Wolfgang Schadner

Researcher: Quantitative Finance

wolfgang.schadner[at]uni.li

Projects

Which is Worse: Heavy Tails or Volatility Clusters? (Schadner W. and Traut J.)

Shadow Interest Rates in the Euro Area (Lang S., Reynard S. and Schadner W.)

Return Auto-Correlation as Implied by Option Prices (Schadner W.)

 

Publications

Direct Fit for SVI Implied Volatilities, Journal of Derivatives (forthcoming)

Estimating Forward-Looking Stock Correlations from Risk Factors, Mathematics (2022), (JIF:  2.6)*

U.S. Politics from a Multifractal Perspective, Chaos, Solitons & Fractals (2022), (JIF:  9.9)*

On the Persistence of Market Sentiment, Physica A (2021), (JIF:  3.8)*

The trilemma of expansionary monetary policy in the Euro area during the COVID-19 crisis, Finance Research Letters (2021), (JIF:  9.8)*

Forward Looking Up-/Down Correlations, Quantitative Finance and Economics (2021), (JCR: Q1)*

Ex-Ante Risk Factors and Required Structures of the Implied Correlation Matrix, Finance Research Letters (2020), (JIF:  9.8)*

An Idea of Risk-Neutral Momentum and Market Fear, Finance Research Letters (2020), (JIF:  9.8)*

*Journal metrics taken from Clarivate's Web of Science, 2022.


Reviewer:  
International Review of Financial Analysis (IRFA), Finance Research Letters, Economic Modelling


Experience

PostDoc - Liechtenstein Business School (8/2023 - present)

Visiting Fellow - Harvard Business School (9/2022 - 5/2023)

Research Associate - Univ. St. Gallen (2019 - 2023)

Research/Teaching Assistant - Univ. Innsbruck (2018)

Quantitative Analyst - 3BG Investment GmbH (2018)


Internships:Social Responsible Investments, Erste Asset Managment GmbH (2019)Risk Management, Immobank AG (2016)Mechanical Engineer, WWG GmbH (2015)

Military Service, Alpine Infantry (2012)

Education

PhD in Finance - Univ. St. Gallen (2019 - 2023)

MSc Banking & Finance - Univ. Innsbruck (2016 - 2018)

Visiting Student - HEC Lausanne (2017)

BSc Management & Economics - Univ. Innsbruck (2013 - 2016)


Environmental Engineering (2007 -2012)
(Technical College, HTL)

Awards & Grants

Swiss Finance Institute: SFI Best Paper Doctoral Award (for the project "Which is Worse ..."  with Joshua Traut) 

European Finance Association (EFA) travel grant 2022

Prix du Centre de Professions Financières, 31st Concours international des Mémoires de l'Economie et de la Finance (2019)

Erste Asset Management Challenge (winner; 2018)

Dean's List, Univ. Innsbruck (2018)

2x merit-based Scholarship, Univ. Innsbruck (2017, 2018)


Voluntary

Instructor at a kids adventure camp in the Austrian alps. Since 2016, one week every July.


Non-Academic Achievments:

3x IRONMAN finisher (long-distance Triathlon)