Welcome to ACEFINMOD.com
Welcome to ACEFINMOD. This web site, started in 2009, is dedicated to show-case the research carried out since about 2002 by a team of researchers and scientists associated with the Centre for Computational Finance and Economic Agents. The work reported here reflects a complex adaptive systems perspective and the methodology of Agent-based Computational Economics to build large scale data base driven financial and economic models for purposes of market and policy design. Much of the work was pioneered while Sheri Markose was Founder Director of CCFEA, while on going work represents collaborations on projects funded by grants or those done as PhD research under Sheri's supervision.
This project builds a multi-sector agent based simulator of the US financial system which is driven by the FDIC data set. The model is first built sector by sector starting with the CDS market.
Financial network analysis and systemic risk from contagion are the key objectives of this project.
Quick link to CDS Network Simulator beta 03
Quick link to CDS Network Simulator beta 02
Older version beta 01
Qiuck link to varius sections
Next Generation Electronic Trading Simulators for London SETS (NGETS)
In this project, the London SETS electronic order book market is fully rebuilt and is the basis of a simulator to design and build algo strategies in real time. Detailed analysis of the structure and statistical properties of the orderbook are possible.
Run NGETS app
Sovereign Risk Contagion
In this project, the BIS bilateral data on immediate obligations between countries relative to their assets is visualized in a financial network. We proceed to analyse the financial contagion affecting the PIIGS (Portugal, Italy, Ireland, Greece, Spain) & UK.
CLIMACE, Green Transport and Smart Infra-structure
CLIMACE investigates a multi-agent model for digitally mapping the transition in economies
from high to low carbon.
covers research in this field
New MSc Computational Economics, Financial Markets and Policy
GES 2011 - Interview with Sheri Markose
7 December 2011
Sheri Markose Presentation of IMF Project Results on Systemic Risk From Financial Derivatives: A Network Analysis and Mitigation of Contagion Effects With Super-Spreader Tax
IMF Conference on “Operationalizing Systemic Risk Monitoring” (Washington DC, 26-28 May 2010)
Sheri Markose participated in a panel session on “How to Measure Systemic Interconnectedness – Network Perspectives”.
Sheri's presentation slides on:
ECB Workshop on
“Recent advances in modelling systemic risk using network analysis” Frankfurt am Main, 5 October 2009-->Workshop Programme
BBC CCFEA Trading Competition