Professor SHERI  MARKOSE
 

 Economics Department
University of Essex

   FOUNDER DIRECTOR (2002-2009July): CENTRE FOR COMPUTATIONAL FINANCE AND ECONOMIC AGENTS (CCFEA)

  (On Study Leave Aug 09-Oct 10)

 Short Biog
 

CV
 

Invited Talks

 

 

 

  

RESEARCH  INTERESTS
 Include: Computational Market and Policy Design; Financial Networks, Contagion and Systemic Risk; Computational Financial Engineering and  Risk Management with Extreme Events; E-money and Cashlessness; Markets for Environmental Externalities; Markets as Complex Adaptive Systems; Mathematics of Self-reference, Incompleteness and non-Computability

RECENT PROJECTS:
 ·EC Grant Funded Project (2007-2010 Dec) :
 Multi-Agent Model of Credit Risk Transfer in Banks and Financial Contagion

26-28 May 2010, Invited Talk at the International Monetary Fund Workshop on "Operationalizing Systemic Risk Monitoring".

5 October 2009, Invited Talk at the European Central Bank Workshop Recent Advances in Modeling Systemic Risk Using Network Analysis.  Talks are based on research paper below:

683 February 10 Sheri Markose, Simone Giansante, Mateusz Gatkowski and Ali Rais Shaghaghi Too Interconnected To Fail: Financial Contagion and Systemic Risk in Network Model of CDS and Other Credit Enhancement Obligations of US Banks (pdf version) [Abstract]

 ECB press release and workshop summary published on the ECB website. Please refer to the following links:
http://www.ecb.europa.eu/press/pr/date/2010/html/pr100107.en.html

http://www.ecb.europa.eu/pub/pdf/other/modellingsystemicrisk012010en.pdf?d216f976f3587224bcc087cc8149ed49
Further discussion in press see, below p. 7,
http://www.financialnetworkanalysis.com/wp-content/uploads/2010/01/SecOps-011810.pdf

·Next Generation Electronic Trading Simulators (NGETS):
Joint work with Azeem Malik and Simone Giansante on a real time simulator for the London Stock Exchange Electronic Trading System (SETS) for the Electronic Limit Order Book Market. The SETS simulator project follows the lead of the Penn-Lehman Automated Trading (PLAT) platform for the LSE SETS.  The SETS E-TradPlat can test bed algo strategies and also analyse market impact and order placement   [PPT] Folie 1

 Sheri and her group assisted Michael Mosley, BBC Science Presenter, in a trading experiment :
 http://www.youtube.com/watch?v=K6MomAUDVT4

 ·Conference co-host at  Essex  Jan 11- 12 2007
 Design and Public Policy: Markets for Congestion and Carbon Trading
 http://www.essex.ac.uk/eccc/
·Symposium For Economic Journal 2005
Computability and Evolutionary Complexity: Markets as Complex Adaptive Systems
 Published  June 2005, Vol. 115  , F159-F192.
··Edited book with Shyam Sunder (Yale) :'Humans, Automaton and Markets: On Computational Microstructure Design' Forthcoming 2009/10,
Cambridge University Press.
··Guest Editor with Jasmina Arifovic (Simon Fraser) and Shyam Sunder (Yale) :
Journal of Economic Dynamics and Control Special Issue June 2007
Advances in Experimental and Agent-based Modelling: Asset Markets, Economic Networks, Computational Mechanism Design and Evolutionary Game Dynamics
··Markose, S.M, Phil Blythe (Director, Transport and Operations Research Newcastle) and Peter Allen (Director,Complex Systems Management Centre, Cranfield School of Management) :  ‘ Intelligent Charging: Smart Market Protocols for Road Transport’,   2005 Office and Science and Technology Foresight Directorate: Intelligent Infrastructure Project
Final Report :
Intelligent Charging: Smart Market Protocols for Road Transport 497kb
Applying agent-based modelling to investigate a possible congestion solving technology.
 CCFEA Lead Researchers launch smart software to simulate the impact of congestion charging
Smart Market for Congestion - Robustness Analysis - PPT Presentation -  -  Simulator to study the auction design for a congestion charge model. -  2006 ;  Full paper
·Program Co-Chair :  WEHIA 2005
http://www.essex.ac.uk/wehia05/
·Guest Editor : Developments in Experimental and Agent-based Computational Economics (ACE): Overview  Sheri M. Markose  ,Vol. 1: 2,  Journal of Economic Interaction and Coordination   
Research Papers

Derivatives Markets and Computational Finance
Papers from the EDDIE   Project
The Black (1976) Effect And Cross Market Arbitrage In FTSE-100 Index Futures And Options
Evolutionary Decision Trees For Stock Index Options And Futures Arbitrage(Published July 2002, In, Genetic Algorithms and Genetic Programming in Computational Finance, Edited by Shu-Heng Chen,  Kluwer  Academic Publishers, (ISBN 0-7923-7601-3).
The Generalized Extreme Value (GEV)Distribution, Implied Tail Index and Option Pricing ,
Sheri Markose and Amadeo Alentorn,
Economics Department, University of Essex, Discussion Paper 594, April 2005.(pdf version) [Abstract]
Being revised for Journal of Derivatives.

 Amadeo Alentorn and Sheri Markose, Removing maturity effects of implied risk neutral densities and related statistics  WP002-06: Centre for Computational Finance and Economic Agents
 Sheri Markose and Amadeo Alentorn  Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR) WP013-07: Centre for Computational Finance and Economic Agents
Now published as Markose, S.M., and A. Alentorn, 2008,   "Generalized Extreme Value Distribution and Extreme Economic Value at Risk (E-EVaR)" Chapter in  Computational  Methods in Financial Engineering edited by EJ Kontoghiorghes, B. Rustem and P. Winker in honour of Manfred Gilli,  Springer Verlag.


 

Computable Economics And Markets as Complex Adaptive Systems
 
Book Review  of Computable Economics by K. Vellupillai, Arne Ryde Lectures, Economic Journal, June 2001.

 

 The Liar Strategy And Surprises: So What  Is The Lucas Critique? A New Perspective From Computation Theory
Paper first given at Econ. Dept Seminar, Carnegie Mellon, USA, July 19-22, 1998   
The New Evolutionary Computational Paradigm Of Complex Adaptive Systems:  Challenges And Prospects For Economics And Finance.
(Published July 2002, In, Genetic Algorithms and Genetic Programming in Computational Finance, Edited by Shu-Heng Chen,  Kluwer  Academic Publishers, (ISBN 0-7923-7601-3) (pp.443-484 ). (Note the above is the revised form of  Economics Department Discussion Paper 532).
 Novelty And Surprises In Complex Adaptive System (CAS) Dynamics: A Computational  Theory of Actor Innovation
INVITED TALK:  Applications of Physics in Financial Analysis 4 (APFA4) Warsaw, November 13-15 2003

 Version Published (Autumn 2004) in Physica A   http://authors.elsevier.com/sd/article/S0378437104009045
 
 Special Feature on Computability and Evolutionary Complexity: Markets as Complex Adaptive Systems,
Computability and Evolutionary Complexity: Markets as Complex Adaptive Systems
 Published  June 2005, Vol. 115  , F159-F192. See also http://www.essex.ac.uk/economics/discussion-papers/papers-04.shtm
 
 THE RED QUEEN PRINCIPLE AND THE EMERGENCE OF EFFICIENT FINANCIAL MARKETS: AN AGENT BASED APPROACH Sheri Markose, Edward Tsang and Serafin Martinez .2005 In: Thomas Lux, Stefan Reitz and Eleni Samanodou (Eds.) Nonlinear Dynamics and Heterogeneous Interacting Agents, Lecture Notes in Economics and Mathematical Systems 550, Springer, Berlin, Heidelberg.
Gödelian Foundations of Non-Computability and Heterogeneity In Economic Forecasting and Strategic Innovation
 Paper presented on 4 July 2006 at the Godel Centenary Colloquium at Computing in Europe (CiE) Conference in Swansea, Wales UK
http://www.cs.swansea.ac.uk/cie06/giveabs.php?220

 

Agent Based Simulation Models, Computational Policy and Market Design

[ Marginal contribution, reciprocity and equity in segregated groups: Bounded rationality and self-organization In Social networks Alan Kirman, Sheri Markose, Simone Giasante and Paolo Pin
Forthcoming in the Journal of Dynamics and Control, Spring 2007

     A smart market for passenger road transport (SMPRT) congestion: an application of computational mechanism design  Sheri Markose, Amadeo Alentorn*, Deddy Koesrindartoto*, Peter Allen*, Phil Blythe* and Sergio Grosso*
Forthcoming in the Journal of Dynamics and Control, Spring 2007
 
The Herding and Networks Simulator  Presentation (2007)
The Herding and Networks Simulator was developed at CCFEA by Sheri Markose and Amadeo Alentorn.
 The Simulator can be accessed and run from http://privatewww.essex.ac.uk/~aalent/herding/herding.htm

 
  Dynamic Learning, Herding and Guru Effects in Networks (PDF 1.2 MB) , Sept 2004, Sheri Markose, Amadeo Alentorn and
Andreas Krause
The paper is also an Economics Department Working Paper, No. 582, Sept 2004.
 
      The Interbank Large Value Payments Settlement Simulator (IPSS)
             The IPSS is part of an ongoing project with researchers at the Bank of England,Steven Millard and Jing Yang.
            It is being developed at CCFEA by Sheri Markose and Amadeo Alentorn.
            The IPSS Simulator can be accessed and run from http://privatewww.essex.ac.uk/~aalent/IPSS/
          Designing large value payment systems: An agent-based approach (Paper)
 
   
 
 

Micro-Structure of Cashlessness and Implications for Monetary Policy
Trends in Payments Systems
(Published in International Correspondent Banking Review , Yearbook, 2000/2001, Euromoney Publication
ISBN No. 185564 815 6.)
The Microstructure Of Recent Trends In Cashlessness: UK and USA Compared

Innovations In Cash-Card Payments Networks:Implications For Monetary Policy In Low Interest Rate Regimes
(Published in International Correspondent Banking Review , Yearbook, 2001/2002, Euromoney Publication
ISBN No. 185564 815 6.)
Updates On Changing Trends in Payments Systems G10 and EU Countries
(Forthcoming 2002 in Entry on Electronic Payment Systems by J.K Winn, in Encyclopedia
of Information Systems, Academic Press.)
Can Cash Hold its own? International Comparisons, Theory and Evidence
Sheri M. Markose and Yiing Jia Loke
February 2002.
Network Effects on Cash-Card Substitution in Transactions and Low Interest Rate Regimes
Sheri M. Markose and Yiing Jia Loke, April 2003 (Published in The Economic Journal, Vol.113,no.487,
pp.412-456.)

IMPLICATIONS FOR MONETARY POLICY OF RETAIL PAYMENTS INNOVATIONS : SLOW DOWN IN GROWTH OF MONETARY BASE (M0) AND PRICE LEVEL DETERMINATION WITH COMPETING NETWORK CASH AND CARD PAYMENTS MEDIA   Sheri M. Markose and Yiing Jia Loke (2002, very preliminary draft)

This paper is one of the first to show that the slow down in the growth of M0 due to EPTPOS payments innovations in retail transactions can account for a deflationary impact on the Consumer Price Index.
IMPLICATIONS FOR MONETARY FROM HIGH INTEREST RATE ELASTICITY OF PAYMENT TECHNOLOGY CONSTRAINED TRANSACTIONS DEMAND FOR MONEY,Yiing Jia Loke*and Sheri M. Markose (2002,preliminary draft)
   
   
   
   
   
   
   
   
   
   
   
   

Visitors since 7 October 2002: