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Curriculum vitae

Dr Andreas Krause

Address University of BathSchool of ManagementClaverton DownBath BA2 7AYGreat Britain

Phone +44 1225 383771Fax +44 1225 386473Email mnsak@bath.ac.uk

Research interests Market Microstructure Theory Agent-based Computational Finance Risk Management Systemic RiskResearch Collaborations Zhishu Yang, Tsinghua University and K. C. John Wei, UST, Hongkong Centre for Computational Finance and Economic Agents (CCFEA), University of Essex

EducationDr rer pol University of Fribourg (Switzerland), 2000(equivalent to PhD in Finance), summa cum laude

Lic rer pol University of Fribourg (Switzerland), 1997(equivalent to MSc in Economics),magna cum laude

Professional QualificationsBankkaufmann National-Bank AG, Essen (Germany), 1993

(equivalent to Chartered Banking Professional)

Academic AppointmentsLecturer in Finance University of Bath (UK), 2000-presentResearch and Teaching Assistant University of Fribourg (Switzerland), 1997-2000

Visiting positionsVisiting Lecturer (2003) University of BirminghamVisiting Fellow (2003-2007) Centre for Computational Finance and Economic

Agents (CCFEA), University of EssexVisiting Researcher (2004, 2007) Tsinghua University, Beijing

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PublicationsJ ournal Articles

1. Coherent Risk Measurement: An Introduction,Balance Sheet10(4), 2002, 13-172. Exploring the Limitations of Value at Risk: How Good is it in Practice?,J ournal of

Risk Finance4(2), 2003, 19-283. Inventory Effects on Daily Returns in Financial Markets, International J ournal of

Theoretical and Applied Finance6(7), 2003, pp. 739-7654. Crashes in Bond Markets: The Importance of Hedging Mortgage-Backed Securities,

J ournal of Fixed Income13(3), 2003, pp. 19-325. The independence of financial analysts: evaluation of an alternative proposal,J ournal

of Investment Compliance4(3), 2003, pp. 52-576. Predicting Crashes in a Model of Evolving Networks, Complexity 9(4), 2004, pp. 24-

307. Optimal Stock Allocation in Specialist Markets,Research in Economics 59(1), 2005,

pp. 23-398. Fat Tails and Multi-Scaling in a Simple Model of Limit Order Markets, Physica A

368(1), 2006, pp. 183-190

9. Risk, Capital Requirements, and the Asset Structure of Companies, ManagerialFinance, 32 (9), 2006, pp. 774-785

10.Learning and Herding using Case-Based Decision Theory, IEEE Transactions onSystems, Man, and Cybernetics, Part A 39(3), 2009, pp. 662-669

11.Determinants of the method of payment in mergers and acquisitions, QuarterlyReview of Economics and Finance, 2010, forthcoming (with A Ismail)

Book Chapters1. Herding Behavior of Financial Analysts: A Model of Self-Organized Criticality, in: M

Galegatti, A Kirman and M Marsili (eds.): The Complex Dynamics of EconomicInteraction: Essays in Economics and Econophysics, , Springer Verlag, BerlinHeidelberg New York, 2004, pp. 257-267

2. Herding without Following the Herd: The Dynamics of Case-based Decisions withLocal Interactions, in: A Namatame, T Kaizouji and Y Aruka (eds.): Economics andHeterogeneous Interacting Agents, Springer Verlag, Berlin Heidelberg New York,2006, pp. 178-190

3. An Agent-Based Model of Interactions in the Payment Card Market. In: H. Y in et al(eds.): Intelligent Data Engineering and Automated Learning, Lecture Notes inComputer Science, Springer Verlag, Berlin Heidelberg New York, 2007, pp. 1063-1072 (with B Alexandrova-Kabadjova and E Tsang)

4. Evolutionary learning of the optimal pricing strategy in an artificial payment cardmarket, in: A Brabazon and M ONeill (eds.): Natural Computing in ComputationalEconomics and Finance, Studies in Computational Intelligence Springer Verlag,Berlin Heidelberg New York, 2008, pp. 233-252 (with B Alexandrova-Kabadjovaand E Tsang)

5. Evaluating the performance of adapting trading strategies with different memorylengths, in: E Corchado and H Y in (eds.): Intelligent Data Engineering andAutomated Learning 2009, Lecture Notes in Computer Science, Springer Verlag,Berlin Heidelberg New York, 2009, pp. 711-718

6. A Comparison of Market Structures with Near-Zero-Intelligence Traders, in: ECorchado and H Y in (eds.): Intelligent Data Engineering and Automated Learning2009,Lecture Notes in Computer Science, Springer Verlag, Berlin Heidelberg New

York, 2007, pp. 703-710 (with X Li)

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7. Beyond VaR: Expected Shortfall and other Coherent Risk Measures, in Greg N.Gregoriou (ed.):The Risk Modeling Evaluation Handbook, McGraw-Hill, 2010, pp.289-303

8. An evolutionary multi-objective optimization of market structures using PBIL, in: CFyfe and H Yin (eds.): Intelligent Data Engineering and Automated Learning 2010,Lecture Notes in Computer Science, Springer Verlag, Berlin Heidelberg New York,

2010, forthcoming (with X Li)

Books1. Die Rolle der Industriepolitik in der wirtschaftlichen Entwicklung Japans [The role of

industrial policy for the economic development of Japan, in German], Tectum Verlag,Marburg, 1997 [published Masters thesis]

2. Market Microstructure Theory and Strategic Behavior of Market Makers, Bath 2000[PhD thesis]

Other1. Developments in Forecast Combination and Portfolio Choice (Book Review),

International J ournal of Forecasting18(3), 2002, pp. 462-4632. Predicting Crashes in a Model of Self-Organized Criticality, in: A Namatame, D

Green, Y Aruka and H Sato (eds.): Complex Systems 2002: Complexity with Agent-based Modeling, Proceedings of the 6th International Conference on ComplexSystems, Chuo University, Tokyo 2002, pp. 278-283

3. Risk, Capital Requirements, and the Asset Structure of Companies, in: Proceedings ofAnnual Meeting of American Academy of Accounting and Finance,2003

4. Generating networks with realistic properties: The topology of locally evolvingrandom graphs, in: T. Kovacs and J. A. R. Marshall (eds): Adaptation in Artificial andBiological Systems, Vol. 3, Bristol 2006, pp. 145-149

Work in Progress1. Stock exchange sponsored analyst coverage: An evaluation of the Malaysian

experience (with A Madun), revise andresubmit2. Determining the Optimal Market Structure Using Near-Zero Intelligence

Traders (with X Li),submitted3. A Real Options Model of the Disposition and Reverse Disposition Effect,submitted4. Determinants of the Disposition and Reverse Disposition Effect (with Z Yang and

JKC Wei),submitted5. An evolutionary multi-objective optimization of the market structure in call markets

(with X Li), submitted

6. Performance of evolving trading strategies with different discount factors, submitted7. Determination of the Optimal Trading Rules Minimizing the Bid-Ask Spread (with XLi), submitted

8. Competition is bad for consumers: Analysis of an Artificial Payment Card Market(with B Alexandrova-Kabadjova and E Tsang)

9. An Agent-Based Model of Consumers and Merchants Choosing Subscriptions toPayment cards (with B Alexandrova-Kabadjova and E Tsang)

10.Buying and selling in an experimental market (with H Li)11.Using financial ratios to predict stock market performance (with P. Oppitzhauser)12.Optimal organization and reward structure of companies with decentralized decisions

on promotions

http://www.bath.ac.uk/~mnsak/Research/PhD_thesis.pdfhttp://www.bath.ac.uk/~mnsak/Research/PhD_thesis.pdf

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Research grants April 2009 October 2010: Systemic Risks and Capital Requirements: An Evaluation

of the Role of Interbank Lending, British Academy, GBP 4932 September 2010 August 2012: Development of a Risk profiling System, Knowledge

Transfer Partnership, Bullman Investment Management LLP, GBP 118,100 pluscompany contribution GBP 84,000

Conference presentations1. Annual meeting of the Swiss Society of Statistics and Economics 1999, 20002. Workshop on Economics with Heterogeneous Interacting Agents 1999, 2000, 2001,

2002, 2003, 2004, 2005, 2006, 2008, 2009, 20103. Econometric Society European Meeting 19994. World Congress of the Game Theory Society 20005. Annual meeting of the German Finance Association 1999, 20006. 8th Symposium on Finance, Banking and Insurance 19997. Workshop on Complex Behavior in Economics 20008. Young Economists Conference 20009. Application of Physics in Financial Analysis 200110.Complex Systems 200211.Annual Meeting of the American Academy of Accounting and Finance 200212.International Workshop on Agent-Based Models for Economic Policy Design

(ACEPOL05) 200513.Skinance 200614.EFMA Symposium on Behavioral Finance 200615.AISB 200616.EFMA Meeting 200617.Asian FA Meeting 200718.

Symposium on Behavioral Finance, Beijing 200719.IDEAL 2007, 2009, 2010

20.ESRC MMF Workshop on Experimental Finance, 2008Refereeing and other activities

Editorial Board ofInternational J ournal of Behavioural Accounting and Finance Guest Editor for a special issue on Risk Management for Managerial Finance Member of the Scientific Committee for the Workshop on Economics with

Heterogeneous Interacting Agents (WEHIA2005) Member of the Scientific Committee for the Workshop on Economics with

Heterogeneous Interacting Agents (WEHIA2006) Member of the Program Committee of the 2006 IEEE Congress on Evolutionary

Computation (CEC 2006) Member of the Program Committee of the 2008 Winter Workshop on Economics

with Heterogeneous Interacting Agents Member of the Program Committee of the 2009 IEEE Congress on Evolutionary

Computation (CEC 2009) Member of theIEEE Computational Finance and Economics Technical Committee Rapporteur on Projects supported by the ESRC Ad hoc referee for International J ournal of the Economics of Business,J ournal of

Financial Research, Journal of Economic Behavior and Organisation, J ournal ofComputational Economics, IEEE Transactions on Evolutionary Computation,Intelligent Systems in Accounting, Finance and Management, Applied Intelligence,IEEE Transactions on Systems, Man, and Cybernetics

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Reviewer of book proposals for Palgrave-MacMillan, Pearson Education, RoutledgePhD Supervision

1. Chi Chen Hsu: A Real Options Approach to Stock Repurchases (graduated)2. Biliana Alexandrova-Kabadjova: Agent-based models of the payment card market

(Co-Supervisor, graduated)

3. Azian Madun: The impact of financial analyst coverage on stock properties: theexperience of the Malaysian research incentive scheme (graduated)

4. Liang Yin: The optimal payment in mergers and acquisitions a real optionsapproach (graduated)

5. Honghong Li: Order submission strategies in limit order markets (graduated)6. Xinyang Li: Evolutionary Market Design (writing up)7. Dechuan Li: Predicting stock price movements using accounting ratios (Co-

Supervisor, 2nd year)8. J iao Wu: The reaction of industry indices in crises (Co-Supervisor, 2nd year)9. Karan Puri: Performance of Hedge Funds (Co-Supervisor, 2nd year)10.Xinyi Huang: Modelling systemic risk (Co-supervisor, 1st year)

Administrative Responsibilities Member IT Standing Committee(2001-2005),Acting Chair 2007 Member Board of Studies (2002-2005, 2010-2013) Health and Safety Officer (2004-2007) Member Programme Approval Panel (2004-2007) Senior Admissions Tutor BSc(Hons) in Accounting and Finance(2005-2008) Director of Studies MSc in Accounting and Finance(2008-2011)

Teaching Activities

Postgraduate (PhD) Basic principles of model building (2004/5, 2005/6, 2007/8, 2008/9)

Postgraduate (MBA) Risk Management (2000/1, 2001/2, 2002/3, 2003/4, 2004/5) Mergers & Acquisitions (2003/4) Corporate Financial Management (2004/5)

Postgraduate (MSc) Economics of Finance 2: Financial Markets(2003/4) Market Microstructure(2005/6, 2006/7) Risk Management (2005/6, 2006/7, 2007/8, 2008/9, 2009/10) Asset Price Dynamics (2005/6) Computational Finance(2006/7) Treasury Management (2007/8, 2008/9) Banking(2009/10)

Undergraduate Investment Banking(2000/1, 2001/2, 2002/3, 2003/4, 2004/5, 2009/10) Introduction to Finance and Financial Markets(2000/1, 2001/2, 2002/3, 2003/4) Portfolio Management(2000/1, 2001/2, 2002/3, 2003/4) Treasury Management (2007/8, 2008/9) Financial Markets: Asset Management (2007/8)

Supervision of Dissertations MSc and MBA dissertations in Finance (approx. 10 per year)