People

Professor Sheri Markose

Professor
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

Profile

Biography

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 Macro-economic Forecasting. Her research interests, in applied economics, are in financial market modelling under extreme non-Gaussian events, computational mechanism design which uses agent based computational economic (ACE) 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 Godelian 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 Euro 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. Starting in 2013 October within the Economics Department, Sheri has designed a new post Great Financial Crisis 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 2011-2015, 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. In the 2017 Banque de France Financial Stability Review, Sheri and co-authors have provided an updated assessment of systemic risk from global derivatives markets following the 2009 G20 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 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 that enables a code to self-report that it is under attack to produce Type 4 dynamics in the Wolfram-Chomsky schema. This has been called ‘exciting’ by Noam Chomsky. In 2017, Sheri was invited to become an Associate Editor of Frontiers in Robotics and AI: Computational Intelligence https://www.frontiersin.org/journals/robotics-and-ai/sections/computational-intelligence#editorial-board https://en.wikipedia.org/wiki/Sheri_Markose http://www.acefinmod.com/index.html

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

Godel 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

Supporting the stability of the sector post-Brexit - the future for the capital regime, stress testing and operational resilience

Invited presentation, Westminster Forum, London, 4/7/2018

24 April 2017, 7th Eubank Conference on Real World Markets: High Frequency Trading; Mitigating its Impact on Trading and Investing.

Invited presentation, Keynote presentation, Rice University, Houston, United States, 24/4/2017

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

2013

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=defaultShort summary of talk is now available in the IMF Workshop Proceedings.

2012

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

2012

Invitation to be panellist on Coping With Systemic Risk at the 2011 Global Economic Symposium at Kiel World Institute, Oct 5-6 2011.

2011

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.

2010

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)

Publications

Journal articles (26)

Bholat, D., Lastra, RM., Markose, SM., Miglionico, A. and Sen, K., (2018). Non-performing loans at the dawn of IFRS 9: regulatory and accounting treatment of asset quality. Journal of Banking Regulation. 19 (1), 1-22

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), 255-284

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, 111-126

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), 217-233

Markose, SM., (2013). Systemic risk analytics: A data-driven multi-agent financial network (MAFN) approach. Journal of Banking Regulation. 14 (3-4), 285-305

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, 59-76

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), 627-646

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), 35-60

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), 2085-2107

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), 1801-1807

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), 2001-2032

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, 223-234

Markose, SM., (2006). Developments in experimental and agent-based computational economics (ACE): overview. Journal of Economic Interaction and Coordination. 1 (2), 119-127

Markose, SM., (2005). Computability and Evolutionary Complexity: Markets as Complex Adaptive Systems (CAS). The Economic Journal. 115 (504), F159-F192

TSANG, EDWARD., MARKOSE, SHERI. and HAKAN, ER., (2005). CHANCE DISCOVERY IN STOCK INDEX OPTION AND FUTURES ARBITRAGE. New Mathematics and Natural Computation. 01 (03), 435-447

Tsang, E., Markose, SM. and Er, H., (2005). Chance Discovery In Stock Index Option And Futures Arbitrage. New Mathematics and Natural Computation. 1 (03), 435-447

TSANG, E., MARKOSE, S. and HAKAN, E., (2005). CHANCE DISCOVERY IN STOCK INDEX OPTION AND FUTURES ARBITRAGE. New Mathematics and Natural Computation. 01 (03), 435-447

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), 41-49

Markose, SM. and Loke, YJ., (2003). Network Effects On Cash-Card Substitution In Transactions And Low Interest Rate Regimes*. The Economic Journal. 113 (487), 456-476

Markose, S., (2001). Computable economics: The Arne Ryde Memorial Lectures. ECONOMIC JOURNAL. 111 (472), F468-F470

Guariglia, A. and Markose, S., (2000). Voluntary Contributions to Personal Pension Plans: Evidence from the British Household Panel Survey. Fiscal Studies. 21 (4), 469-488

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), 579-601

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), 109-114

ROBINSON, B., DAVIES, K. and MARKOSE, S., (1984). Savings, Personal Wealth and Risk. Economic Outlook. 8 (5), 27-33

Books (1)

Markose, S., (2016). Erratum to: The Gödelian Foundations of Self-Reference,the phLiar and Incompleteness: Arms Racein Complex Strategic Innovation. Springer International Publishing. 9783319325439

Book chapters (4)

Markose, S., (2016). The gödelian foundations of self-reference, the liar and incompleteness: Arms race in complex strategic innovation. In: Trends in Mathematical Economics: Dialogues Between Southern Europe and Latin America. Editors: Pinto, A., Accinelli Gamba, E., Yannacopoulos, A. and Hervés-Beloso, . Springer. 217- 244. 9783319325439

Markose, SM., Oluwasegun, B. and Giansante, S., (2015). Multi-Agent Financial Network (MAFN) Model of US Collateralized Debt Obligations (CDO). In: Banking, Finance, and Accounting. IGI Global. 561- 590. 9781466662681

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

Conferences (5)

Doering, J., Fairbank, M. and Markose, S., (2017). Convolutional neural networks applied to high-frequency market microstructure forecasting

Abudu, B., Markose, S., Simos, TE. and Maroulis, G., (2007). Relational Neural Evolution Approach to Bank Failure Prediction

Markose, S., Tsang, E. and Jaramillo, SM., (2005). The Red Queen principle and the emergence of efficient financial markets: An agent based approach

Markose, S., Tsang, E., Er, H. and Salhi, A., (2001). Evolutionary arbitrage for FTSE-100 index options and futures

Markose, S., Tsang, E., Er, H. and Salhi, A., (2001). Evolutionary arbitrage for FTSE-100 index options and futures

Reports and Papers (7)

Markose, SM., Mahmoud, F. and Simone, G., (2018). The Impact of Quantitative Easing on UK Bank Lending: Why Banks Do Not Lend to Businesses?

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

Markose, SM., Giansante, S., Eterovic, NA. and Gatkowski, M., (2017). Early Warning and Systemic Risk in Core Global Banking: Balance Sheet Financial Network and Market Price-Based Methods

Bholat, D., Lastra, R., Markose, S., Miglionico, A. and Sen, K., (2016). Non-performing loans: regulatory and accounting treatments of assets

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

Scholarly Editions (17)

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

Markose, SM., Alentorn, A., Millard, S. and Yang, J., (2011). Designing large value payment systems: An agent-based approach

Markose, SM., Giansante, S., Gatkowski, M. and Shaghaghi, AR., (2010). Too Interconnected To Fail: Financial Contagion and Systemic Risk in Network Model of CDS and Other Credit Enhancement Obligations of US Banks

Markose, S., Giansante, S., Gatkowski, M. and Shaghaghi, AR., (2010). Too Interconnected To Fail: Financial Contagion and Systemic Risk In Network Model of CDS and Other Credit Enhancement Obligations of US Banks

Kirman, A., Markose, SM., Giasante, S. and Pin, P., (2007). Marginal contribution, reciprocity and equity in segregated groups: Bounded rationality and self-organization in social networks

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?

Grants and funding

2017

Mainstreaming of the Finacial Inclusion Agenda in India

UKIERI

2014

Diversity in Macroeconomics Conference Funding

Economic & Social Research Council

2009

Risk in Insurance - Bursaries

Hsbc Plc

2008

HSBC Senior Reserach Fellow In Risk And

Hsbc Plc

2006

COMISEF

European Commission

Contact

scher@essex.ac.uk
+44 (0) 1206 872742

Location:

3.312, Colchester Campus

Academic support hours:

Monday 16:00 -18:00