Dr Andreas Krause
+44 (0) 1225 383771 
Job Title:
Lecturer in Finance
Subject Group:
Key Research Interests:
Market microstructure, Agent-based computational economics, Market design, Network formation
Research Interests
My current research combines market microstructure theory and agent-based computational economics with the aim of developing models that are able to replicate realistic time series properties of financial assets. By combining approaches developed in agent-based computational economics, in particular zero-intelligence trading, with market microstructure elements, I am also investigating the implications for the optimal design of trading rules in financial markets. As part of the decision-making process in financial markets furthermore explore the formation and evolution of social networks and how decision-making in such networks affects trading decisions.
Publications
Jump to:
Refereed journals papers | Book ChaptersRefereed journal papers
Krause A, Alexandrova-Kabadjova B & Tsang E (Forthcoming) Market Structure and Information in Payment Card Markets. International Journal of Automation and Computing.
Krause A & Li X. (2011) An evolutionary multi-objective optimization of trading rules in call markets. 
Intelligent Systems in Accounting, Finance & Management. 18(1): 1-14. DOI: 10.1002/isaf.320
Krause A, Alexandrova-Kabadjova B & Tsang E (2011) Profit-Maximising Strategies for an artificial Payment Card Market, Is Learning Possible? Journal of Intelligent Learning Systems and Applications. 3(2): 63-74. DOI N/A
Krause A, Alexndrova-Kabadjova B & Tsang E (2011). Competition is bad for Consumers: Analysis of an Artificial Payment Card Market. Journal of Advanced Computational Intelligence and Intelligent Informatics. 15(2): 188-196. DOI: N/A
Krause A & Li X. (2010) Determining the Optimal Market Structure Using Near-Zero Intelligence Traders. Journal of Economic Interaction and Co-Ordination 5(2): 155-167. DOI:10.1007/s11403-010-0069-3
Ismail I & Krause A. (2010) Determinants of the method of payment in mergers and acquisitions. Quarterly Review of Economics and Finance. 50(4): 471-484 DOI: 10.1016/j.qref.2010.06.003
Krause A. (2009) Learning and Herding using Case-Baded Decision Theory. IEEE Transactions on Systems, Man and Cybernetics. 39(3): 662-669. DOI: 10.1109/TSMCA.2009.2014542
► older publications
Krause, A. 2006. Fat tails and multi-scaling in a simple model of limit order markets. Physica A.
(DOI): 10.1016/j.physa.2005.12.038
Krause, A. 2006. Risk, capital requirements, and the asset structure of companies. Managerial Finance. 32 (9): 774-785. Click here for article
(DOI): 10.1108/03074350610681961
Krause, A. 2005. Optimal stock allocation in specialist markets. Research in Economics. 59 (1): 23-39.
(DOI): 10.1016/j.rie.2004.12.002
Krause, A. 2004. Predicting crashes in a model of evolving networks. Complexity. 9 (4): 24-30.
(DOI): 10.1002/cplx.v9:4
Krause, A. 2003. Crashes in bond markets and the hedging mortgage-backed securities. Journal of Fixed Income. 13 (3): 19-32.
(DOI): N/A
Krause, A. 2003. Exploring the limitations of value at risk: how good is it in practice?. Journal of Risk Finance. 4 (2): 19-28 - featured under “Best Papers”
(DOI): 10.1108/eb022958
Krause, A. 2003. Inventory effects on daily returns in financial markets. International Journal of Theoretical and Applied Finance. 6 (7): 739-765.
(DOI): 10.1142/S0219024903002171
Krause, A. 2003. The independence of financial analysts: evaluation of an alternative proposal. Journal of Investment Compliance. 4 (3): 52-57.
(DOI): N/A
Krause, A., Galegatti, M., Kirman, A. & Marsili, M. 2003. The complex dynamics of economic interaction: Essays in economics and econophysics.
(DOI): N/A
Krause, A. 2002. Developments in forecast combination and portfolio choice. International Journal of Forecasting. 18 (3): 462-463.
(DOI): 10.1016/S0169-2070(01)00149-2
Krause, A. 2002. Coherent risk measurement: an introduction. Balance Sheet. 10 (4): 13-17.
(DOI): N/A
Book Chapters
Krause, A. 2006. Generating networks with realistic properties: The topology of locally evolving random graphs, in Kovacs, T. & Marshall, J. A. R. (eds): Adaptation in Artificial and Biological SystemsVol. 3, 145-149, Bristol.
Krause, A. 2006 Herding without Following the Herd: The Dynamics of Case-based Decisions with Local Interactions, in: Namatame, A., Kaizouji, T. & Aruka, Y. (eds.): Economics and Heterogeneous Interacting Agents:178-190, Springer Verlag, Berlin Heidelberg New York.
Krause, A. 2004. Herding behavior of financial analysts: A model of self-organized criticality, in M Galegatti, A Kirman and M Marsili (eds.): The Complex Dynamics of Economic Interaction: Essays in Economics and Econophysics: 257-267, Springer Verlag, Berlin Heidelberg New York.
Krause, A. 2002. Predicting crashes in a model of self-organized criticality, in: Namatame, A., Green, D., Aruka, Y. & Sato, H (eds.): Complex Systems 2002: Complexity with Agent-based Modeling: 278-283, Proceedings of the 6th International Conference on Complex Systems, Chuo University, Tokyo.
Krause, A. Alexandrova-Kabadjova, B. & Tsang, E. 2007. 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 Economics and Finance, Springer Verlag, Berlin Heidelberg New York.
