10) University of Essex (Centre for Computational Finance and Economic Agents, CCFEA)

Details of open position

Scientific Staff

Prof. Sheri Markose

Sheri Markose has a Ph.D. in economics from the London School of Economics, University of London. She has previously held a research position at the London Business School before joining the Department of Economics at Essex University as lecturer and then senior lecturer. Starting in 2002, she was appointed as the founder Director of the Centre for Computational Finance and Economic Agents (CCFEA) where she pioneered post graduate research and teaching curricula in Computational Finance and Agent Based Computational Economics.

Expertise of the Team

At the CCFEA, a substantial amount of work has been done in the area of economic agent based modelling, self-organization, computational finance, heuristic optimization, artificial stock markets, and artificial intelligence based modelling of markets. CCFEA is administered by the University of Essex’s 5 star Department of Economics and the Department of Computer Science and is supported by the Departments of Accounting, Finance and Management, Mathematical Sciences, and Electronics Systems Engineering. Markose is the director of CCFEA and has considerable experience in agent based modelling. Current projects include an Interbank Large Value Payment Settlement Simulator (IPSS) for the Bank of England and a simulator of a smart market for road transport congestion for the 2005/6 Intelligent Infrastructure System Project for Foresight which is a think tank for the UK Government’s Office of Science and Technology and Department of
Transport and Industry. Maringer is working on heuristic optimization and financial management and has also published on the use of heuristic methods in statistics and econometrics (with Peter Winker). In addition, staff at CCFEA include Dr. Kyriakos Chourdakis (lecturer in Computational Finance at CCFEA) who is a specialist in financial engineering (publications in the Journal of Computational Finance, and Journal of Derivatives) and Prof. Edward Tsang (Deputy Director of CCFEA) who is recognized as a world expert in the field of constraint satisfaction and is currently he IEEE Chair of Computational Finance and Economics.

References:

  • S. Markose: “Computability and Evolutionary Complexity: Markets as Complex Adaptive Systems (CAS)”, Economic Journal, 2005.
  • S. Markose and S. Sunder (eds.): “Humans, Automaton and Markets: On Computational Microstructure Design”, Cambridge University Press, to appear 2006.
  • E.P.K. Tsang, S. Markose, H. Er: “Chance Discovery in Stock Index Option and Futures Arbitrage,” New Mathematics and Natural Computation, November 2005.
  • D. Maringer, Portfolio Management with Heuristic Optimization, Springer 2005.
  • P. Winker and D. Maringer: “Optimal Lag Structure Selection in VAR and VEC Models”, in: A. Welfe (Ed.): “New Directions in Macromodeling”, Elsevier 2004.

Expertise in Training Young Scientists

Offering exclusively postgraduate qualifications, CCFEA is the first institution in the UK offering the postgraduate programmes of MSc Computational Finance, MSc Computational Agent Networks and E-Markets and PhD Computational Finance. Currently, there are about 50 MSc and PhD students.

Links within the Network

Previous to his appointment with CCFEA, Maringer worked with Winker at the University of Erfurt for three years. They have jointly published on the use of heuristic optimization methods in finance, statistics, and econometrics. Maringer has also been involved in joint work with Gilli, Kontoghiorghes, Meyer and Gatu.

Role of the Research Team

The research team at the University of Essex will concentrate on the design and implementation of agent based systems as well as the use of heuristic optimization. In particular, the experience in artificial markets and auction design will be passed on to junior researchers and will be applied in the implementation of simulations. Heuristic and artificial intelligence methods will be used for issues in financial management, time series analysis, and the detection of arbitrage opportunities in real markets, combined with automated trading systems. In addition, the project will benefit from CCFEA’s plans to introduce research and an MSc programme in real-time trading systems in cooperation with partners from the industry.