|Position in department||International Academy Liaison Coordinator
|E-mail||scher (non Essex users should add @essex.ac.uk)
|Telephone||2742 (non Essex users should add 01206-87 to the beginning of this number)
|Office hours||Monday 16:00 -18:00
Sheri Markose received a PhD in Economics from the LSE in 1987. She joined the department in September 1986 after a position as research fellow (1982-1986) at the London Business School Centre For Economic Forecasting. Her research interests, in applied economics, are in financial market modelling under extreme non-Gaussian events, computational mechanism design which uses artificial life models to 'wind tunnel' test proposed market protocols, electronic payments and cashlessness, interbank settlement systems, financial contagion and systemic risk. Her longstanding research interest and contributions to the Gödelian formal mathematics of 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. She was the lead researcher on the Foresight Office of Science and Technology 2006 IIS project on designing Smart Market Protocols for Road Transport Congestion. From 2006-2010, she directed research at Essex as part of the EC FP6 €4 million RTN on the Computational Optimization Methods in Statistics, Econometrics and Finance (COMISEF) project which led to the development of multi-agent financial network models for systemic risk modelling.
Sheri was Director of the Institute of Studies in Finance from 2000 and then became the founder Director since 2002 of the Centre for Computational Finance and Economic Agents (CCFEA) where she has pioneered postgraduate research and teaching in agent-based computational economics (ACE) and markets as complex adaptive system. CCFEA currently has 50 students and awards PhDs in Computational Economics and Computational Finance and also offers MSc degrees in the area. Starting in 2013 October within the Economics Department, Sheri has designed a new MSc Computational Economics, Financial Markets and Policy which will train students in cutting edge skill sets such as financial network and systemic risk modelling, computational stress test platforms for robust macro and micro policy design and real time financial markets.
From February 2011, Sheri has been appointed as senior consultant to the Reserve Bank of India Financial Stability Division to help establish ICT based financial network oriented modelling platforms for financial stability analysis. She was an academic advisor (Feb- Aug 2013) for BIS/BCBS OTC Derivatives Reform Report.
- Systemic risk from financial derivatives
- Development of large scale data base driven financial network models for financial stability
- Logical and Neurophysiological Foundations of Strategic Behaviour
- Financial Networks, Contagion and Systemic Risk Modelling
- Modelling Extreme Market Events using Generalized Extreme Value Distribution (Option Pricing, Extreme Value at Risk and Forecasting Volatility)
- Computational Simulators for Market and Policy Design with Special Interest in Controlling Negative Externalities (Levrage, Congestion, Carbon)
- Cashlessness from E- Payments and Control of Inflation
- Strategic Innovation, Red Queen Arms Race and Markets as Complex Adaptive Systems
- Gödel Incompleteness and Cognitive Incompleteness
- In the Economics Dept. Sheri has taught the Masters course on Economics of Financial Markets EC907 for several years
- Starting 2013 October, Sheri will be teaching on the Computational Macro-Economics and Computational Market Micro-Structure Modules of the new MSc Computational Economics, Financial Markets and Policy
- At CCFEA (2002-2009) Sheri taught similar Agent based Computational Economics Models for Market and Policy Design
- Sheri had designed and taught two 2nd year UG courses EC247 and EC247 on Financial Market Innovations and Central Banking and Monetary Institutions
Sheri has supervised over 20 PhD students to date
Recent PhD Supervisions : Econ. Dept: Mehmet Gohtan- Global Financial Imbalances (Submitted Oct 2013)
Roger McCleod- Inflation Control in Jamaica and Electronic Payments (Submitted Sept 2013)
Nicoloas Eterovic, Application of Random Matrix Theory to Financial Portfolios and Networks
CCFEA: Azeem Malik- High Frequency Financial Modelling of the London SETs Limit Order Market (Passed Oct 2012)
Javed Iqbal- Regime Switching Models for Equity Portfolio and Credit Risk (Submitted 2013)
Ali Rais Shaghaghi- Multi-Agent Financial Network Models for Systemic Risk from Financial Derivatives (Passed Oct 2013)
Mateusz Gatkowksi -Multi-Agent Modelling of Sovereign Risk Contagion
Bewaji Olewasegun- Multi-Agent Model of Systemic Risk from Credit Risk Transfer Basel II (Submitted 2013)
- Invitation to be panellist on "Coping With Systemic Risk" at the 2011 Global Economic Symposium at Kiel World Institute, Oct 5-6 2011.
- Markose, S.M, 2012, "Systemic Risk from Global Financial Derivatives: A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax " International Monetary 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
Short summary of talk is now available in the IMF Workshop Proceedings.“Too Interconnected To Fail: Financial Contagion and Systemic Risk In Network Model of CDS and Other Credit Enhancement Obligations of US Banks”, University of Essex, Economics Department DP 683, Feb 2010. Also in European Central Bank Workshop Publications on “Recent Advances in Modeling Systemic Risk Using Network Analysis”.
- January 2013 Speaker at Bank of England Workshop on Regulatory Data and Systemic Risk Analytics. PDF
Markose, S.M, 2012 November, June 2013 Plenary Speaker on Systemic Risk at Banque de Brazil Annual Conference.