Ali Rais Shaghaghi

In my doctoral research with supervision of Prof. Sheri Markose in the field of Computational Finance at CCFEA I developed systemic risk management methods based on financial network analytics. Such systems need new modelling tools to produce holistic visualization of macro-monetary systems for which large scale Multi-agent Financial Network Models were developed.  This has involved use of understanding of financial derivatives markets, advanced data analyses, network theory, statistical analyses, computational intelligent and development of simulation applications.

I have aslo been invloved in a two year joint project with BT Group on developing novel algorithms for optimisation of fiber optic networks .Prior to this I was a Marie Curie Research Fellow for COMISEF (Computational Optimisation Method in Statistics, Economics and Finance) project. In this project I modelled the structure of US CDS markets in regards to systemic risk effect s.

Academic CV

My research interests are mainly based on utilising computational models to predict and simulate economic and financial systems.

The 2007 financial crisis has shown that economists have been behind the curve in regard to mapping, modelling and monitoring the highly interconnected and global financial system. Failure of financial institutions has led to fears of system failure from domino effects of one failed entity bringing down others. This has given rise to concepts such as financial contagion and too interconnected to fail. The latter was cited when there were tax payer bailouts of large financial intermediaries (FIs). My thesis has adopted network models to analyse the structure and stability of financial markets. Systemic risk from financial contagion is analysed on the basis of network stability measured by the maximum eigenvalue of the network of bilateral financial obligations between FIs and the corresponding eigenvector centrality of the FI is a measure of its contribution to network instability. Results of my research have been published in several papers and at the moment I am in the process of publishing couple of other papers.

Other aspect of my research is relevent to applications of computaional methods in optimisation problems.

Research interests: Agent-Based Computational Economics, Financial Modeling, Computational Intelligence in Economics and Finance, Algorithmic Trading, Digital Modeling of Financial Contagion, Evolutionary Computation.

Publications >>

Email: araiss, non essex users should add @essex.ac.uk

Centre for Computational Finance and Economic Agents (CCFEA)

University of Essex

CO4 3SQ United Kingdom