Refine
Year of publication
Document Type
- Working Paper (5)
- Article (3)
- Contribution to a Periodical (2)
- Part of Periodical (2)
- Diploma Thesis (1)
Has Fulltext
- yes (13) (remove)
Is part of the Bibliography
- no (13)
Keywords
- Corporate Bonds (1)
- Fixed-Income (1)
- Heuristic (1)
- Hybrid Markets (1)
- Information Frictions (1)
- Interdealer Brokerage (1)
- Liquidity (1)
- Market Microstructure (1)
- Non-linear cost (1)
- OTC Markets (1)
- OTC markets (1)
- Prize-collecting (1)
- Search Frictions (1)
- Transparency (1)
- Vehicle routing (1)
- Venue Choice (1)
- WpHG (1)
- collateral reuse (1)
- government bonds (1)
- rehypothecation (1)
- repo market (1)
- safe assets (1)
- securities lending (1)
Institute
The prize-collecting vehicle routing problem with single and multiple depots and non-linear cost
(2013)
In this paper, we propose a new routing problem to model a highly relevant planning task in small package shipping. We consider the Prize-Collecting Vehicle Routing Problem with Non-Linear cost in its single and multi-depot version, which integrates the option of outsourcing customers to subcontractors instead of serving them with the private fleet. Thereby, a lower bound on the total customer demand to be served by the private fleet guarantees a high utilization of the fleet capacity. To represent the practical situation, where a discount is given by a subcontractor if larger amounts of packages are outsourced, subcontracting costs follow a non-linear function. The considered problem is NP-hard and we propose an Adaptive Variable Neighborhood Search algorithm to solve instances of realistic size. We propose new benchmark sets for the single and the multi-depot problem, which are adapted from test instances of the capacitated VRP and the closely related Multi-Depot VRP with Private fleet and Common carrier. In numerical studies, we investigate the performance of our algorithm on the newly generated test instances and on standard benchmark problems of related problems. Moreover, we study the effect of different cost functions and different values of the minimal demand to be served by the private fleet on the routing solutions obtained.
Die Covid-19-Pandemie hat das universitäre Leben seit dem Sommersemester 2020 auf den Kopf gestellt. Digitales Arbeiten von zu Hause aus, e-Learning und Video-Konferenzen prägen seither Forschung, Studium und Lehre. Wir haben Studierende, Lehrende, Mitarbeiterinnen und Mitarbeiter aus ganz unterschiedlichen Gebieten unseres Fachbereichs drei Fragen zu ihrem Arbeitsalltag zwischen Ausnahmezustand und „neuer Normalität“ gestellt.
1. Inwieweit hat die Pandemie Ihren (Arbeits-/Studien-) Alltag verändert?
2. Welche Rolle spielen dabei digitale Medien? (auch im Vergleich zur Zeit vor der Pandemie)
3. Für die Zeit „nach Corona“: Was nehmen Sie mit? Worauf freuen Sie sich?
The reuse of collateral can support the efficient allocation of safe assets in the financial system. Exploiting a novel dataset, we show that banks substantially increase their reuse of sovereign bonds in response to scarcity induced by Eurosystem asset purchases. While repo rates react little to purchase-induced scarcity when reuse is low, they become increasingly sensitive at high levels of reuse. An elevated reuse rate is also associated with more failures to deliver and a higher volatility of repo rates in the cross-section of bonds. Our results highlight the trade-off between shock absorption and shock amplification effects of collateral reuse.
OTC discount
(2020)
We document a sizable OTC discount in the interdealer market for German sovereign bonds where exchange and over-the-counter trading coexist: the vastmajority of OTC prices are favorable with respect to exchange quotes. This is a challenge for theories of OTC markets centered around search frictions but consistent with models of hybrid markets based on information frictions. We show empiricallythat proxies for both frictions determine variation in the discount, which is largely passed on to customers. Dealers trade on the exchange for immediacy and via brokers for opacity and anonymity, highlighting the complementary roles played by the di↵erent protocols.
Non-standard errors
(2021)
In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in sample estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: non-standard errors. To study them, we let 164 teams test six hypotheses on the same sample. We find that non-standard errors are sizeable, on par with standard errors. Their size (i) co-varies only weakly with team merits, reproducibility, or peer rating, (ii) declines significantly after peer-feedback, and (iii) is underestimated by participants.
We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a corporate bond market without trade transparency (Germany), and comparing our findings to a market with full post-trade disclosure (the U.S.). We employ a unique regulatory dataset of transactions of German financial institutions from 2008 until 2014 to find that: First, overall trading activity is much lower in the German market than in the U.S. Second, similar to the U.S., the determinants of German corporate bond liquidity are in line with search theories of OTC markets. Third, surprisingly, frequently traded German bonds have transaction costs that are 39-61 bp lower than a matched sample of bonds in the U.S. Our results support the notion that, while market liquidity is generally higher in transparent markets, a sub-set of bonds could be more liquid in more opaque markets because of investors "crowding" their demand into a small number of more actively traded securities.
Amid increasing regulation, structural changes of the market and Quantitative Easing as well as extremely low yields, concerns about the market liquidity of the Eurozone sovereign debt markets have been raised. We aim to quantify illiquidity risks, especially such related to liquidity dry-ups, and illiquidity spillover across maturities by examining the reaction to illiquidity shocks at high frequencies in two ways:
a) the regular response to shocks using a variance decomposition and,
b) the response to shocks in the extremes by detecting illiquidity shocks and modeling those as ultivariate Hawkes processes.
We find that:
a) market liquidity is more fragile and less predictable when an asset is very illiquid and,
b) the response to shocks in the extremes is structurally different from the regular response.
In 2015 long-term bonds are less liquid and the medium-term bonds are liquid, although we observe that in the extremes the medium-term bonds are increasingly driven by illiquidity spillover from the long-term titles.
Welche Geschichte(n) können wir erzählen über das vergangene Jahr? Mit dem Bild des Fachbereichs-Dampfers aus dem Vorwort dieses Jahrbuchs könnte man sagen: Es gibt unvorhersehbare Turbulenzen und hohen Wellengang im Meer, das unser Schiff umgibt. Dabei ist der Fachbereichs-Dampfer keine Insel, die von den Krisen, Katastrophen und Konflikten unserer Zeit unberührt bliebe. Diese sind vielmehr Herausforderungen für theologische und religionswissenschaftliche Forschung, für Studium und Lehre, und nicht zuletzt für all diejenigen, die das vermeintlich „einfache Tagesgeschäft“ in Fachbereichsorganisation und -verwaltung bewältigen müssen.