Sheri 

Professor

SHERI  MARKOSE
 

 Economics Department
University of Essex

   FOUNDER DIRECTOR (2002-2009 July)

 CENTRE FOR COMPUTATIONAL FINANCE AND ECONOMIC AGENTS (CCFEA)

       2013 designed New Post Crisis Economics Masters MSc Computational Economics, Financial Markets and Policy.

  See, UniqueACEDoctoralTraining   

Short Biog
 

CV
 

Invited Talks

Under Construction  Presentation clipartSorry for inconvenience as some links may not work in transit !

 

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

   E-money, Cashlessness, Inflation Reduction and Monetary Policy

  Modelling and Managing Environmental Negative Externalities

  Markets as Complex Adaptive Systems; Mathematics of Self-reference, 
   Incompleteness and non-Computability

  1.   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

  2. Recent Dec 2015 Lectures on Agentbased and Network Models for Economics and Finance

  3. http://www.essex.ac.uk/economics/documents/sheri-talk.pdf

  4.    http://www.acefinmod.com/index.html

  5. ACE and Markets as Complex Adaptive Systems: Lectures, Material and Slides

     

Sheri's YouTube videos

          Unsustainable Global Macroeconomic Trends : New Granular Macro-net
                Models for Macroeconomics and Macro Prudential Policy

             Invited Talk Given at Judge Business School, Cambridge 13-14 Sept 2016.

       http://www.jbs.cam.ac.uk/faculty-research/centres/risk/news-events/events/2016/financial-risk-network-theory/#item-3

         

          Logo

        Why we need new models of the economy ?  April 2015

 

    London School of Economics and Political Science (LSE)

 

              https://www.youtube.com/watch?v=9G0PYZ28N0U

 

                Towards a sustainable financial system - See more at:   

         http://www.systemicrisk.ac.uk/events/towards-sustainable-financial-system#

 

            2011 Global Economic Symposium

 

              https://www.youtube.com/watch?v=-Aw0l552ocw

 

 

                                                          NEWS

 

           July 2017  Her 2017 publication in the American Institute of Mathematical Sciences (AIMS) Journal of Dynamics and Games on How Can
                      Digital Agents Innovate?
,  highlighting the role of the Gödel sentence to produce Type 4 dynamics in the Wolfram-Chomsky schema, has been
                      called ‘exciting’ by Noam Chomsky.

            Susan Cummins the Publication Editor of AIMS has circulated the following to those cited in the paper and to others who work on these
                      issues:
           

                COMPLEX TYPE 4 STRUCTURE CHANGING DYNAMICS OF DIGITAL AGENTS: NASH EQUILIBRIA OF A GAME WITH ARMS
                                                                                               RACE IN INNOVATIONS
                                                 
http://aimsciences.org/journals/displayArticlesnew.jsp?paperID=14397
                                                                                                             Sheri M. Markose

                          Journal of Dynamics and Games (July 2017, vol. 4, no. 3; #5) of the American Institute of Mathematical Sciences

                      The biologist Barbara McClintock, in her Nobel Prize lecture of 1984, made a bold conjecture on the ‘dynamic genome’, which can initiate
                       mutations in response to specific stresses being experienced, thereby suggesting that genomic mutations need not all be random.  As genomic
                       dynamics quintessentially entail digital operations via encoded information, the new paper by Sheri M. Markose, provides a ‘break through’ on how
                      digital agents innovate. Markose draws on an early provenance of John von Neumann on biology as computation and a more recent treatment of this
                       by Eshel Ben-Jacob on Gödel and the ‘creative genome’ to give a formal elucidation of an area of growing interest with the 2nd Machine Age.
                       Creative dynamics involving digital agents in which new objects emerge have been associated with the Type 4 dynamics of the Wolfram-Chomsky
                       schema. Hence, the title of the paper.

                      The paper is original in postulating that innovation by digital agents relates to their recursive capacity to produce encoded objects outside
                       machine listable sets as in the well-established set theoretic proof of Gödel incompleteness by Emil Post (1944). In particular, the paper
                       demonstrates that the Gödel sentence, which involves a syntactic encoding of a self-referential statement that a code is under attack, far from being a
                       ‘funky’esoteric mathematical construction of little relevance beyond the foundations of mathematics, is an ubiquitous phenomenon which can be seen
                        to be the driving force behind the complex protean phenotypes associated with genomic evolution and in the form of artifacts or extended
                        phenotypes in organisms and humans.  Remarkably, with the discovery of human mirror neuron system, the paper shows that there is evidence that
                        the brain mechanisms behind human proteanism, which also include embodied offline simulation and operations that entail negation, correspond with
                        the logical elements of Gödel incompleteness and Type 4 dynamics. Markose notes that the lack of progress with models for strategic innovation,
                        rampant in complex adaptive systems, but missing in game theory, parallels gene research in the pre McClintock era.

 

          Sheri Markose awarded the 2017 Eubank Prize by the Rice University , Houston , USA for

            For integrative synthesis and data driven leadership toward understanding  systemic risk in global financial markets.” 
             http://www.cofes-rice.org/eubank-conferences/eubank-prize/.

        

          11 May 2017   Invited to Speak at Bank of England

           A Systemic Risk Assessment of OTC Derivatives Reforms and Skin-in-the-game for
                    CCPs
.  
                      
 

            (See,  http://www.essex.ac.uk/economics/documents/sheri-paper.pdf   )     

   

 

          20 April 2017 : Sheri was invited to contribute (with co-authors Simone Giansante and Ali Rais
                   Shaghaghi) to the 2017 Banque de France Financial Stability Review (FSR) by Laurent Clerc, Director of
                    Financial Stability at the BoF.

           Sheri's paper is titled  A Systemic Risk Assessment of OTC Derivatives Reforms and Skin-in-the-game for CCPs
 
                      
 (See,  http://www.essex.ac.uk/economics/documents/sheri-paper.pdf   )         

           The FSR analyses the impact of financial reforms eight years after the adoption of the G10 action plan in 2009.

                From 20 April 2017, the FSR can be accessed from Banque de France’s website

                   The Financial Stability Review is being launched by the Banque de France Governor, François Villeroy de Galhau, at the
                   
International Monetary Fund 2017 World Economic Conference in Washington on Thursday 20 April.

 

                  The panel includes Mark Carney, Governor of the Bank of England and Chair of the Financial Stability Board, Axel Weber,
                  Chairman of UBS, Tobias Adrian, Director of the Monetary and Capital Markets Department of the IMF, and Avinash
                  Persaud, Emeritus Professor of Gresham College.
                   
Banque de France story: http://www.essex.ac.uk/economics/news_and_seminars/newsEvent.aspx?e_id=12092

      

           24-26 April 2017  Invited Speaker to Rice University, Houston, Texas USA

           24 April 2017, 7th Eubank Conference on Real World Markets at the
          
Centre for Computational Finance and Economic Systems of Rice University.
               The theme of the 7th Eubank Conference is on High Frequency Trading: Mitigating Its Impact on Trading and Investing

              Sheri will join thought leaders like Joe Saluzzi (author of Broken Markets:How High Frequency Trading and Predatory
              Practices on Wall Street are Destroying  Investor Confidence
) and
John Ramsay of IEX.  IEX is the iconic
              new electronic stock exchange which was featured in a BBC Newsnight program about a couple of
              months back. IEX will implement ‘speed bumps’ to halt the arms race in the speed of order
              submissions by high frequency traders who IEX founders claim are rigging the market against slower institutional investors like
              pension funds (see also http://www.bbc.co.uk/news/business-36544970 ).  IEX also features in Michael Lewis’s Flash Boys as the
              crusading and reforming institution which is challenging the rapacious practices in the electronic asset markets that are
              detrimental to the social good.  So it is cool to share the platform with them…
 

         

            Eubank story at:   
               http://www.essex.ac.uk/economics/news_and_seminars/newsEvent.aspx?e_id=12094

  

         # Sheri's opening lecture at the 7th Eubank Conference is on Computational Market Microstructure
                 And Price Trends in the London Electronic Order Book: Order Submissions and Cancellations

         # During her visit to Rice University, on 25 April, Sheri will give lectures on Reforming Global OTC
                 Derivatives Markets and Skin-in-Game for CCPs  (see above on forthcoming in the 2017 Banque de France
                 Financial Stability Review) to students at the Centre for Computational Financial and Economic
                Systems at Rice.
               # On 26 April, Sheri will meet with members of the Rice University
AI, Algorithms and Bio Informatics Group
                 
which include Moshe Vardi and Luay  Nakhleh.  She will discuss  How Digital Agents
                   Innovate
based on her paper that is forthcoming in the Journal of Dynamics and Games of the
                  American Institute of Mathematical  Sciences 
                   See

               :https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2900533  

 

           For Details see          

              https://www.eventbrite.com/e/7th-eubank-conference-on-real-world-markets-tickets-32504403546

 

              http://eubankconference2017.rice.edu/speaker-profiles/

 

              http://eubankconference2017.rice.edu/schedule-monday-april-24-2017/

 

        13-14 Sept 2016  Invited Speaker at Financial Risk and Network Theory Workshop

                 Centre for Risk Studies and FNA, Judge Business School, Cambridge

         Sheri presents new work (with Inacio Manjama and Qi Zhang) on why granular global macro-net
                models are needed :

         Unsustainable Global Macroeconomic Trends : New Granular Macro-net
                Models for Macroeconomics and Macro Prudential Policy

            The talk identifies 3 major sources of economic malaise and unsustainable trends, which, if not addressed in the medium term
              can derail OECD economies for the foreseeable future. 

            Firstly, the longstanding offshoring of supply chains in leading OECD countries has made the domestic production networks to become
                fragile and suffer loss of connectivity with growing holes. Sheri  compares this to a diseased brain with Alzheimer's that loses
                functionality. There is also reduced capacity of domestic systems to sustain wage growth in many sectors.

            Secondly, financialization which has increased the size of the financial sector and the
              arrogation of a very large percentage of corporate surpluses (over 60% in the US ) underscores the paucity of real investment in
              these economies and also the growing income inequality.  Using the Ghosh inverse function, we show the GDP loss from

            increasing financial sector share of gross operating profits in the US will be 6 times more in 2011 than in 1997.

            Thirdly, QE which was ushered in as a fire fighting exercise has become a semi-permanent fixture with the close to zero or negative

            interest  rate regimes unleashing a ‘money- go- round’ series  of carry  trades and asset bubbles which exacerbate the unstable
               trends that are already endemic. We apply the network based granular macroeconomics of Acemoglu-Carvalho-Gabaix, as well

            as the Markose et. al. macro-net approach to identify the disproportionate size of economic actors/sectors such as the financial

            sector as being the major cause of  extreme GDP volatility and macro-prudential instability.   

         See talk at  http://www.jbs.cam.ac.uk/faculty-research/centres/risk/news-events/events/2016/financial-risk-network-theory/#item-3

 

            This  talk was also given at the University of Manchester Conference on Networks In Finance
               organized by Adam Leaver on 7-8 December 2016.   

         31May- June 4  Sheri Visits IMF and Office of Financial Research (OFR), 

              USA, Washington DC             

             While there, Sheri delivered a number of talks on the need to use more data
               driven granular and interconnected models in macroeconomic and macro-

                prudential models.
               She also spoke about the financial network modelling for systemic risk
               management: Applications to cross border banking system and over the counter
               derivatives reforms.

               The talk was followed by technical discussions with IMF staff on:

bullet            Network methods for systemic risk indices for early warning
bullet            The integration of systemic risk analysis and stress testing;
bullet            Carry trades and agent based models.

 

           For Sheri's critique on why there are serious legacy problems at institutions such
               as the IMF to move on from perspectives and models (heavy with implausible
               assumptions and poor data resolution ) that got us into deep trouble with the 2007

              GFC, see:        

                  http://www.essex.ac.uk/economics/news_and_seminars/newsEvent.aspx?e_id=10599

                     

           22 April 2016  

              BoE paper seeks unified global approach to NPLs 

                     http://www.centralbanking.com/central-banking/research/2456009/boe-paper-seeks-unified-global-approach-to-npls

               David Bholat, Rosa Lastra, Sheri Markose, Andrea Miglionico and Kallol Sen tackle the
                          legal, accounting, statistical, economic and strategic aspects of the problem of NPLs in their
                          paper,

               Non-performing loans: regulatory and accounting treatments of assets 

          29 March 2016

              Sheri Markose Invited Speaker at

                 Complex networks and emerging applications workshop

                    International Centre for Mathematical Studies, Edinburgh

                     http://icms.org.uk/workshops/complexnetworks

           22 January 2016  Bruegel, Brussels, Belgium 

             The Bank of England in Europe: Does EU membership constrain non-                  Euro central banks?

             The ECB and its response to crises in the euro area have been in the spotlight recently.
                       But, how does EU membership affect the central banks of non-Euro member states? This
                      question is especially pertinent in the UK, whose relationship with the EU is at a vital

              crossroads .  

              Bruegel welcomes Jon Cunliffe, Deputy Governor for Financial Stability at
                       the Bank of England, who will present the Bank’s report. This will be followed by a
                       discussion of the findings with Sheri Markose, University of Essex, and Matt Holmes,
                       Deutsche Bank.

             http://bruegel.org/events/the-bank-of-england-in-europe-does-eu-   membership-constrain-non-euro-central-banks/   

 

               24 November 2015 Bruegel, Brussels, Belgium

                Post-Crisis Financial Stability: Vulnerabilities, Legacies, Policies

            IMF Director José Vińals will discuss the 2015 October IMF Global Financial
                     Stability Report. He will suggest that an urgent policy upgrade is vital to normalise

            monetary and financial conditions and to anchor financial stability. 

            This will be followed by a discussion with Sheri Markose from the University of Essex

             and a representative from business, chaired by Bruegel Senior Fellow Nicolas Véron

             For live stream and details see:

                    http://bruegel.org/events/post-crisis-financial-stability-vulnerabilities-legacies-policies/

 

            5- 12 December 2015

              Lectures at Leading Chinese Universities : Agent based Computational Economics, Digital
                       Economics and Digital Network Models of the Economy     
    

                       

                     Considerable swathes of the economy from retail trade, financial markets, money and
                     information have gone digital.  However, Economics Departments in the UK  curtailed in their
                     capacity to innovate and embrace diversity due to the so called REF (Research Excellence
                     Framework) which restricts analysis to traditional economic models, have been slow on the
                     uptake.  The lectures I did for the Chinese Universities (and at the HMT mini-conference)
                     summarizes the vast software developments I with co-authors (mostly CCFEA PhD students) have
                    done to date on smart markets and digital network models.

                     Essex University Economics Department is the only UK Economics Department where there is
                     PG training
in  Agent based Computational Economics and data driven Digital network models
                     of the economy.   

                     Link to lecture:

                     http://www.essex.ac.uk/economics/documents/sheri-talk.pdf

 

             Sheri will be a speaker at the 2015 ECMI Conference at the National Bank of Belgium on
                        the 20 October to discuss the new EC financial market infrastructure developments in the
                        context of the European Capital Markets Union.  Sheri’s contributions will focus on her
                        work on reforming the Over-the-Counter (OTC) derivatives reforms which were implicated
                        in the 2008 financial crisis.  This is a high level conference, which includes policy makers
                        such as Lord Jonathan Hill, European Commissioner for Financial Stability, Financial
                        Services and Capital Markets Union. 

                       Following the conference, she has been invited to contribute to a  closed door meeting with
                       representatives of the European Commission to discuss the European Capital Market Union
                       on the 21 October.

                  http://www.ceps.eu/2015_ECMI_AC

                       See also http://www.essex.ac.uk/events/event.aspx?e_id=8354

           

             CCPs and Network Stability in OTC Derivatives Markets

                      Sheri Markose and Ali Rais Shaghaghi have co-authored a paper with
                      Mark Manning, Alexanda Heath, Gerard Kelly of
                      the Reserve Bank of Australia (July 2105)
on OTC Derivatives Reforms

                       Paper published  http://dx.doi.org/10.1016/j.jfs.2015.12.004

 

            Sheri will be giving a talk on Why Computability and Complexity
                     Matter In Economics
at the Global Systems Sciences Genova Science Festival on 29
                     October 2015.

 

          On her return from the Athens Summer School when she had a first hand view of the
                    Greek Referendum on the 5 July 2015, Sheri wrote a media piece

             The Greek Tragedy In Three Parts  

 
       
   12 Annual Stochastic Finance Summer School

            Athens University of Economics and Business, 76 Patission Street , Athens 

                       Invited Lectures  6-7 July 2015

             Sheri will be giving 4 lectures on Systemic Risk and Complexity Economics

            Monday 6 July 2015

                     Morning (2 hours):  Introduction to Systemic Risk and Macro-prudential Modelling: Market Prices Based
                     Methods v Network Analysis of Financial Interconnections

                     This lecture covers the desirable characteristics that one needs from systemic risk indexes.  Early warning
                     signal (avoiding false negatives) is upheld to be high on this list.  Market price based systemic risk indexes
                     lack early warning and may mislead about systemic risk as volatility indexes do. Bilateral asset-liability data
                     based network models for financial systems are needed to see how procyclical liabilities exceed financial
                     buffers, leading to system wide instability. 

                     Afternoon (2 hours): Why Topology Matters in Financial Networks: Granularity, Stability and Tipping
                      Points

                      Many influential models have been misleading about the stability of financial networks by considering
                     only  their connectivity and assuming homogeneity in the number and size of links of nodes. Real world
                      networks are highly heterogeneous in the number and size of links, increasing connectivity in such systems

                      can be dangerous.   I show how the Robert May characterization of stability of a network system in terms of
                       its spectral properties as a dynamical system gives us a handle in determining financial stability and
tipping
                       points. Both the index of stability of the financial network and the rank order of systemic importance and

                       vulnerability can be obtained simultaneously as part of the eigen-pair solution.  

                     Tuesday 7 July 2015

              Morning (2 hours) : New Global Granular Macro-Net Models for Macruprudential Policy

                      The challenge is to marry, at a high level of data granularity, the financial networks with the real sectors of

                       economies, along with a global/cross border dimension for both.  Ignoring cross border imbalances in macro-                       prudential policy and systemic risk modelling is a fatal error. Hence, it is important to combine cross
                       border imbalances with
within country sectoral imbalances that have emerged with the growing size of the
                       financial sector (including housing and mortgages) a la Carvalho-Gabaix-Acemeglu granular macro-economics.
                       Specific analysis of the Euro zone core-periphery crisis will be done.

              Afternoon (2 hours) :  Complexity and Computability in Economics
                      There is a fundamental non-computability at the heart of economic interactions that economists have hitherto
                       ignored. It is the basis of organized complexity that produces highly contextual innovations and structure
                       changing dynamics as in arms races.
It is produced by the interactions of highly sophisticated mentalizing
                       agents who can perceive opposition or contrarian/anti-coordinated structures. Fixed points involving
                        contrarian interactions cannot be computed.  These can become launch pads for protean behaviours that can
                       produce novel objects and surprises. Evidence for such mutual mentalizing is given from latest discoveries in
                       neuroscience on mirror neurons by Vittorio Gallesse et. al. and also from the work of Scot Kelso, who
                        identified neuro markers for anti-coordination and opposition.

 

         16 January 2015

            Contributed to the Bank of England Granular Data Workshop; Invited to Bank
               of England and US Office of Financial Research Collaboration for Standards For
               Granular Data

 

               5 Dec 2014 Invited Speaker

              Joint UNamur-UCL Winter School and Workshop on Networks in Economics and Finance

               : http://www.uclouvain.be/en-476278.html

        

           13 October  2014  Invited  Speaker at HM Treasury  Mini Conference on Agent
                    Based  Models
:50 Anniversary Events for the Government Economic Services,
                     Chaired by James Richardson (Director, Fiscal Group, HMT, ESRC Council Member)  
 

           8 October  2014  Invited  Panellist  at Challenges for Global Financial Markets Plenary
                        Global Systems Sciences, EC, Brussels Workshop. 

 

            19 May 2014    Sheri was a speaker at the 19 May 2014 - Joint OECD-ECLAC
                         Workshop, '
Workshop on New Tools and Methods for Policy-making'.
 

                http://www.oecd.org/naec/workshop.htm

 

            Professor Sheri Markose of the Economics Department of the University who is well known as
             a pioneer of complexity economics and the use of financial network models for macro-prudential
               policy, is pictured here at the OECD with Angel Gurría, Secretary-General of the OECD and also leading economist, Alan Kirman, and the econo-physicist, Doyne Farmer.

           The OECD has launched a forum for New Approaches to Economic Challenges to try and
  counter group think among OECD economists
and also their adherence to mainstream
                macroeconomic models which were found to be mostly irrelevant for the problems thrown up by the 2007 crisis and Great Recession.

 

          March 21, 2014    Invited Speaker London School of Economics, Systemic Risk
                       Centre, Why we need new models of the economy, Conference on

           Towards a Sustainable Financial System.   See more at: http://www.systemicrisk.ac.uk/events/towards-sustainable-financial-system

Talk on youtube:  https://www.youtube.com/watch?v=9G0PYZ28N0U&feature=youtu.be

                 ESRC Conference on Diversity in macroeconomics: New perspectives from
                agent-based computational, complexity and behavioural economics

                     Conference Report now available conference report

             University of Essex , UK
                     24-25 February 2014

                     This ESRC conference, cohosted with the Economics Department of the University of Essex and organized by
                     Sheri Markose
, will critically examine established thinking and bring together a range of new perspectives on
                     identifying future directions  for macroeconomics and policy. It will address developments from at least three
                     new branches of economics:  agent-based computational, complexity and behavioural economics - arising
                      from highly interdisciplinary studies of computational and digital technologies, complexity sciences and
                     neuro-physiology of the brain.

 

                 Topics cover behavioural macroeconomics, financial macro-nets, agent based models for systemic risk and
                    how to deal with uncertainty and complexity in policy.  Speakers include  practitioners such as Neil Erickson
                     (Fed Reserve), Sujit Kapadia (Bank of England), David Miles (Monetary Policy Committee)  and James
                     Richardson (HMT, ESRC Council), and academics, Michelle Baddeley, Doyne Farmer, Charles Goodhart, Ithzak                     Gilboa, Paul de Grauwe, Sheri Markose, Marcus Miller and KathyYuan.

                 In order to better understand herding and anti-herding that are key to boom-bust cycles, leading neuro-
                  
  scientists Vittorio Gallese and Scot Kelso will speak on mirror neurons and their role in social cognition,
                     mimetic behaviours and also anti-coordination necessary for innovation.   

                     For further information see, http://www.essex.ac.uk/economics/news_and_seminars/ESRC.aspx

 

                                     

            Sheri has been appointed from February-June 2014 to the European Science
                       Foundation Review  Panel in area of Socio- Economic Risks

               http://www.essex.ac.uk/economics/news_and_seminars/newsEvent.aspx?e_id=6187    

             December 11 2013  Visit to Banque de France  Invited by Director of Financial
                         Stability Laurent Clerc

              Morning Session : “Systemic Importance in Multi-Layer Financial
                         Networks: The Case of Derivatives Markets” Talk by Sheri Markose       

                        Afternoon Session:  Discussion on  Macroeconomic Impact 
                         Assessment of OTC Derivatives Regulatory Reforms  (MAGD Report)

                        
commissioned by the Banking Committee for Banking Supervision (BCBS) and
                         Financial Stability Board
  
 

 

           September 9-10, 2013 Invited Talk and Visit at OECD, Paris

                                               OECD Seminar Programme       

                          Systemic Risk Analysis in Finance : New Approaches and Tools

By Sheri Markose, University of Essex, UK

 

September 9th, 2013, 12 – 2 pm

OECD Headquarters, CC Room CC12

Discussants:

Laurent Clerc, Director Financial Stability, Banque de France

Jorgen Elmeskov, Deputy Chief-Economist, OECD

Her talks are based on a recent overview paper published in

              "Systemic Risk Analytics: A Data Driven Multi-Agent
                    Financial Network (MAFN) Approach",  Journal of Banking Regulation
               
            
Vol.14, 3/4, p.285-305, Special Issue on Regulatory Data and
                               Systemic Risk Analytics.
PDF   

             She will be conferring with OECD researchers and policy makers over the two days
                          on issues that are close to the OECD New Approaches to Economic Challenges
 
(NAEC)

                http://www.oecd.org/about/secretary-general/secretary-general-report-to-
                ministers-2013.pdf

                  Specifically:  NAEC aims to improve our understanding of  the complex and

                  interconnected nature of the global economy and find better ways to deal with
                  policy trade-offs and synergies, such as between growth, inequality, stability
                  and the environment.

       Sheri Markose designs New interdisciplinary and revolutionary MSc 
                    Computational Economics, Financial Markets and Policy  admitting students for
                  October 2013 at the Economics Department of the University of Essex

                This is the first post graduate degree involving agent  based models, financial
                   networks and complexity economics being offered in a top  UK  Economics Department. For course details see
         

        http://www.essex.ac.uk/coursefinder/course_details.aspx?course=MSC+N30612 .

              Uniquely, due to a dearth of PG training in these areas the new MSc is opening its core
               new modules to Doctoral Students and professional economists on an Occasional
               Student basis.  See, UniqueACEDoctoralTraining
               
                        

         

           June 12-13, 2013  Plenary Speaker at  Launch Workshop of  Centre for networks and
                       collective behaviour
| University of Bath  Download the programme.  
            

                                               
          
May 16-17, 2013 , Invited Speaker on Policy Analysis: Modelling Systemic Risk  
                   XV Annual Seminar of the 
Banco Central do Brasil , Rio de Janeiro.   During her
                  visit, Sheri will be conferring with leading researchers and policy makers on
                  macro-prudential policy at the Central  Bank of  Brazil on how to monitor and manage
                   systemic risk using  financial network analysis and a complexity perspective. 

                         http://www.essex.ac.uk/economics/news_and_seminars/newsEvent.aspx?e_id=5191

 

Sheri is currently Senior Consultant (2011-2014) to the Financial Stability Unit of the
                    Reserve Bank of India. 

  17-18 January  2013  Invited Speaker  on Systemic Risk Analytics at Bank of England, Centre for Central Banking Studies (CCBS), The future of regulatory data and analytics

                 

  13 December 2012  House of Commons (UK) Roundtable discussion hosted by
                Europe Economics (Andrew Lilico) and Professor Sheri Markose and sponsored by David Ruffley MP, Treasury Select Committee Member 

               The discussion is on the impact of interchange fee reduction for credit and debit cards ,            Thursday 13th December 2012, Dining Room A, House of Commons, London, SW1A 0AA

                http://www.bracil.net/ccfea/CCFEA-10th-Anniversary/Markose.html

                     Sheri's comments at CCFEA 10 Anniversary Workshop

       Markose, S.M, 2012 November, "Systemic Risk from Global Financial Derivatives:
                     A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax

                    International Fund Working Paper No. 12/282, November 2012.
                  http://www.imf.org/external/pubs/cat/wp1_sp.aspx?s_year=2012&e_year=2012&brtype=default

     

      24 August 2012: Broadcast highlights: Professor Sheri Markose interviewed in New Scientist about her financial network model

http://www.essex.ac.uk/economics/news_and_seminars/newsEvent.aspx?e_id=4380

 

 

   Professor Sheri Markose joins Jean-Claude Trichet and others to speak at the Kiel Institute

    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)

Tommaso Monacelli ( Bocconi University)

Sheri Markose ( University of Essex)

Werner DeBondt (De Paul University, Chicago)

Enrique Mendoza ( University of Maryland )

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

              Markose Lectures: Multi-Agent Financial Network Models (MAFN) For Systemic  Risk Management: A New Complexity Perspective


                     Lecture 1: Eigen-Pair Analysis of Financial Systemic Risk and Design of Super-Spreader Tax To Mitigate Moral Hazard (Slides)

 

                      Lecture 2: Design of Robust Macro-prudential Policy: Why a new complexity approach and MAFNs ? (Slides)

Ge     invlved - Call for Papers Economics E-Journal

 

            

 

    Sheri Markose is co-editor of the new special issue "Coping with Systemic Risk" in  
                 the E-journal Economics.

       She was panelist in the last Global Economic Symposium (GES), which took place in Kiel, Germany on October 5-6, 2011.

         Retaining the objectives of the Panel "Coping with Systemic Risk", the Special Issue invites
              contributions that are prepared to 'think outside the box' in terms of providing solutions to monitoring and managing systemic risk. Call for Papers

             

        The Global Economic Symposium 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

http://www.zbw.eu/ges_challenge/ges_2011_preview.pdf


          March 2011- 30 Dec 2011 Systemic Risk From Global Financial Derivatives IMF Project

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 (FI) 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.
Sheri Markose Presentation of IMF Project Results on Systemic Risk From Financial
        Derivatives: A Network Analysis and Mitigation of Contagion Effects With Super-Spreader Tax 
 
Slides

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

 

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

22 March 2011: Essex Professor appointed to advise Indian central 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
.
 
     

 

    Sheri Markose and Amadeo Alentorn  have finally got their paper in press The Generalized Extreme Value (GEV)Distribution, Implied Tail Index and Option Pricing
Journal of Derivatives
. Spring edition, Volume 18, No 3, 2011.

              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  .       .   

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