Digital Modeling of Financial Contagion
Markose, Sheri & Giansante, Simone & Shaghaghi, Ali Rais, 2012. “‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk,” Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 627-646.
This project builds a multi-sector agent based simulator of the US financial system which is driven by the FDIC data set. The model is first built sector by sector starting with the CDS market.
Financial network analysis and systemic risk from contagion are the key objectives of this project.
Links to simulators:
Links to various sections:
Systemic Risk from Financial Derivatives: Network Analysis
Sheri M Markose, 2013. “Systemic risk analytics: A data-driven multi-agent financial network (MAFN) approach,” Journal of Banking Regulation, Palgrave Macmillan, vol. 14(3-4), pages 285-305, July.
At least since the NBER paper by Michael Darby (1994), systemic risk from financial derivatives has been considered as a threat due to the sheer size of the OTC markets (over $603 tn) and the concentration of the market. To this may be added the correlated movements in the underlying of derivatives, interest rates, exchanges rates, sovereign debt etc that trigger multiple obligations. Here we provide the first comprehensive network analysis of the derivatives markets that can highlight structural fragility.
Next Generation Electronic Trading Simulators for London SETS (NGETS)
In this project, the London SETS electronic order book market is fully rebuilt and is the basis of a simulator to design and build algo strategies in real time. Detailed analysis of the structure and statistical properties of the orderbook are possible.
Run NGETS app
Sovereign Risk Contagion
In this project, the BIS bilateral data on immediate obligations between countries relative to their assets is visualized in a financial network. We proceed to analyse the financial contagion affecting the PIIGS (Portugal, Italy, Ireland, Greece, Spain) & UK.
Markets as Complex Adaptive Systems
CLIMACE, Green Transport and Smart Infra-structure
CLIMACE investigates a multi-agent model for digitally mapping the transition in economies
from high to low carbon.
Green Transport and Smart InfrastructureModels
covers research in this field