IDEAS home Printed from https://ideas.repec.org/d/ccessuk.html

Publications

by members of

University of Essex → Centre For Computational Finance and Economic Agents (CCFEA)

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Chapters |

Working papers

2026

  1. Abbassi, Maha & Aerts, Senne & AlAsadi, Lala & Basilico, Eleonora & De Dhaem, Pauline Bégasse & Bewaji, Oluwasegun & Biancotti, Claudia & Bindseil, Ulrich & Born, Alexandra & Brandi, Marco & Gallardo,, 2026, "Crypto-Asset Monitoring Expert Group (CAMEG) 2025 Conference - Book of abstracts," Occasional Paper Series, European Central Bank, number 382, Mar.

2025

  1. Lala AlAsadi & Oluwasegun Bewaji & Aayush Gugnani & Tarush Gupta & Ronald Heijmans, 2025, "An econometric investigation on the stability of stablecoins: Are these coins stable or is their stability just a flip of the coin?," Working Papers, DNB, number 846, Nov.

2016

  1. David Bholat & Rosa Lastra & Sheri Markose & Andrea Miglionico & Kallol Sen, 2016, "Non-performing loans: regulatory and accounting treatments of assets," Bank of England Staff Working Paper series, Bank of England, number 594, Apr.

2012

  1. Ms. Sheri M. Markose, 2012, "Systemic Risk from Global Financial Derivatives: A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax," IMF Working Papers, International Monetary Fund, number 2012/282, Nov.

2010

  1. Sheri Markose & Simone Giansante & Mateusz Gatkowski & Ali Rais Shaghaghi, 2010, "Too Interconnected To Fail: Financial Contagion and Systemic Risk In Network Model of CDS and Other Credit Enhancement Obligations of US Banks," Working Papers, COMISEF, number 033, Apr.

2009

  1. T. Bisig & A. Dupuis & V. Impagliazzo & R. B. Olsen, 2009, "The scale of market quakes," Papers, arXiv.org, number 0909.1690, Sep.

2008

  1. Erlend Nier & Jing Yang & Tanju Yorulmazer & Amadeo Alentorn, 2008, "Network models and financial stability," Bank of England Staff Working Paper series, Bank of England, number 346, Apr.
  2. J. B. Glattfelder & A. Dupuis & R. B. Olsen, 2008, "Patterns in high-frequency FX data: Discovery of 12 empirical scaling laws," Papers, arXiv.org, number 0809.1040, Sep, revised Jun 2010.

2006

  1. Martinez Jaramillo Serafin. & Tsang Edward P. K. & Markose, Sheri., 2006, "Co evolution of Genetic Programming Based Agents in an Artificial Stock Market," Computing in Economics and Finance 2006, Society for Computational Economics, number 398, Jul.

2005

  1. Jing Yang & Sheri Markose & Amadeo Alentorn, 2005, "Designing large value payment systems: an agent based approach," Computing in Economics and Finance 2005, Society for Computational Economics, number 396, Nov.
  2. Sheri Markose & Amadeo Alentorn, 2005, "Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution," Computing in Economics and Finance 2005, Society for Computational Economics, number 397, Nov.
  3. Markose, Sheri M & Alentorn, Amadeo, 2005, "The Generalized Extreme Value (GEV) Distribution, Implied Tail Index and Option Pricing," Economics Discussion Papers, University of Essex, Department of Economics, number 3726.

2004

  1. Gilles O. Zumbach & Michel M. Dacorogna & Jorgen L. Olsen & Richard B. Olsen, 2004, "Introducing a scale of market shocks," Finance, University Library of Munich, Germany, number 0407004, Jul.

Undated

  1. Richard B. Olsen & Michel M. Dacorogna & Ulrich A. Muller, & Olivier V. Pictet, undated, "Going Back to the Basics - Rethinking Market Efficiency," Working Papers, Olsen and Associates, number 1992-09-07..
  2. U. A. Muller & M. M. Dacorogna & R. D. Dave & O. V. Pictet & R. B. Olsen & J.R. Ward, undated, "Fractals and Intrinsic Time - a Challenge to Econometricians," Working Papers, Olsen and Associates, number 1993-08-16.

Journal articles

2024

  1. Bewaji, Oluwasegun, 2024, "A computational model of bilateral credit limits in payment systems and other financial market infrastructures," Latin American Journal of Central Banking (previously Monetaria), Elsevier, volume 5, issue 1, DOI: 10.1016/j.latcb.2023.100115.
  2. Nikolaos Loukeris & Iordanis Eleftheriadis, 2024, "Optimal Investments in the Portfolio Yield Reactive (PYR) Model," JRFM, MDPI, volume 17, issue 8, pages 1-17, August.

2023

  1. Giansante, Simone & Manfredi, Sabato & Markose, Sheri, 2023, "Fair immunization and network topology of complex financial ecosystems," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 612, issue C, DOI: 10.1016/j.physa.2023.128456.
  2. Sheri Markose & Simone Giansante & Nicolas A. Eterovic & Mateusz Gatkowski, 2023, "Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods," Annals of Operations Research, Springer, volume 330, issue 1, pages 691-729, November, DOI: 10.1007/s10479-021-04120-1.

2022

  1. Sheri Markose & Thankom Arun & Peterson Ozili, 2022, "Financial inclusion, at what cost? : Quantification of economic viability of a supply side roll out," The European Journal of Finance, Taylor & Francis Journals, volume 28, issue 1, pages 3-29, January, DOI: 10.1080/1351847X.2020.1821740.

2021

  1. Fatouh, Mahmoud & Markose, Sheri & Giansante, Simone, 2021, "The impact of quantitative easing on UK bank lending: Why banks do not lend to businesses?," Journal of Economic Behavior & Organization, Elsevier, volume 183, issue C, pages 928-953, DOI: 10.1016/j.jebo.2019.02.023.

2019

  1. Stelios Bekiros & Nikolaos Loukeris & Iordanis Eleftheriadis & Christos Avdoulas, 2019, "Tail-Related Risk Measurement and Forecasting in Equity Markets," Computational Economics, Springer;Society for Computational Economics, volume 53, issue 2, pages 783-816, February, DOI: 10.1007/s10614-017-9766-5.
  2. Stelios Bekiros & Nikolaos Loukeris & Nikolaos Matsatsinis & Frank Bezzina, 2019, "Customer Satisfaction Prediction in the Shipping Industry with Hybrid Meta-heuristic Approaches," Computational Economics, Springer;Society for Computational Economics, volume 54, issue 2, pages 647-667, August, DOI: 10.1007/s10614-018-9842-5.

2018

  1. Stelios Bekiros & Nikolaos Loukeris & Iordanis Eleftheriadis & Gazi Uddin, 2018, "Revisiting the three factor model in light of circular behavioural simultaneities," Review of Behavioral Finance, Emerald Group Publishing Limited, volume 10, issue 3, pages 210-230, July, DOI: 10.1108/RBF-08-2017-0079.
  2. David Bholat & Rosa M. Lastra & Sheri M. Markose & Andrea Miglionico & Kallol Sen, 2018, "Non-performing loans at the dawn of IFRS 9: regulatory and accounting treatment of asset quality," Journal of Banking Regulation, Palgrave Macmillan, volume 19, issue 1, pages 33-54, January, DOI: 10.1057/s41261-017-0058-8.

2017

  1. Bekiros, Stelios & Loukeris, Nikolaos & Eleftheriadis, Iordanis, 2017, "Portfolio Optimization With Investor Utility Preference of Higher-Order Moments: A Behavioral Approach," Review of Behavioral Economics, now publishers, volume 4, issue 2, pages 83-106, September, DOI: 10.1561/105.00000060.
  2. Markose, S. & Giansante, S. & Rais Shaghaghi, A., 2017, "Central clearing: reaping the benefits, controlling the risks," Financial Stability Review, Banque de France, issue 21, pages 111-126, April.

2016

  1. N. Loukeris & I. Eleftheriadis & E. Livanis, 2016, "The Portfolio Heuristic Optimisation System (PHOS)," Computational Economics, Springer;Society for Computational Economics, volume 48, issue 4, pages 627-648, December, DOI: 10.1007/s10614-015-9552-1.
  2. Heath, Alexandra & Kelly, Gerard & Manning, Mark & Markose, Sheri & Shaghaghi, Ali Rais, 2016, "CCPs and network stability in OTC derivatives markets," Journal of Financial Stability, Elsevier, volume 27, issue C, pages 217-233, DOI: 10.1016/j.jfs.2015.12.004.

2015

  1. Nikolaos Loukeris & Iordanis Eleftheriadis, 2015, "Further Higher Moments in Portfolio Selection and A Priori Detection of Bankruptcy, Under Multi‐layer Perceptron Neural Networks, Hybrid Neuro‐genetic MLPs, and the Voted Perceptron," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 20, issue 4, pages 341-361, October.

2013

  1. Sheri M Markose, 2013, "Systemic risk analytics: A data-driven multi-agent financial network (MAFN) approach," Journal of Banking Regulation, Palgrave Macmillan, volume 14, issue 3-4, pages 285-305, July.

2012

  1. Markose, Sheri & Giansante, Simone & Shaghaghi, Ali Rais, 2012, "‘Too interconnected to fail’ financial network of US CDS market: Topological fragility and systemic risk," Journal of Economic Behavior & Organization, Elsevier, volume 83, issue 3, pages 627-646, DOI: 10.1016/j.jebo.2012.05.016.

2007

  1. Nier, Erlend & Yang, Jing & Yorulmazer, Tanju & Alentorn, Amadeo, 2007, "Network models and financial stability," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 6, pages 2033-2060, June.
  2. Markose, Sheri & Alentorn, Amadeo & Koesrindartoto, Deddy & Allen, Peter & Blythe, Phil & Grosso, Sergio, 2007, "A smart market for passenger road transport (SMPRT) congestion: An application of computational mechanism design," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 6, pages 2001-2032, June.
  3. Markose, Sheri & Arifovic, Jasmina & Sunder, Shyam, 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, Elsevier, volume 31, issue 6, pages 1801-1807, June.
  4. Kirman, Alan & Markose, Sheri & Giansante, Simone & Pin, Paolo, 2007, "Marginal contribution, reciprocity and equity in segregated groups: Bounded rationality and self-organization in social networks," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 6, pages 2085-2107, June.

2006

  1. Sheri Markose, 2006, "Developments in experimental and agent-based computational economics (ACE): overview," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 1, issue 2, pages 119-127, November, DOI: 10.1007/s11403-006-0015-6.

2005

  1. Sheri M. Markose, 2005, "Computability and Evolutionary Complexity: Markets as Complex Adaptive Systems (CAS)," Economic Journal, Royal Economic Society, volume 115, issue 504, pages 159-192, June.
  2. Edward Tsang & Sheri Markose & Hakan Er, 2005, "Chance Discovery In Stock Index Option And Futures Arbitrage," New Mathematics and Natural Computation (NMNC), World Scientific Publishing Co. Pte. Ltd., volume 1, issue 03, pages 435-447, DOI: 10.1142/S1793005705000251.

2004

  1. Markose, Sheri M., 2004, "Novelty in complex adaptive systems (CAS) dynamics: a computational theory of actor innovation," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 344, issue 1, pages 41-49, DOI: 10.1016/j.physa.2004.06.085.

2003

  1. Sheri M. Markose & Yiing Jia Loke, 2003, "Network Effects On Cash-Card Substitution In Transactions And Low Interest Rate Regimes," Economic Journal, Royal Economic Society, volume 113, issue 487, pages 456-476, April.
  2. Gencay, Ramazan & Dacorogna, Michel & Olsen, Richard & Pictet, Olivier, 2003, "Foreign exchange trading models and market behavior," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 6, pages 909-935, April.

2002

  1. Ramazan GenÁay & Giuseppe Ballocchi & Michel Dacorogna & Richard Olsen & Olivier Pictet, 2002, "Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 43, issue 2, pages 463-492, May.

2000

  1. Alessandra Guariglia & Sheri Markose, 2000, "Voluntary Contributions to Personal Pension Plans: Evidence from the British Household Panel Survey," Fiscal Studies, Institute for Fiscal Studies, volume 21, issue 4, pages 469-488, December.

1999

  1. Ballocchi, Giuseppe & Dacorogna, Michel M. & Hopman, Carl M. & Muller, Ulrich A. & Olsen, Richard B., 1999, "The intraday multivariate structure of the Eurofutures markets," Journal of Empirical Finance, Elsevier, volume 6, issue 5, pages 479-513, December.

1997

  1. Muller, Ulrich A. & Dacorogna, Michel M. & Dave, Rakhal D. & Olsen, Richard B. & Pictet, Olivier V. & von Weizsacker, Jacob E., 1997, "Volatilities of different time resolutions -- Analyzing the dynamics of market components," Journal of Empirical Finance, Elsevier, volume 4, issue 2-3, pages 213-239, June.
  2. Richard B. Olsen & Ulrich A. Müller & Michel M. Dacorogna & Olivier V. Pictet & Rakhal R. Davé & Dominique M. Guillaume, 1997, "From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*)," Finance and Stochastics, Springer, volume 1, issue 2, pages 95-129.

1993

  1. Dacorogna, Michael M. & Muller, Ulrich A. & Nagler, Robert J. & Olsen, Richard B. & Pictet, Olivier V., 1993, "A geographical model for the daily and weekly seasonal volatility in the foreign exchange market," Journal of International Money and Finance, Elsevier, volume 12, issue 4, pages 413-438, August.

1991

  1. Markose-Cherian, Sheri, 1991, "End-independent legal rules and the political economy of expanding market societies of Europe," European Journal of Political Economy, Elsevier, volume 7, issue 4, pages 579-601, November.

1990

  1. Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude, 1990, "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis," Journal of Banking & Finance, Elsevier, volume 14, issue 6, pages 1189-1208, December.

1986

  1. Markose, S. M., 1986, "A theory of policy-induced structural change An application of the bismut stochastic maximum principle," Journal of Economic Dynamics and Control, Elsevier, volume 10, issue 1-2, pages 109-114, June.

Chapters

2008

  1. Amadeo Alentorn & Sheri Markose, 2008, "Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)," Springer Books, Springer, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker, "Computational Methods in Financial Engineering", DOI: 10.1007/978-3-540-77958-2_3.

2007

  1. Simone Giansante & Alan Kirman & Sheri Markose & Paolo Pin, 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, Springer, chapter 16, in: Andrea Consiglio, "Artificial Markets Modeling", DOI: 10.1007/978-3-540-73135-1_16.

2005

  1. Sheri Markose & Edward Tsang & Serafin Martinez Jaramillo, 2005, "The Red Queen Principle and the Emergence of Efficient Financial Markets: An Agent Based Approach," Lecture Notes in Economics and Mathematical Systems, Springer, in: Thomas Lux & Eleni Samanidou & Stefan Reitz, "Nonlinear Dynamics and Heterogeneous Interacting Agents", DOI: 10.1007/3-540-27296-8_19.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.