Prof. Sheri Markose
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 Professor of Economics at the Economics Department, University of Essex, UK. She did her PhD at the London School of Economics in 1987 and started her career as a research fellow (1982-1986) at the London Business School macro-modelling 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 curricula 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 included 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.
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 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 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 toke place in Siena (12-15 September 2006).
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 a M.Sc. in Digital Communications Networks and has substantial experience in various fields of information technology and system development. His research interests include Financial Network Analyses, Agent-based Computational Economics , learning and computational intelligence in finance and economics, evolutionary computations and portfolio optimization and algorithmic trading. 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 develpoing novel computational inteligence algorithms for the purpose of data modeling and optimisation.Currently he is a posdoctral KTP associate at University of Essex.
Mateusz has Master degree in Quantitative Methods and Information Systems from Warsaw School of Economics and Master of Research from European University Institute in Florence. He holds also a Master’s in Management degree from 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 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 MSc in Financial Markets with Information Systems from London Guildhall University. His research interests include: high frequency finance, market microstructure, trading algorithms and strategies, real-time systems, portfolio optimisation, and asset pricing. Azeem is a holder of the right to use the Chartered Alternative Investment Analyst designation. He is a quantitative analyst for Legal and General.
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. His research interests are in financial forecasting, genetic programming and real time trading. He has worked on applying generalized extreme value density functions to option pricing and risk management. He successfully defended his PhD thesis, “Option Pricing with the Generalized Extreme Value Distribution and Applications”, in December 2006.
Ph.D student at the Center for Computational Finance and Economic Agents Essex University. He has a Masters in International Economics Banking and Finance.
Current role: Calypso BA Supporting Front/Middle/Back Office for derivatives investing at AIMCo. He acted as the implementation lead on AIMCo’s Dodd-Frank Act complaince/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, introduction of new product types, legal data and collateral management as well as scenario modelling within Calypso.
As a former analyst at HSBC Segun, supported agency and trustee services related to structure finance, credit derivatives, repackaged notes programmes and the valuation custodian services delivery.
Research Interests: Agent based computational economics, systemic risk, policy analysis and design and applications of reinforcement learning