About the Team

Prof. Sheri Markose

Research Interests
Financial Networks, Contagion and Systemic Risk
Computational Market and Policy Design Using Agent-Based Models
Computational Financial Engineering and Risk Management with Extreme Events

Sheri Markose is currently a Professor of Economics at the Economics Department, University of Essex, UK. She did her Ph.D. at the London School of Economics in 1987 and started her career as a research fellow (1982-1986) at the London Business School macro-modeling group. She is the founder Director (2003-2009 July) of the Centre For Computational Finance and Economic Agents (CCFEA). At CCFEA, she helped pioneer a post-graduate curriculum in complexity economics and multi-agent-based computational modelling for market and policy design. Since 2013, this curriculum with a new module on Computational Macro-economics which covers the building of a large-scale macro-net model based on inter and intra country production networks serves as an innovative post-Great Financial Crisis Masters in Computational Economics, Financial Markets and Policy at Essex.
Sheri was the lead researcher on the Foresight Office of Science and Technology 2006 Intelligent Infrastructure Systems project on designing Smart Market Protocols for Road Transport Congestion which involved the pricing of negative externalities. She directed research at Essex as part of a €4 million EC Research Training Network which supports work on a simulator of a large-scale Multi-Agent Model of Credit Risk Transfer in Banks and Financial Contagion. She has also led the development of other large scale simulators: for pricing negative environmental externalities, the design of hybrid systems to complement the RTGS for large-value payments in the UK (joint with researchers at the Bank of England), and full digital rebuilds of the London Stock Exchange Electronic Limit Order Book, SETS. Sheri has addressed the Prime Minister Strategy Unit on the use of multi-agent models for market and policy design and continues to be involved in propagating these ideas at a number of workshops organized by central banks, practitioners, and academics.

Starting February 2011- Sept 2014, Sheri was appointed to the Financial Stability Division of the Reserve Bank of India as Senior Consultant on the digital mapping of the Indian financial system using network analysis systemic risk modelling. Starting with the project Sheri did for the IMF in 2012 on the network analysis of systemic risk for global derivatives markets, Sheri and her group (Simone Giansante and Ali Rais Shaghaghi) did an assessment of systemic risk in these markets post 2009 G20 financial reforms that feature increased clearing by Central Clearing Platforms (CCPs) for the 2017 Banque de France Financial Stability Review. Sheri was awarded the 2017 Eubank Prize of the Rice University, Houston Texas, USA, “For integrative synthesis and data-driven leadership toward understanding systemic risk in global financial markets.”

Her other modeling and research interests include the study of e-money and cashlessness, regime-switching in macro-finance, and financial modeling under extreme non-Gaussian events which includes the first closed solution of option pricing which can include extreme events using Generalized Extreme Value Distribution. This has also resulted in the notion of an extreme economic value at risk (E-EVaR) for risk management. Her longstanding research interest and contributions to the Gödelian formal mathematics of incompleteness and non-computability has enabled her to develop a theory of markets as complex adaptive systems and Nash equilibria in which strategic innovation and surprises occur in the form of a Red Queen Arms Race. Hew new 2017 paper on how digital agents innovate in the Journal of Dynamics and Games of the American Institute of Mathematical Sciences has led to Sheri’s appointment as Associate Editor of the journal Frontiers in Computational Intelligence.

Dr. Simone Giansante

Since October 2010, Simone has been appointed to a lectureship at the University of Bath Management School. He has a Ph.D. in Computational Economics from the Centre for Computational Finance and Economic Agents (CCFEA), University of Essex, UK. He will accompany Sheri Markose as a consultant to the Reserve Bank of India to help develop an ICT based framework for systemic risk modelling. His research topic is focused on monetary economics applications of evolutionary learning using Agent-Based Simulations and genetic algorithms. He is a Research Fellow at the Department of Economic Policy, Finance and Development (DEPFID) and also the coordinator of the Laboratory for the Simulation of Complex Socio-Economic Systems (LabSEC) at the University of Siena (Italy), Center for Complex Systems Studies (CSC). Since receiving his M.A.(Laurea) in Economics from “G.d’Annunzio” University in 2003, he has been collaborating with Prof. Domenico Parisi at Laboratory of Autonomous Robotics and Artificial Life (LARAL) in Rome, Institute of Cognitive Science and Technologies – National Research Council (ISTC-CNR). He has published articles in international journals about Monetary Economics and Network Formation applying Computational Economics techniques. Simone has also been one of the organizers of the III Italian Workshop of Artificial Life (WIVA3) which took place in Siena (12-15 September 2006).

Giorgos Morakis

Giorgos Morakis has an MSc in Computational Economics, Financial Markets, and Policy from the University of Essex. He did a dissertation with the Research Support Program of the Bank of England on the role of systemic risk of central counterparties in the network of OTC Derivative Markets. He has been a researcher and consultant for SMEs and development banks in Latin America.

Research Interests: Market microstructure, network analysis, agent-based computational economics, systemic risk, and policy analysis.

Wangui Kagumba

Wangui is an MSc Computational Economics, Financial Markets and Policy Graduate from the University of Essex. Her dissertation adopted the use of network analysis to analyze the systemic risk of bilateral financial flows of 20 BIS reporting countries, specifically following Markose et al (2012)*. After exposure to agent-based modelling and network analysis in economics, she is keen to explore, develop and apply these models that capture the complex adaptive feature of economic systems. Previously, she worked at the Strathmore Institute of Mathematical Sciences where she tutored students in Microeconomics, Econometrics, and Asset Pricing.

Research Interests: Network Modeling, Agent-Based Methods, Applied Machine Learning, Systemic Risk, Market Microstructure, Capital Market Infrastructure, and Sub-Saharan Africa’s capital markets.

Dr. Ali Rais Shaghaghi

Ali has a Ph.D.in Computational Finance from the Center for Computational Finance and Economics Agents (University of Essex). He has an M.Sc. in Digital Communications Networks and has substantial experience in various fields of information technology and system development. Ali has joined the COMISEF team at CCFEA and was involved in the development and implementation of digital modelling of financial contagion. He also has substantial experience in developing novel computational intelligence algorithms for the purpose of data modeling and optimization. Currently, he is a postdoctoral KTP associate at the University of Essex.

Research Interests: Financial Network Analysis, Agent-based Computational Economics, learning, computational intelligence in finance and economics, evolutionary computations, portfolio optimization, and algorithmic trading.

Dr.Mateusz Gątkowski

Mateusz has a Master’s degree in Quantitative Methods and Information Systems from Warsaw School of Economics and a Master of Research from the European University Institute in Florence. He holds also a Master’s in Management degree from the Community of European Management Schools (CEMS MIM) with Bocconi University. He’s joined the COMISEF team and works on his Ph.D. within the topic of Credit Risk Transfer and Systemic Risk Implications. Mateusz has a substantial business background including, inter alia, consulting positions with Andersen Business Consulting and The Boston Consulting Group, he’s been also an IT system analyst. He is also a mountain-lover with summits like Mont Blanc, Elbrus, and numerous trips in the Alps, the Tien-Shan on the list.

Dr. Azeem Malik

Azeem is a Ph.D. student at CCFEA. He has a Master of Business Administration (MBA) degree from Edinburgh Business School (Heriot-Watt University) and an MSc in Financial Markets with Information Systems from London Guildhall University. Azeem is a holder of the right to use the Chartered Alternative Investment Analyst designation. He is a quantitative analyst for Legal and General.

Research Interests: High-frequency finance, market microstructure, trading algorithms and strategies, real-time systems, portfolio optimization, and asset pricing.

Dr. Amadeo Alentorn

Amadeo has a Ph.D. in Computational Finance from CCFEA. He is currently Head of Quantitative Research of Old Mutual Asset Management, UK. Amadeo has a Masters in Computer Science (with Distinction) from the University of Essex. He has worked on applying generalized extreme value density functions to option pricing and risk management. He successfully defended his Ph.D. thesis, “Option Pricing with the Generalized Extreme Value Distribution and Applications”, in December 2006.

Research Interests: Financial forecasting, genetic programming, and real-time trading.

Dr. Segun Bewaji

Segun is a Ph.D. student at the Center for Computational Finance and Economic Agents Essex University. He has a Masters in International Economics Banking and Finance. He is currently at Calypso BA supporting Front/Middle/Back Office for derivatives investing at AIMCo. He acted as the implementation lead on AIMCo’s Dodd-Frank Act compliance/Over-the-Counter derivatives clearing project. He has and continues to be involved in the planning of new operations initiatives such as building a common data model for OTC trade downstream communication, the introduction of new product types, legal data and collateral management as well as scenario modeling within Calypso. As a former analyst at HSBC Segun supported agency and trustee services related to structure finance, credit derivatives, repackaged notes programs, and the valuation custodian services delivery.

Research Interests: Agent-based computational economics, systemic risk, policy analysis and design and applications of reinforcement learning

Alex Linnen

Alex has an MSc in Computational Economics, Financial Markets, and Policy from the University of Essex, achieving a Distinction in 2017. He is currently gaining work experience after recently starting a role as a data analyst for a forex company. This role utilizes many of the skills he gained during the postgraduate study, and he continues to develop skills in economic modeling using an agent-based approach in his spare time.

He assisted Sheri in the development of the AceFinMod website and was briefly employed as a research assistant. His topics of interest include agent-based computational economics (ACE), macroeconomic policy, systemic risk, and financial derivatives. His master’s dissertation, “The U.S. Mortgage Market, Securitisation and the Global Financial Crisis: An Agent-Based Approach” was supervised by Sheri and was awarded the grade of Distinction.