Centre for Computational Finance and Economic Agents

University of Essex
Essex_Uni_Logo.gif

Motto

Established

Type

Campus

Chancellor

Vice-Chancellor

Location

Enrollment

Staff

Affiliations

Colour

Homepage

The 'Centre for Computational Finance and Economic Agents (CCFEA) is a leading edge laboratory-based interdisciplinary teaching and research centre. Having been fully established in 2004 with a Masters and a PhD Programme, CCFEA has been recognised as a world leader in the field.

The Centre for Computational Finance and Economic Agents (CCFEA) is an innovative, interdisciplinary and laboratory based teaching and research Centre which is a showcase for [...] edge computational and evolutionary methods to simulate markets with artificially intelligent agents and to design real time trading and risk management systems. CCFEA hosts advanced workshops and seminars by experts in the area of Computational Finance and Economics.

Core research

The core research and teaching at CCFEA focuses on:

  • Computational Finance is oriented to the non-Gaussian characteristics of financial markets and operational aspects of financial markets, financial engineering, portfolio and risk management. Computational methods include Adaptive and Reinforced Learning Techniques, Heuristic Optimization and Evolutionary Computing.
  • Computational Economics is geared toward Agent-Based Computational Economics (ACE), Computational Mechanism Design and Markets as Complex Adaptive Systems. ACE includes the use of artificially intelligent agents in the study of self-organising systems, the design of real time trading, risk and market-based institutions. This also has the potential to provide policy makers and financial institutions with a powerful interactive tool to find answers for 'what-if' questions and to do 'wind tunnel tests' for market and policy design.

Teaching

The Centre with its MSc Computational Finance, MSc Agent-Based Computational Economics and E-Markets (ACE-EM) and PhD Computational Finance can be considered to be the first to offer such a PG curriculum in the UK. CCFEA will remain committed to being a pioneer at the leading edge of IT and Artificial intelligence based modelling of markets with operationally relevant features. To this end, in addition to the pursuit of theoretical aspects of the subject, strong industry links are sought via its City Associates Board. A number of CCFEA PhD students have industry internships. CCFEA is currently "defining the subject area" by its agent simulators and modelling work which is disseminated via the web, research papers, journal articles, books and invited talks by CCFEA faculty members at high profile academic and industry workshops and conferences.

Centre for excellence

CCFEA has recently received national and international acclaim:

  • CCFEA lecturer Dietmar Maringer published a book on Portfolio Management with Heuristic Optimization with Springer.
  • Sheri Markose invited to present Smart Market Modelling for Congestion Pricing at the Treasury and Dft.
  • Kyriakos Chourdakis (lecturer) speeds up an option pricing algorithm in a recent Journal of Computational Finance article.
  • Sheri Markose (Director), has addressed the Prime Minister's Strategy Unit and the Bank of England's Expert Forum on Payment Systems.
  • Dr Markose is the lead researcher on the 2005 Foresight Intelligent Infrastructure System (IIS) Project on a Smart Market for Congestion. Press release 25 January 2006.
  • In 2005 CCFEA hosted the 10th Anniversary Workshop on Economic Heterogeneous Interacting Agents (WEHIA), which attracted prominent researchers from around the world.
  • Professor Edward Tsang, Deputy Director of CCFEA was appointed Chair of the Technical Committee in Computational Finance and Economics, IEEE Computational Intelligence Society in 2004 and 2005.

See also

  • University of Essex