Professor Sheri Markose

Department of Economics
Professor Sheri Markose
  • Email

  • Telephone

    +44 (0) 1206 872742

  • Location

    3.312, Colchester Campus

  • Academic support 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.

Research and professional activities

Research interests

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

Current research

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

Conferences and presentations

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. 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.

January2013 Speaker at Bank of England Workshop onRegulatory Data and Systemic Risk Analytics.PDF

Markose, S.M, 2012 November, June 2013Plenary Speaker on Systemic Risk at Banque de Brazil Annual Conference.

Teaching and supervision

  • Economics of Financial Markets (EC907)

  • Computational Market Micro-Structure and Complexity Economics (EC911)

  • Expert Seminar Series on Economic Policy and Financial Regulation and Governance (EC912)

  • Computational Agent-Based Macro-Economics, Financial Markets and Policy Design (EC913)


Journals (26)

Markose, SM., (2017). Complex type 4 structure changing dynamics of digital agents: Nash equilibria of a game with arms race in innovations. Journal of Dynamics and Games. 4 (3)

Markose, SM., Giansante, S. and Rais Shaghaghi, A., (2017). A systemic risk assessment of OTC derivatives reforms and skin?in?the?game for CCPs. Financial Stability Review. 21

Bholat, D., Lastra, RM., Markose, SM., Miglionico, A. and Sen, K., (2017). Non-performing loans at the dawn of IFRS 9: regulatory and accounting treatment of asset quality. Journal of Banking Regulation

Heath, A., Kelly, G., Manning, M., Markose, S. and Shaghaghi, AR., (2016). CCPs and network stability in OTC derivatives markets. Journal of Financial Stability. 27 (C)

Markose, SM., (2013). Systemic risk analytics: A data-driven multi-agent financial network (MAFN) approach. Journal of Banking Regulation. 14 (3-4)

Sinha, S., Thess, M. and Markose, S., (2013). How unstable are complex financial systems? analyzing an inter-bank network of credit relations. New Economic Windows. 13

Markose, SM., (2012). Systemic Risk from Global Financial Derivatives; A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax. IMF Working Paper (12)

Markose, S., Giansante, S. and Shaghaghi, AR., (2012). ‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk. Journal of Economic Behavior & Organization. 83 (3)

Markose, SM., Peng, Y. and Alentorn, A., (2012). Forecasting Extreme Volatility of FTSE-100 With Model Free VFTSE, Carr-Wu and Generalized Extreme Value (GEV) Option Implied Volatility Indices

Markose, S. and Alentorn, A., (2011). The Generalized Extreme Value Distribution, Implied Tail Index, and Option Pricing. The Journal of Derivatives. 18 (3)

Kirman, A., Markose, S., Giansante, S. and Pin, P., (2007). Marginal contribution, reciprocity and equity in segregated groups: Bounded rationality and self-organization in social networks. Journal of Economic Dynamics and Control. 31 (6)

Markose, S., Arifovic, J. and Sunder, S., (2007). Advances in experimental and agent-based modelling: Asset markets, economic networks, computational mechanism design and evolutionary game dynamics. Journal of Economic Dynamics and Control. 31 (6)

Markose, S., Alentorn, A., Koesrindartoto, D., Allen, P., Blythe, P. and Grosso, S., (2007). A smart market for passenger road transport (SMPRT) congestion: An application of computational mechanism design. Journal of Economic Dynamics and Control. 31 (6)

Giansante, S., Kirman, A., Markose, S. and Pin, P., (2007). The grass is always greener on the other side of the fence: The effect of misperceived signalling in a network formation process. Lecture Notes in Economics and Mathematical Systems. 599

Markose, SM., (2006). Developments in experimental and agent-based computational economics (ACE): overview. Journal of Economic Interaction and Coordination. 1 (2)

Markose, SM., (2005). Computability and Evolutionary Complexity: Markets as Complex Adaptive Systems (CAS). The Economic Journal. 115 (504)


Tsang, E., Markose, SM. and Er, H., (2005). Chance Discovery In Stock Index Option And Futures Arbitrage. New Mathematics and Natural Computation. 1 (03)

TSANG, E., MARKOSE, S. and HAKAN, E., (2005). CHANCE DISCOVERY IN STOCK INDEX OPTION AND FUTURES ARBITRAGE. New Mathematics and Natural Computation. 01 (03)

Markose, SM., (2004). Novelty in complex adaptive systems (CAS) dynamics: a computational theory of actor innovation. Physica A: Statistical Mechanics and its Applications. 344 (1-2)

Markose, SM. and Loke, YJ., (2003). Network Effects On Cash-Card Substitution In Transactions And Low Interest Rate Regimes*. The Economic Journal. 113 (487)

Markose, S., (2001). Computable economics: The Arne Ryde Memorial Lectures. ECONOMIC JOURNAL. 111 (472)

Guariglia, A. and Markose, S., (2000). Voluntary Contributions to Personal Pension Plans: Evidence from the British Household Panel Survey. Fiscal Studies. 21 (4)

Markose-Cherian, S., (1991). End-independent legal rules and the political economy of expanding market societies of Europe. European Journal of Political Economy. 7 (4)

Markose, SM., (1986). A theory of policy-induced structural change An application of the bismut stochastic maximum principle. Journal of Economic Dynamics and Control. 10 (1-2)

ROBINSON, B., DAVIES, K. and MARKOSE, S., (1984). Savings, Personal Wealth and Risk. Economic Outlook. 8 (5)

Reports and Papers (4)

Markose, SM., (2016). Complex Type 4 Structure Changing Dynamics of Digital Agents: Nash Equilibria of a Game with Arms Race in Innovations

Markose, SM. and Alentorn, A., (2005). The Generalized Extreme Value (GEV) Distribution, Implied Tail Index and Option Pricing

Markose, SM., (2004). Novelty And Surprises In Complex Adaptive System (CAS) Dynamics: A Computational Theory of Actor Innovation

Markose, SM. and Loke, YJ., (2000). Network effects on Cash-Card Substitution in Transactions and Low Interest Rate Regimes

Books (1)

Markose, S., (2016).Erratum to: The gödelian foundations of self-reference, the liar and incompleteness: Arms race in complex strategic innovation [Trends in Mathematical Economics (2016)] doi: 10.1007/978-3-319-32543-9_11. 9783319325439

Chapters (2)

Markose, SM., Oluwasegun, B. and Giansante, S., (2012). Multi-Agent Financial Network (MAFN) Model of US Collateralized Debt Obligations (CDO). In: Simulation in Computational Finance and Economics. Editors: Alexandrova-Kabadjova, B., Martinez-Jaramillo, S., Garcia-Almanza, AL. and Tsang, E., . IGI Global. 225- 254. 9781466620117

Alentorn, A. and Markose, SM., (2008). Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR). In: Computational Methods in Financial Engineering: Essays in Honour of Manfred Gilli. Editors: Kontoghiorghes, EJ., Rustem, B. and Winker, P., . Springer. 47- 71. 9783540779582

Markose, SM., Alentorn, A., Koesrindartoto, D., Allen, P., Blythe, P. and Grosso, S., (2007). A smart market for passenger road transport (SMPRT) congestion: an application of computational mechanism design

Alentorn, A. and Markose, SM., (2006). Removing Maturity Effects of Implied Risk Neutral Densities and Related Statistics

Markose, SM., Alentorn, A. and Krause, A., (2004). Dynamic Learning, Herding and Guru Effects in Networks

Markose, SM., (2004). Computability and Evolutionary Complexity: Markets As Complex Adaptive Systems (CAS)

Markose, SM. and Loke, YJ., (2002). Can cash hold its own? International comparisons: Theory and evidence

Markose, SM., (2001). The New Evolutionary Computational Paradigm of Complex Adaptive Systems: Challenges and Prospects for Economics and Finance

Markose, SM. and Er, H., (2000). The Black (1976) effect and cross market arbitrage in FTSE-100 index futures and options

Markose, SM. and Loke, YJ., (2000). Changing trends in payment systems for selected G10 and EU countries 1990-1998

Markose, SM., (1999). The liar strategy and surprises: Computability and indeterminacy in Nash equilibria games

Markose, SM., (1998). Game Theory for central bankers: have they got it right?

Markose, S. and Alentorn, A., Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution

Yang, J., Markose, S. and Alentorn, A., Designing large value payment systems: an agent based approach

Serafin, MJ., Tsang, EPK. and Markose, S., Co evolution of Genetic Programming Based Agents in an Artificial Stock Market

Grants and funding


Mainstreaming of the Finacial Inclusion Agenda in India



Diversity in Macroeconomics Conference Funding

Economic & Social Research Council


Risk in Insurance - Bursaries

Hsbc Plc


HSBC Senior Reserach Fellow In Risk And

Hsbc Plc



European Commission

+44 (0) 1206 872742


3.312, Colchester Campus

Academic support hours:

Monday 16:00 -18:00