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- Erlend Nier, Jing Yang, Tanju Yorulmazer, Amadeo Alentorn
- 2008

Systemic risk is a key concern for central banks charged with safeguarding overall financial stability. In this paper we investigate how systemic risk is affected by the structure of the financial system. We construct banking systems that are composed of a number of banks that are connected by interbank linkages. We then vary the key parameters that define… (More)

- Sheri Markose, Amadeo Alentorn, Deddy Koesrindartoto, P. Allen, Phil Blythe, Sergio Grosso
- 2007

To control and price negative externalities in passenger road transport, we develop an innovative and integrated computational agent based economics (ACE) model to simulate a market oriented “cap” and trade system. (i) First, there is a computational assessment of a digitized road network model of the real world congestion hot spot to determine the “cap” of… (More)

- Sheri Markose, Amadeo Alentorn, Andreas Krause
- 2004

It has been widely accepted that herding is the consequence of mimetic responses by agents interacting locally on a communication network. In extant models, this communication network linking agents, by and large, has been assumed to be fixed. In this paper we allow it to evolve endogenously by enabling agents to adaptively modify the weights of their links… (More)

- Sheri Markose, Amadeo Alentorn, Stephen P. Millard, Jing Yang
- 2011

The purpose of this paper is to show how agent-based simulations of payment systems can be used to aid central bankers and payment system operators in thinking about the appropriate design of payment settlement systems to minimise risk and increase their efficiency. Banks, which we model as the ‘agents’, are capable of a degree of autonomy with which to… (More)

- Amadeo Alentorn, Sheri Markose, Olaf Menkens, Christian Schlag, Christoph Schleicher, Radu Tunaru
- 2007

Ait-Sahalia and Lo (2000) and Panigirtzoglou and Skiadopoulos (2004) have argued that Economic VaR (E-VaR), calculated under the option market implied risk neutral density is a more relevant measure of risk than historically based VaR. As industry practice requires VaR at high confidence level of 99%, we propose Extreme Economic Value at Risk (EE-VaR) as a… (More)

- Amadeo Alentorn, Sheri Markose, Kyriakos Chourdakis, Olaf Menkens, Christian Schlag, Christoph Schleicher
- 2006

When studying a time series of implied Risk Neutral Densities (RNDs) or other implied statistics, one is faced with the problem of maturity dependence, given that option contracts have a fixed expiry date. Therefore, estimates from consecutive days are not directly comparable. Further, we can only obtain implied RNDs for a limited set of expiration dates.… (More)

- N. Berbel, J. M. Soto Guerrero, J. Matas, L.G. de Vicuna, J. Cruz, Amadeo Alentorn
- 2005 European Conference on Power Electronics and…
- 2005

This paper presents a novel control for a multiphase dc-dc converter, which provides tight output voltage regulation, fast transient response, and robustness against large-signal disturbances in the input-voltage and the load-current

- Amadeo Alentorn, Alberto Moraglio, Colin G. Johnson
- 2010 UK Workshop on Computational Intelligence…
- 2010

This paper presents a framework for heuristic portfolio optimisation applied to a hedge fund investment strategy. The first contribution of the paper is to present a framework for implementing portfolio optimisation of a market neutral hedge fund strategy. The paper also illustrates the application of the recently developed Geometric Nelder-Mead Algorithm… (More)

- Sheri M. Markose, Yue Peng, Amadeo Alentorn, Sheri Markose
- 2012

Since its introduction in 2003, volatility indices such as the VIX based on the model-free implied volatility (MFIV) have become the industry standard for assessing equity market volatility. MFIV suffers from estimation bias which typically underestimates volatility during extreme market conditions due to sparse data for options traded at very high or very… (More)

- J. Cruz, Manuel Castilla, Jaume Miret, J. Matas, J. D. Hernández Sosa, Amadeo Alentorn
- 2005 European Conference on Power Electronics and…
- 2005

This paper presents a complete averaged dynamic model for the single-magnetic push-pull forward converter, including parasitic elements. The single magnetic push-pull forward converter is a suitable topology to supply high-performance microprocessors from a high-voltage distribution bus. A good agreement between the waveforms generated by the converter… (More)

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