, 2008, "Stochastic calculus for uncoupled continuous-time random walks," Papers, arXiv.org, number 0802.3769, Feb, revised Jan 2009.
  2. Scalas, Enrico & Germano, Guido & Politi, Mauro & Schilling, René L., 2008, "Stochastic integration for uncoupled continuous-time random walks," MPRA Paper, University Library of Munich, Germany, number 7341, Feb.

2007

  1. Claudia M. Buch & Gayle L. DeLong & Katja Neugebauer, 2007, "International Banking and the Allocation of Risk," IAW Discussion Papers, Institut für Angewandte Wirtschaftsforschung (IAW), number 32, May.
  2. Cuong Le Van & Frank H. Page & Myrna H. Wooders, 2007, "Risky Arbitrage, Asset Prices, and Externalities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00102698, Dec, DOI: 10.1007/s00199-006-0151-1.
  3. Frank Page & Myrna Wooders, 2007, "Strategic Basins of Attraction, the Path Dominance Core, and Network Formation Games," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2007-020, Oct.
  4. Frank H. Page, Jr. & Paulo K. Monteiro, 2007, "Endogenous Mechanisms and Nash Equilibrium in Competitive Contracting," CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington, number 2007-025, Nov.

2006

  1. Marco Patriarca & Anirban Chakraborti & Els Heinsalu & Guido Germano, 2006, "Relaxation in statistical many-agent economy models," Papers, arXiv.org, number physics/0608174, Aug, revised Aug 2008.
  2. Nizar Allouch & Cuong Le Van & Frank H. Page, 2006, "Arbitrage and equilibrium in unbounded exchange economies with satiation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00096040, Sep, DOI: 10.1016/j.jmateco.2006.03.001.

2005

  1. Marco Patriarca & Anirban Chakraborti & Kimmo Kaski & Guido Germano, 2005, "Kinetic theory models for the distribution of wealth: power law from overlap of exponentials," Papers, arXiv.org, number physics/0504153, Apr, revised May 2005.
  2. Marco Patriarca & Anirban Chakraborti & Guido Germano, 2005, "Influence of saving propensity on the power law tail of wealth distribution," Papers, arXiv.org, number physics/0506028, Jun.
  3. Frank H. Page, Jr. & Myrna H. Wooders, 2005, "Strategic Basins of Attraction, the Farsighted Core, and Network Formation Games," Working Papers, Fondazione Eni Enrico Mattei, number 2005.36, Mar.
  4. Paulo Klinger Monteiro & Frank H. Page Jr., 2005, "Uniform payoff security and Nash equilibrium in metric games," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00197491, Dec.
  5. Frank H. Page, Jr. & Myrna H. Wooders, 2005, "Club Formation Games with Farsighted Agents," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics, number 0529, Dec.
  6. Sami Dakhlia & Frank H. Page Jr., 2005, "Agenda Networks and Farsightedly Stable Agenda Formation," Public Economics, University Library of Munich, Germany, number 0505003, May.

2004

  1. Enrico Scalas & Alessandro Vivoli & Paride Dagna & Guido Germano, 2004, "Speculative option valuation: A supercomputing approach," Computing in Economics and Finance 2004, Society for Computational Economics, number 269, Aug.
  2. Samir Kamat & Frank Page & Myrna Wooders, 2004, "Networks and Farsighted Stability," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 561, Aug.
  3. Page, Jr. Frank H. & Wooders, Myrna H & Kamat, Samir, 2004, "Farsightedly Basic Networks," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 702.

2003

  1. Berliant, Marcus & Page Jr., Frank H., 2003, "Budget Balancedness and Optimal Income Taxation," Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences, number 1164, May.

2002

  1. Frank H. Page & Paulo Klinger Monteiro, 2002, "Three principles of competitive nonlinear pricing," Game Theory and Information, University Library of Munich, Germany, number 0204001, Apr.
  2. Allouch, Nizar & Van, Cuong Le & Page Jr. Frank H., 2002, "Arbitrage, Equilibrium And Nonsatiation," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 637.

2001

  1. Macminn, R.D. & Page, F.H., 2001, "Stock Options and Capital Structure," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2001.36.
  2. Berliant, M. & Page, F.H., 2001, "Income Taxes and Provision of Public Goods: Optima with Balanced Goverment Budgets," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2001.37.
  3. Paulo Klinger Monteiro & Frank Page & Benar fux Svaiter, 2001, "The one object optimal auction and the desirability of exclusion," GE, Growth, Math methods, University Library of Munich, Germany, number 0112002, Dec.
  4. Le Van, C. & Page, F.H.Jr. & Wooders, M., 2001, "Arbitrage and Equilibrium in Economies with Externalities," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 588.
  5. Allouch, Nizar & Le Van, Cuong & Page, Jr. Frank H., 2001, "The geometry of arbitrage and the existence of competitive equilibrium," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 598.

2000

  1. PAGE, Frank, 2000, "Competitive selling mechanisms: the delegation principle and farsighted stability," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2000021, Mar.

1999

  1. Frank H. Page, Jr. & Myrna H. Wooders, 1999, "Elections and Strategic Positioning Games," Working Papers, University of Toronto, Department of Economics, number mwooders-00-04, Oct.
  2. Page, F.H.Jr. & Wooders, M.H. & Monteiro, P.K., 1999, "Inconsequential Arbitrage," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 561.

1997

  1. KLINGER MONTEIRO , Paulo & PAGE, Frank H. Jr., 1997, "Optimal selling mechanisms for multiproduct monopolists : incentive compatibility in the presence of budget constraints," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1997011, Feb.
  2. Page Jr., F.H., 1997, "Existence of Optimal Auctions in General Environments," Discussion Paper, Tilburg University, Center for Economic Research, number 1997-28.
  3. Berliant, M. & Page Jr., F.H., 1997, "Optimal budget balancing income tax mechanisms and the provision of public goods," Discussion Paper, Tilburg University, Center for Economic Research, number 1997-029.

1995

  1. Page, F.H. & Holtz Wooders, M., 1995, "The Partenered Core of an Economy," Papers, Tilburg - Center for Economic Research, number 9555.

1994

  1. Page, F.H.Jr. & Wooders, M.H., 1994, "Arbitrage in Markets with Unbounded Short Sales: Necessary and Sufficient Conditions for Nonemptiness of the Core and Existence of Equilibrium," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), number 271.94.
  2. Page Jr., F.H., 1994, "Optimal Auction Design with Risk Aversion and Correlated Information," Discussion Paper, Tilburg University, Center for Economic Research, number 1994-109.

Journal articles

2025

  1. Andreas Koukorinis & Gareth W. Peters & Guido Germano, 2025, "Generative-Discriminative Machine Learning Models for High-Frequency Financial Regime Classification," Methodology and Computing in Applied Probability, Springer, volume 27, issue 2, pages 1-32, June, DOI: 10.1007/s11009-025-10148-8.

2024

  1. Kirtac, Kemal & Germano, Guido, 2024, "Sentiment trading with large language models," Finance Research Letters, Elsevier, volume 62, issue PB, DOI: 10.1016/j.frl.2024.105227.

2022

  1. Ramadiah, Amanah & Fricke, Daniel & Caccioli, Fabio, 2022, "Backtesting macroprudential stress tests," Journal of Economic Dynamics and Control, Elsevier, volume 137, issue C, DOI: 10.1016/j.jedc.2022.104333.
  2. Peter S. Eppinger & Katja Neugebauer, 2022, "External financial dependence and firms’ crisis performance across Europe," Empirical Economics, Springer, volume 62, issue 2, pages 887-904, February, DOI: 10.1007/s00181-021-02025-3.
  3. Daníelsson, Jón & Macrae, Robert & Uthemann, Andreas, 2022, "Artificial intelligence and systemic risk," Journal of Banking & Finance, Elsevier, volume 140, issue C, DOI: 10.1016/j.jbankfin.2021.106290.
  4. Cipriani, Marco & Guarino, Antonio & Uthemann, Andreas, 2022, "Financial transaction taxes and the informational efficiency of financial markets: A structural estimation," Journal of Financial Economics, Elsevier, volume 146, issue 3, pages 1044-1072, DOI: 10.1016/j.jfineco.2022.04.007.

2021

  1. Fricke, Christoph & Fricke, Daniel, 2021, "Vulnerable asset management? The case of mutual funds," Journal of Financial Stability, Elsevier, volume 52, issue C, DOI: 10.1016/j.jfs.2020.100800.
  2. Lucia Alessi & Brunella Bruno & Elena Carletti & Katja Neugebauer & Isabella Wolfskeil, 2021, "Cover your assets: non-performing loans and coverage ratios in Europe
    [Bias-corrected matching estimators for average treatment effects]    ," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, volume 36, issue 108, pages 685-733.

2020

  1. Fricke, Daniel & Roukny, Tarik, 2020, "Generalists and specialists in the credit market," Journal of Banking & Finance, Elsevier, volume 112, issue C, DOI: 10.1016/j.jbankfin.2018.04.014.
  2. Ramadiah, Amanah & Caccioli, Fabio & Fricke, Daniel, 2020, "Reconstructing and stress testing credit networks," Journal of Economic Dynamics and Control, Elsevier, volume 111, issue C, DOI: 10.1016/j.jedc.2019.103817.
  3. Burcu Kapar & Giulia Iori & Giampaolo Gabbi & Guido Germano, 2020, "Market microstructure, banks’ behaviour and interbank spreads: evidence after the crisis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 15, issue 1, pages 283-331, January, DOI: 10.1007/s11403-019-00248-3.
  4. Eduard Sariev & Guido Germano, 2020, "Bayesian regularized artificial neural networks for the estimation of the probability of default," Quantitative Finance, Taylor & Francis Journals, volume 20, issue 2, pages 311-328, February, DOI: 10.1080/14697688.2019.1633014.
  5. C. E. Phelan & D. Marazzina & G. Germano, 2020, "Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities," Quantitative Finance, Taylor & Francis Journals, volume 20, issue 6, pages 899-918, June, DOI: 10.1080/14697688.2020.1718192.

2019

  1. Daniel Fricke, 2019, "Are specialist funds “special”?," Financial Management, Financial Management Association International, volume 48, issue 2, pages 441-472, June, DOI: 10.1111/fima.12257.
  2. Carolyn E. Phelan & Daniele Marazzina & Gianluca Fusai & Guido Germano, 2019, "Hilbert transform, spectral filters and option pricing," Annals of Operations Research, Springer, volume 282, issue 1, pages 273-298, November, DOI: 10.1007/s10479-018-2881-4.
  3. Eduard Sariev & Guido Germano, 2019, "An innovative feature selection method for support vector machines and its test on the estimation of the credit risk of default," Review of Financial Economics, John Wiley & Sons, volume 37, issue 3, pages 404-427, July, DOI: 10.1002/rfe.1049.
  4. Grinis, Inna, 2019, "The STEM requirements of “Non-STEM” jobs: Evidence from UK online vacancy postings," Economics of Education Review, Elsevier, volume 70, issue C, pages 144-158, DOI: 10.1016/j.econedurev.2019.02.005.

2018

  1. Daniel Fricke & Austin Gerig, 2018, "Too fast or too slow? Determining the optimal speed of financial markets," Quantitative Finance, Taylor & Francis Journals, volume 18, issue 4, pages 519-532, April, DOI: 10.1080/14697688.2017.1391405.
  2. Phelan, Carolyn E. & Marazzina, Daniele & Fusai, Gianluca & Germano, Guido, 2018, "Fluctuation identities with continuous monitoring and their application to the pricing of barrier options," European Journal of Operational Research, Elsevier, volume 271, issue 1, pages 210-223, DOI: 10.1016/j.ejor.2018.04.016.
  3. Bremus, Franziska & Neugebauer, Katja, 2018, "Reduced cross-border lending and financing costs of SMEs," Journal of International Money and Finance, Elsevier, volume 80, issue C, pages 35-58, DOI: 10.1016/j.jimonfin.2017.09.006.

2017

  1. Cui, Yiran & del Baño Rollin, Sebastian & Germano, Guido, 2017, "Full and fast calibration of the Heston stochastic volatility model," European Journal of Operational Research, Elsevier, volume 263, issue 2, pages 625-638, DOI: 10.1016/j.ejor.2017.05.018.
  2. Franziska Bremus & Katja Neugebauer, 2017, "Fragmentierte Kreditmärkte erhöhen Finanzierungskosten für kleine und mittelgroße Firmen," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, volume 84, issue 22, pages 439-446.

2016

  1. Fricke, Daniel, 2016, "Has the banking system become more homogeneous? Evidence from banks’ loan portfolios," Economics Letters, Elsevier, volume 142, issue C, pages 45-48, DOI: 10.1016/j.econlet.2016.02.024.
  2. Simone Alfarano & Daniel Fricke & Thomas Lux & Matthias Raddant, 2016, "Network Approaches to Interbank Markets: Foreword," Computational Economics, Springer;Society for Computational Economics, volume 47, issue 1, pages 1-2, January, DOI: 10.1007/s10614-015-9495-6.
  3. Fusai, Gianluca & Germano, Guido & Marazzina, Daniele, 2016, "Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options," European Journal of Operational Research, Elsevier, volume 251, issue 1, pages 124-134, DOI: 10.1016/j.ejor.2015.11.027.

2015

  1. Daniel Fricke & Thomas Lux, 2015, "The effects of a financial transaction tax in an artificial financial market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 10, issue 1, pages 119-150, April, DOI: 10.1007/s11403-013-0116-y.
  2. Daniel Fricke & Thomas Lux, 2015, "On the distribution of links in the interbank network: evidence from the e-MID overnight money market," Empirical Economics, Springer, volume 49, issue 4, pages 1463-1495, December, DOI: 10.1007/s00181-015-0919-x.
  3. Giulia Iori & Mauro Politi & Guido Germano & Giampaolo Gabbi, 2015, "Banks' Strategies and Cost of Money: Effects of the Financial Crisis on the European Electronic Overnight Interbank Market," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 2, pages 179-202, December.
  4. Nigar Hashimzade & Gareth Myles & Frank Page & Matthew Rablen, 2015, "The use of agent-based modelling to investigate tax compliance," Economics of Governance, Springer, volume 16, issue 2, pages 143-164, May, DOI: 10.1007/s10101-014-0151-8.

2014

  1. Hashimzade, Nigar & Myles, Gareth D. & Page, Frank & Rablen, Matthew D., 2014, "Social networks and occupational choice: The endogenous formation of attitudes and beliefs about tax compliance," Journal of Economic Psychology, Elsevier, volume 40, issue C, pages 134-146, DOI: 10.1016/j.joep.2012.09.002.

2013

  1. Karl Finger & Daniel Fricke & Thomas Lux, 2013, "Network analysis of the e-MID overnight money market: the informational value of different aggregation levels for intrinsic dynamic processes," Computational Management Science, Springer, volume 10, issue 2, pages 187-211, June, DOI: 10.1007/s10287-013-0171-9.
  2. Monteiro, Paulo Klinger & Page, Frank H. & Svaiter, Benar fux, 2013, "Optimal auctions with multidimensional types and the desirability of exclusion," Journal of Mathematical Economics, Elsevier, volume 49, issue 1, pages 106-110, DOI: 10.1016/j.jmateco.2012.11.001.
  3. Jose Fique & Frank Page, 2013, "Rollover risk and endogenous network dynamics," Computational Management Science, Springer, volume 10, issue 2, pages 213-230, June, DOI: 10.1007/s10287-013-0172-8.

2012

  1. Fricke, Daniel, 2012, "Trading strategies in the overnight money market: Correlations and clustering on the e-MID trading platform," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 391, issue 24, pages 6528-6542, DOI: 10.1016/j.physa.2012.07.045.

2011

  1. Buch, Claudia M. & Neugebauer, Katja, 2011, "Bank-specific shocks and the real economy," Journal of Banking & Finance, Elsevier, volume 35, issue 8, pages 2179-2187, August.

2010

  1. M. Politi & E. Scalas & D. Fulger & G. Germano, 2010, "Spectral densities of Wishart-Lévy free stable random matrices," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, volume 73, issue 1, pages 13-22, January, DOI: 10.1140/epjb/e2009-00360-7.
  2. Katja Neugebauer, 2010, "Schockübertragung und Drittlandeffekte auf internationalen Bankenmärkten," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, volume 79, issue 4, pages 59-74, DOI: 10.3790/vjh.79.4.59.
  3. Page Jr., Frank H. & Wooders, Myrna, 2010, "Club networks with multiple memberships and noncooperative stability," Games and Economic Behavior, Elsevier, volume 70, issue 1, pages 12-20, September.

2009

  1. Blank, Sven & Buch, Claudia M. & Neugebauer, Katja, 2009, "Shocks at large banks and banking sector distress: The Banking Granular Residual," Journal of Financial Stability, Elsevier, volume 5, issue 4, pages 353-373, December.
  2. Issing Otmar & Griffith-Jones Stephany & Pagliari Stefano & Buch Claudia M. & Neugebauer Katja, 2009, "Lehren aus der Krise – Notwendige Änderungen der Finanzmarktregeln und zur Begrenzung systemischer Risiken," Zeitschrift für Wirtschaftspolitik, De Gruyter, volume 58, issue 3, pages 336-370, December, DOI: 10.1515/zfwp-2009-0304.
  3. Page Jr., Frank H. & Wooders, Myrna, 2009, "Strategic basins of attraction, the path dominance core, and network formation games," Games and Economic Behavior, Elsevier, volume 66, issue 1, pages 462-487, May.
  4. Monteiro, Paulo K. & Page Jr., Frank H., 2009, "Endogenous mechanisms and Nash equilibrium in competitive contracting games," Journal of Mathematical Economics, Elsevier, volume 45, issue 9-10, pages 664-678, September.

2008

  1. Page Jr., Frank H., 2008, "Catalog competition and stable nonlinear prices," Journal of Mathematical Economics, Elsevier, volume 44, issue 7-8, pages 822-835, July.
  2. Paulo Monteiro & Frank Page, 2008, "Catalog competition and Nash equilibrium in nonlinear pricing games," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 34, issue 3, pages 503-524, March, DOI: 10.1007/s00199-006-0196-1.

2007

  1. M. Patriarca & A. Chakraborti & E. Heinsalu & G. Germano, 2007, "Relaxation in statistical many-agent economy models," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, volume 57, issue 2, pages 219-224, May, DOI: 10.1140/epjb/e2007-00122-7.
  2. Page Jr., Frank H. & Wooders, Myrna, 2007, "Networks and clubs," Journal of Economic Behavior & Organization, Elsevier, volume 64, issue 3-4, pages 406-425.
  3. Monteiro, Paulo Klinger & Page Jr, Frank H., 2007, "Uniform payoff security and Nash equilibrium in compact games," Journal of Economic Theory, Elsevier, volume 134, issue 1, pages 566-575, May.
  4. Cuong Van & Frank Page & Myrna Wooders, 2007, "Risky arbitrage, asset prices, and externalities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 33, issue 3, pages 475-491, December, DOI: 10.1007/s00199-006-0151-1.

2006

  1. Patriarca, Marco & Chakraborti, Anirban & Germano, Guido, 2006, "Influence of saving propensity on the power-law tail of the wealth distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 369, issue 2, pages 723-736, DOI: 10.1016/j.physa.2006.01.091.
  2. Marcus Berliant & Frank H. Page, 2006, "Budget Balancedness and Optimal Income Taxation," Journal of Public Economic Theory, Association for Public Economic Theory, volume 8, issue 3, pages 409-451, August, DOI: 10.1111/j.1467-9779.2006.00271.x.
  3. Allouch, Nizar & Le Van, Cuong & Page, Frank Jr., 2006, "Arbitrage and equilibrium in unbounded exchange economies with satiation," Journal of Mathematical Economics, Elsevier, volume 42, issue 6, pages 661-674, September.
  4. Richard MacMinn & Frank Page, 2006, "Stock options and capital structure," Annals of Finance, Springer, volume 2, issue 1, pages 39-50, January, DOI: 10.1007/s10436-005-0029-4.

2005

  1. Frank Page & Frank Page, 2005, "NSF/NBER/CEME Decentralization Conference," Economics Bulletin, AccessEcon, volume 28, issue 39, pages 1.
  2. Page, Frank Jr. & Wooders, Myrna H. & Kamat, Samir, 2005, "Networks and farsighted stability," Journal of Economic Theory, Elsevier, volume 120, issue 2, pages 257-269, February.

2003

  1. Frank Page Jr & Myrna Wooders, 2003, "Elections and strategic positioning games," Review of Economic Design, Springer;Society for Economic Design, volume 8, issue 1, pages 63-83, August, DOI: 10.1007/s10058-003-0093-z.

2002

  1. Allouch, Nizar & Le Van, Cuong & Page, Frank Jr., 2002, "The geometry of arbitrage and the existence of competitive equilibrium," Journal of Mathematical Economics, Elsevier, volume 38, issue 4, pages 373-391, December.

2001

  1. Frank Page & Paulo Monteiro, 2001, "Three Principles of Competitive Nonlinear Pricing," Economics Bulletin, AccessEcon, volume 28, issue 11, pages 1.
  2. Berliant, Marcus & Page, Frank H, Jr, 2001, "Income Taxes and the Provision of Public Goods: Existence of an Optimum," Econometrica, Econometric Society, volume 69, issue 3, pages 771-784, May.

1999

  1. Frank H. Page Jr. & (**), Myrna H. Wooders & Paulo K. Monteiro, 1999, "Arbitrage and global cones: Another counterexample," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, volume 16, issue 2, pages 337-346.

1998

  1. Page Jr., Frank H., 1998, "Existence of optimal auctions in general environments," Journal of Mathematical Economics, Elsevier, volume 29, issue 4, pages 389-418, May.
  2. Monteiro, Paulo K. & Page Jr., Frank H., 1998, "Optimal selling mechanisms for multiproduct monopolists: incentive compatibility in the presence of budget constraints," Journal of Mathematical Economics, Elsevier, volume 30, issue 4, pages 473-502, November.

1997

  1. Monteiro, Paulo K. & Page, Frank Jr. & Wooders, Myrna Holtz, 1997, "Arbitrage, equilibrium, and gains from trade: A counterexample," Journal of Mathematical Economics, Elsevier, volume 28, issue 4, pages 481-501, November.
  2. Frank H. Page Jr., 1997, "Optimal deterministic contracting mechanisms for principal-agent problems with moral hazard and adverse selection," Review of Economic Design, Springer;Society for Economic Design, volume 3, issue 1, pages 1-13.

1996

  1. Page Jr., Frank H. & Wooders, Myrna Holtz, 1996, "The Partnered Core of an Economy and the Partnered Competitive Equilibrium," Economics Letters, Elsevier, volume 52, issue 2, pages 143-152, August.
  2. Page Jr., Frank H. & Wooders, Myrna Holtz, 1996, "A necessary and sufficient condition for the compactness of individually rational and feasible outcomes and the existence of an equilibrium," Economics Letters, Elsevier, volume 52, issue 2, pages 153-162, August.
  3. Monteiro, Paulo Klinger & Page, Frank Jr., 1996, "Non-linear pricing with a general cost function," Economics Letters, Elsevier, volume 52, issue 3, pages 287-291, September.
  4. Page, Frank Jr., 1996, "Arbitrage and asset prices," Mathematical Social Sciences, Elsevier, volume 31, issue 3, pages 183-208, June.
  5. Berliant, Marcus & Page, Frank Jr., 1996, "Incentives and income taxation: the implementation of individual revenue requirement functions," Ricerche Economiche, Elsevier, volume 50, issue 4, pages 389-400, December.
  6. Frank H. Page Jr., 1996, "Market games with differential information and infinite dimensional commodity spaces: the core (*)," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 9, issue 1, pages 151-159.

1994

  1. Page, Frank H, Jr, 1994, "Dominant Strategy Mechanisms for Contract Auctions with Risk Aversion and Moral Hazard," International Journal of Game Theory, Springer;Game Theory Society, volume 23, issue 1, pages 25-42.

1992

  1. Page, Frank H, Jr, 1992, "Mechanism Design for General Screening Problems with Moral Hazard," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 2, issue 2, pages 265-281, April.
  2. Page, Frank H, Jr, 1992, "Bayesian Incentive Compatible Mechanisms," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 2, issue 4, pages 509-524, October.

1991

  1. Page, F H, Jr, 1991, "Optimal Contract Mechanisms for Principal-Agent Problems with Moral Hazard and Adverse Selection," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 1, issue 4, pages 323-338, October.

1989

  1. Page, F H, Jr, 1989, "Incentive Compatible Strategies for General Stackelberg Games with Incomplete Information," International Journal of Game Theory, Springer;Game Theory Society, volume 18, issue 4, pages 409-421.

1987

  1. Page, Frank Jr., 1987, "On equilibrium in Hart's securities exchange model," Journal of Economic Theory, Elsevier, volume 41, issue 2, pages 392-404, April.
  2. Page, Frank Jr., 1987, "The existence of optimal contracts in the principal-agent model," Journal of Mathematical Economics, Elsevier, volume 16, issue 2, pages 157-167, April.

1986

  1. Page, Frank H. & Sanders, Anthony B., 1986, "A General Derivation of the Jump Process Option Pricing Formula," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 21, issue 4, pages 437-446, December.

Books

2018

  1. Esa Jokivuolle (ed.), 2018, "Shadow Banking: Financial Intermediation beyond Banks," SUERF Studies, SUERF - The European Money and Finance Forum, number 2018/1, ISBN: ARRAY(0x97cc6260), October.

2014

  1. Achtnicht, Martin & Borell, Mariela & Gantert, Konstantin & Kappler, Marcus & Müller, Bettina & Boockmann, Bernhard & Klee, Günther & Krumm, Raimund & Neugebauer, Katja & Hunya, Gabor & Vidovic, Hermi, 2014, "Socio-economic assessment of the Danube Region: State of the region, challenges and strategy development. Final Report Part I," ZEW Expertises, ZEW - Leibniz Centre for European Economic Research, number 123314.

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