SHERI MARINA MARKOSE
Professor of Economics
Department of Economics
University of Essex
Wivenhoe Park , Colchester C04 3SQ , Essex, U.K
Tel (01206) 87 2742 ; Email: email@example.com.
Sheri Markose received a PhD in Economics from the London School of Economics, University of London, in 1987. She did a Masters degree at Jawaharlal Nehru University and a Bachelors degree at Bombay University.
Sheri joined the Economics Department of the University of Essex in September 1986 after a position as research fellow (1982-1986) at the London Business School Centre For Macro Economic Modelling and Economic Forecasting. In September 2000, she took over as Director of the Institute for Studies in Finance, and transformed it into the Centre for Computational Finance and Economic Agents (CCFEA) in 2002. In 2006, Sheri was awarded a Chair in Economics. At CCFEA, which has over 50 PhD and Masters students, she has helped pioneer a post graduate curriculum from a complex adaptive system perspective with multi-agent based computational modelling for market and policy design. 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. As part of the €4 million EC RTN on the Computational Optimization Methods in Statistics, Econometrics and Finance (COMISEF) project, at Essex Sheri led the development of a large scale Multi-Agent Model of Credit Risk Transfer in Banks and Financial Contagion. Along with Shyam Sunder (Yale Management School), Sheri has developed the notion of ‘model verité’ whereby “wind tunnel” tests of proposed market institutions in virtual environments connected to real time data can be done. This has led to the development of large scale simulators : for pricing negative environmental externalities, financial contagion, the design of hybrid systems to complement large value electronic payments (RTGS) in the UK (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 uses of multi-agent models for policy design and continues to be involved in propagating these ideas at a number of workshops organized by central banks, practitioners and academics. In her talks at the European Central Bank ( Recent Advances in Modeling Systemic Risk Using Network Analysis Workshop, 5 Oct 09) and at the International Monetary Fund ( Operationalizing Systemic Risk Monitoring, 26-28 May 2010 and June 2016) she emphasized the need for new multi-agent based financial network (MAFN) modelling tools to quantify the central aspects of the recent financial contagion and addresses the regulatory failure of Basel II and precursors of it in the US which by marrying bank assets with inadequate CDS credit risk cover led to wide spread systemic risk. Since February 2011, Sheri has been appointed as consultant to the Financial Stability Division of the Reserve Bank of India on a project to digitally map the Indian financial system using network analysis. Along with Simone Giansante, Sheri provided the RBI with holistic visualization tools and network stability measures to monitor and identify systemic risks from activities of financial intermediaries. From March 2011- 30 Dec 2011, the Monetary and Capital Markets Department of the IMF appointed Sheri to lead research on Systemic Risk from Global Financial Derivatives markets using network analysis. She has designed a super-spreader tax fund based on the eigenvector centrality of highly connected broker dealers to prevent the system wide capital losses from their failure to be borne by the tax payer. In 2013, she was an academic advisor to the G20 OTC Derivatives Coordination Group of the BCBS and FSB for the Macroeconomic Impact Assessment of OTC Derivatives Regulatory Reforms (MAGD). Sheri was awarded the 2017 Eubank Prize by the Rice University, USA, “For integrative synthesis and data driven leadership toward understanding systemic risk in global financial markets.”
other modelling and research interests include the study of e-money and cashlessness,
managing or vitiating negative externalities
arising from financial leverage or environmental externalities from congestion
and carbon, and financial market modelling under extreme non-Gaussian events.
The latter includes the
notion of an extreme economic value at risk (E-EvaR) for risk management
systems based on a new generalized extreme value (GEV) based pricing model for equity
options that she has developed
with Amadeo Alentorn.
Starting in 2017, Sheri is a co-investigator on Financial Inclusion In India
project funded by
the a 3 year research grant from the UKIERI and UGC. Her longstanding research interest and contributions to the Gödelian
formal mathematics of self-reference, 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.
Her 2017 publication in the American Institute of Mathematical Sciences 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.
A Very Short Biog
Sheri Markose is a Professor of Economics at the University of Essex and has a Ph.D. from the London School of Economics. She was a Senior Consultant (2011-2015) at the Financial Stability Unit of the Reserve Bank of India where she oversaw the financial network project for systemic risk management. She was founder Director (2002-2009) of the multidisciplinary Centre for Computational Finance and Economic Agents, which pioneered a postgraduate curriculum in Economics and Finance that uses agent-based modelling and complexity economics. Following the 2011 IMF project Sheri did on Systemic Risk from Global Financial Derivatives Markets using network analysis, in 2013, she was appointed as an academic advisor to the G20 OTC Derivatives Coordination Group of the BCBS and FSB for the Macroeconomic Impact Assessment of OTC Derivatives Regulatory Reforms (MAGD). In the 2017 Banque de France Financial Stability Review, Sheri and co-authors have provided an assessment of systemic risk from global derivatives markets following the 2009 G10 OTC derivatives reforms. Sheri was awarded the 2017 Eubank Prize by the Rice University, USA, “For integrative synthesis and data driven leadership toward understanding systemic risk in global financial markets.” Sheri has been a member of the European Science Foundation Review Panel in the area of socio-economic risks since 2014. Her recent publications include systemic risk analytics for financial networks, macro-net models for the study of global imbalances and macro-prudential policy, risk modelling using extreme value theory and on arms races and protean behaviours in Complex Adaptive Systems. Her 2017 publication in the American Institute of Mathematical Sciences 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.