# Dr Andreas Krause

##### PhD Supervision

I am happy to consider PhD students with a strong mathematical and/or computational background who are interested in conducting research in the area of systemic risk and agent-based computational finance.

I will consider students with research interests in financial markets on a case-by-case basis.

## Profile

Andreas Krause joined the Department of Economics in 2013 from the School of Management. He has graduated from the University of Fribourg (Switzerland) with a PhD in Economics.

He has research interests particularly in systemic of banking systems, where he focuses mainly on the network structure of interbank exposures and how failures of banks spread through such networks. The initial research in this area was supported by a British Academy grant. In general he is interested in heterogeneous agents interacting through networks and how such interactions shape aggregate outcomes, such as stock prices or analyst recommendations. Previous work has included an analysis of credit card markets using a network approach and questions of optimal market design. Overall he seeks to base his research on a sound theoretical basis, supplemented by empirical evidence as appropriate.

Andreas has recently consulted on the development of a risk-profiling system, supported by the EPSRC through a grant for EngD student.

### Research interests

- Systemic Risk
- Agent-based computational finance
- Financial markets
- Network theory

## Publications

## Book Sections

Krause, A., 2015. Systemic Risk. *In*: Baker, H. K. and Filbeck, G., eds. *Investment Risk Management.* Oxford University Press, pp. 179-196.

Krause, A., 2011. Performance of evolving trading strategies with different discount factors. *In*: *2011 IEEE Congress of Evolutionary Computation, CEC 2011.* Piscataway, NJ: IEEE Computer Society, pp. 186-191. (2011 IEEE Congress of Evolutionary Computation, CEC 2011)

Li, X. and Krause, A., 2010. An evolutionary multi-objective optimization of market structures using PBIL. *In*: *Intelligent Data Engineering and Automated Learning – IDEAL 2010 11th International Conference, Paisley, UK, September 1-3, 2010. Proceedings.* Springer, pp. 78-85. (Lecture Notes in Computer Science; 6283)

Krause, A., 2010. Beyond VaR: Expected shortfall and other coherent risk measures. *In*: Gregoriou, G. N., Hoppe, C. and Wehn, C. S., eds. *The Risk Modeling Evaluation Handbook.* McGrawHill, pp. 289-303.

Li, X. Y. and Krause, A., 2009. A Comparison of Market Structures with Near-Zero-Intelligence Traders. *In*: Corchado, E. and Yin, H., eds. *Intelligent Data Engineering and Automated Learning, Proceedings.Vol. 5788.* Springer, pp. 703-710. (Lecture Notes in Computer Science)

Alexandrova-Kabadjova, B., Tsang, E. and Krause, A., 2008. Evolutionary learning of the optimal pricing strategy in an artificial payment card market. *In*: Brabazon, A. and O'Neill, M., eds. *Natural Computing in Computational Finance.* Springer, pp. 233-251. (Studies in Computational Intelligence; 100/Part III)

Alexandrova-Kabadjova, B., Krause, A. and Tsang, E., 2007. An agent-based model of interactions in the payment card market. *In*: Yin, H., Tino, P., Corchado, E., Byrne, W. and Yao, X., eds. *Intelligent Data Engineering and Automated Learning - IDEAL 2007.Vol. 4881.* Springer, pp. 1063-1072. (Lecture Notes in Computer Science)

Krause, A., 2006. Generating networks with realistic properties:the topology of locally evolving random graphs. *In*: *Adaptation in Artificial and Biological Systems.Vol. 3.* Bristol, U. K.: Society for the Study of Artificial Intelligence and the Simulation of Behaviour, pp. 145-149.

Krause, A., 2006. Herding without following the herd:the dynamics of case-based decisions with local interactions. *In*: Namatame, A., Kaizouji, T. and Aruka, Y., eds. *The Complex Networks of Economic Interactions.* Springer, pp. 179-191. (Lecture Notes in Economics and Mathematical Systems; 567/Part IV)

Krause, A., 2004. Herding behavior of financial analysts:a model of self-organized criticality. *In*: Galegatti, M., Kirman, A. and Marsili, M., eds. *The Complex Dynamics of Economic Interaction.* London, U. K.: Springer, pp. 257-267. (Lecture Notes in Economics and Mathematical Systems; 531/Part IV)

Krause, A., 2002. Predicting crashes in a model of self-organized criticality. *In*: Namatame, A., Green, D., Aruka, Y. and Sato, H., eds. *Complex Systems 2002.* , pp. 278-283.

## Articles

Krause, A. and Hsu, C.-C., 2016. The optimal timing of open market stock repurchases. *Emerging Markets Finance and Trade*, 52 (4), pp. 776-785.

Krause, A. and Giansante, S., 2012. Interbank lending and the spread of bank failures:a network model of systemic risk. *Journal of Economic Behavior and Organization*, 83 (3), 583– 608.

Alexandrova-Kabadjova, B., Tsang, E. and Krause, A., 2011. Market structure and information in payment card markets. *International Journal of Automation and Computing*, 8 (3), pp. 364-370.

Alexandrova-Kabadjova, B., Tsang, E. and Krause, A., 2011. Profit-maximizing strategies for an artificial payment card market:Is learning possible? *Journal of Intelligent Learning Systems and Applications*, 3 (2), pp. 70-81.

Alexandrova-Kabadjova, B., Tsang, E. and Krause, A., 2011. Competition is bad for consumers:Analysis of an artificial payment card market. *Journal of Advanced Computational Intelligence and Intelligent Informatics*, 15 (2), pp. 188-196.

Li, X. and Krause, A., 2011. An evolutionary multi-objective optimization of trading rules in call markets. *Intelligent Systems in Accounting, Finance and Management*, 18 (1), pp. 1-14.

Li, X. and Krause, A., 2010. Determining the optimal market structure using near-zero intelligence traders. *Journal of Economic Interaction and Coordination*, 5 (2), pp. 155-167.

Ismail, A. and Krause, A., 2010. Determinants of the method of payment in mergers and acquisitions. *The Quarterly Review of Economics and Finance*, 50 (4), pp. 471-484.

Krause, A., 2009. Learning and herding using case-based decisions with local interactions. *IEEE Transactions on Systems Man and Cybernetics - Part A: Systems and Humans*, 39 (3), pp. 662-669.

Krause, A., 2006. Fat tails and multi-scaling in a simple model of limit order markets. *Physica A: Statistical Mechanics and its Applications*, 368 (1), pp. 183-190.

Krause, A., 2006. Risk, capital requirements, and the asset structure of companies. *Managerial Finance*, 32 (9), pp. 774-785.

Krause, A., 2005. Optimal stock allocation in specialist markets. *Research in Economics*, 59 (1), pp. 23-39.

Krause, A., 2004. Predicting crashes in a model of evolving networks. *Complexity*, 9 (4), pp. 24-30.

Krause, A., 2003. Crashes in bond markets and the hedging mortgage-backed securities. *Journal of Fixed Income*, 13 (3), pp. 19-32.

Krause, A., 2003. Exploring the limitations of value at risk:how good is it in practice? *Journal of Risk Finance*, 4 (2), pp. 19-28.

Krause, A., 2003. Inventory effects on daily returns in financial markets. *International Journal of Theoretical and Applied Finance*, 6 (7), pp. 739-765.

Krause, A., 2003. The independence of financial analysts:evaluation of an alternative proposal. *Journal of Investment Compliance*, 4 (3), pp. 52-57.

Krause, A., 2002. Book Review of 'Developments in Forecast Combination and Portfolio Choice' by Christian Dunis, Allan Timmermann and John Moody. *International Journal of Forecasting*, 18 (3), pp. 462-463.

Krause, A., 2002. Coherent risk measurement: an introduction. *Balance Sheet*, 10 (4), pp. 13-17.

## Conference or Workshop Items

Xiao, D. and Krause, A., 2016. Equilibrium interbank lending networks.

Krause, A., 2009. Evaluating the performance of adapting trading strategies with different memory lengths. *In*: *Intelligent Data Engineering and Automated Learning - IDEAL 2009*, 2009-09-23 - 2009-09-26.