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: scher@essex.ac.uk.

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 leads the development of a large scale Multi-Agent Model of Credit Risk Transfer in Banks and Financial Contagion.  Along with Shyam Sunder (Yale), 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 recent 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) she emphasizes the need for new agent based financial network 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. She along with Simone Giansante are providing 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 has appointed Sheri to lead research on Systemic Risk from Global Financial Derivatives markets. 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.

Her other modelling and research interests include the study of e-money and cashlessness, markets for negative externalities 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. 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 (see, recent Special Issues in the Economic Journal, 2005, and the Journal of Economic Dynamics and Control, Spring 2007).  These ideas which are part of the CCFEA Masters and PhD degree schemes challenge the received wisdom in mainstream Economics.  She also lectures on Financial Markets, Computational Market Micro Structure and Policy Design and Markets as Complex Adaptive Systems.  She has supervised over 18 PhD students in these fields since 1997.