(On Study Leave Aug 09-Oct 11)

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

More details on Sheri's pioneering work on large scale data base driven simulators for financial networks, market and policy design ;markets as complex adaptive systems; extreme value models; and climate and green transport can be found at the Agent-based computational economics and financial modelling website    http://www.acefinmod.com/index.html

Latest  drafts and research papers on Sheri's new eigen-pair approach for quantifying systemic instability and the systemic risk of network central financial intermediaries; also on forecasting extreme volatility using Markose-Alentorn GEV based closed form solution for option pricing-

                     http://www.acefinmod.com/researchUpdate.html

NEWS :

· Sheri  will be giving two lectures on Systemic Risk Modelling Using Network Analysis and Policy Design from a Complex Adaptive System Perspective at the Kiel Institute for the World Economy Summer School, June 24-30, 2012.

Speakers include :

Jean-Claude Trichet ( former President, ECB)

http://users.unimi.it/phdeconomics/documents/KISSEP%20Poster%202012.pdf

·March 2011- 30 Dec 2011 Systemic Risk From Global Financial Derivatives

Sheri Markose was appointed by the Department of Monetary and Capital Markets of the International Monetary Fund to lead research on a project on modelling systemic risk from financial derivatives. She visited the IMF, 6-9 December 2011 to present her results. She has characterized the phenomenon of too interconnected to fail (TITF) as one in which the failure of a highly connected large complex financial intermediary can bring down the top tier of 22 clustered similarly connected FIs. She has designed a super-spreader tax based on the eigenvector centrality of the LCFIs so that they internalize the cost of their systemic risk to the rest of the system. The highly tiered structure of the derivatives market enables her to construct a lite superspreader tax escrow fund of only $40 bn which can prevent the failure of the highly unstable $650 trillion global derivatives market.

Slides of IMF talk

The software for systemic risk and network analysis was developed by Sheri Markose with Simone Giansante and Ali Rais Shaghaghi.

·Sheri Markose to advise the Financial Stability Division of the Reserve Bank of India

Essex Professor appointed to advise Indian bank

·Sheri has been invited to be a panellist at the Global Economic Symposium 2011, on the session on "Coping with Systemic Risk ".  She has been encouraged to give radically new ideas that have the promise of being paradigm shifts, and also give feedback on the challenge and suggestions on potential solutions. GES 2011 is being held on Oct 5-6, 2011 at Kiel, Germany.

Sheri's written submission for the GES which she revised for the UK Office of Science and Technology Foresight Complexity Matters Workshop 25 October 2011 can be found here. 

The GES Panel Coping With Systemic Risk moderated by Wolfgang Munchau (panellists, Eric Maskin, (Noble Laureate, Institute for Advanced Studies, Princeton), Carlos Langoni ( Former Governor of the Brazilian Central Bank), Erkki Likanen (Governor Bank of Finland) and Aolin Liu (Executive Director of Research of China International Capital Corporation and Sheri Markose).

http://www.youtube.com/watch?v=-Aw0l552ocw&feature=related  Sheri Markose Interview at GES

·Sheri Markose and Amadeo Alentorn  have finally got their paper in press : “The Generalized Extreme Value (GEV)Distribution, Implied Tail Index and Option Pricing”,

 forthcoming Spring 2011 in the Journal of Derivatives
Stephen Figlewski (JOD Editor) and a referee said that the paper was very 'illuminating' about the behaviour of  fat tailed (GEV Frechet ) distributions for asset returns under extreme market conditions.
Markose & Alentorn obtain a close form solution for the GEV option price. They say:
 "We find that the traded option price implied GEV model for the Risk Neutral Density (RND)yields results that strongly challenge traditionally held views on tail behaviour of asset returns based on Gaussian distributions which predicate simultaneous existence of thin tails in both directions during all market conditions. The GEV distribution for asset prices which is governed by the tail shape parameter is found to switch tail shape with underlying market conditions. Further, a non-zero value for the tail shape parameter results in significant skewness in the probability mass of the GEV density function during extreme market conditions which implies large one directional movements and truncation in the probability mass in the other direction. During extreme market drawdowns, a positive value for the tail shape parameter of the GEV RND function for losses implies extreme price drops with the large probability mass on the right and a finite tail in the other direction implying an upper bound on possible gains. To date, proposed option pricing models intended to deal with both the fat tail and the skew in asset returns have failed to highlight the above characteristic features of fat tailed distributions." 

    All  Matlab codes for the GEV option pricing model, GEV RND implied statistics such as volatility, Extreme Economic VaR  etc.   will soon be available  at  http://www.acefinmod.com/index.html  .       .   

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:

 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 :

http://www.bis.gov.uk/assets/bispartners/foresight/docs/intelligent-infrastructure-systems/smart-protocols-intelligent-charging.pdf

Intelligent Charging: Smart Market Protocols for Road Transport
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   

Derivatives Markets and Computational Finance

 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

Computable Economics And Markets as Complex Adaptive Systems
 

Agent Based Simulation Models, Computational Policy and Market Design

Micro-Structure of Cashlessness and Implications for Monetary Policy

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.)

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)