University of Bath School of Management University of Bath School of Management

Dr Simone Giansante

Dr Simone Giasante
Contact

telephone +44 (0) 1225 386271
email Dr Simone Giansante

Publications

Leading Refereed Journal Papers
Other Outputs

PhD

Job Title:

Lecturer in Finance

Division:

Accounting, Finance & Law

Key Research Interests:

Banking Regulation, Financial Networks, Financial Stability and Systemic Risk, High Frequency Finance and Real Time Trading Algorithms

Research Interests

My research topics include Banking and Financial Networks, Financial Stability and Systemic Risk, Credit Derivatives and Securitization, High Frequency Finance and Real Time Trading Algorithms. I am currently involved in developing ICT Financial Solutions for Financial Contagion (Derivatives Markets and Interbank Lending), Large Value Payment Systems and Electronic Stock Exchange Trading Platforms and teaching across many areas of financial economics including financial markets, international and quantitative finance.
I have previously held positions at the Bank of England, carrying out research on Large Value Payment Systems, and the University of Essex, working on an EU Project on Credit Risk Transfer and the building of a financial contagion simulator for the Credit Default Swap market for US banks. I am currently acting as research advisor for the Reserve Bank of India, Financial Stability Division developing (with Sheri Markose) an ICT modelling tool for systemic risk using Financial Networks. I am also involved (with Sheri and Azeem Malik) in the development of the real time rebuild of the London Stock Exchange Electronic Order Book market which is used in the lab training for students and back testing of intraday strategies.
I am co-founder of the acefinmod.com project – Agent-Based Computational Economics & Financial Modelling

PhD Supervision

I am interested in supervising students on these topics with good quantitative and computational skills.

I am currently supervising the following doctoral students:

Mr Zhuoran XU (zx218)
Miss Hui GAO (hg326)

Publications

Leading Refereed Journal Papers

Krause, A., 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, DOI: 10.1016/j.jebo.2012.05.015.

Markose, S., Giansante, & A. R. Shaghaghi. 2012. 'Too interconnected to fail' financial market of US CDS market: topological fragility and systematic risk. Journal of Economic Behavior and Organization, 83(3): 627-646, DOI: 10.1016/j.jebo.2012.05.016.

Giansante, S., Chiarella, C., Sordi, S., & Vercelli, A. 2012. Structural contagion and vulnerability to unexpected liquidity shortfalls. Journal of Economic Behavior and Organization, 83(3): 558-569, DOI: 10.1016/j.jebo.2012.05.014.

► older publications

Kirman A., Markose S., Giansante S. & Pin P. 2007. Marginal contribution, reciprocity and equity in segregated groups: Bounded rationality and self-organization in social networks. Journal of Economic Dynamics and Control, 31(6): 2085-2107.

Other Outputs

Markose S., Bewaji O. & Giansante S., 2012. Multi-Agent Financial Network (MAFN) Model of US Collateralized Debt Obligations (CDO): Regulatory Capital Arbitrage, Negative CDS Carry Trade and Systemic Risk Analysis. In B. Alexandrova-Kabadjova, S. Martinez-Jaramillo, A. L. Garcia-Almanza, & E. Tsang (Eds.), Simulation in Computational Finance and Economics: Tools and Emerging Applications. IGI Global.

Chiarella C.,Giansante S., Sordi S., & Vercelli A. 2010. Financial Fragility and Interacting Units: An Exercise. In M. Faggini (Eds.), Decision Theory and Choice: a Complexity Approach, Series - New Economic Windows. Springer.

Giansante S., Kirman S., Markose S. & Pin P. 2007. The Grass is Always Greener on the Other Side of the Fence: The Effect of Misperceived Signalling in a Network Formation Process. In A. Consiglio (Eds.), Artificial Markets Modeling: Methods and Applications: 223-234. Springer.