Curriculum vitae

Dr Andreas Krause
Address University of Bath School of Management Claverton Down Bath BA2 7AY Great Britain + 44 1225 383771 + 44 1225 386473 mnsak@bath.ac.uk

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Research interests
Market Microstructure Theory Agent-based Computational Finance Risk Management Systemic Risk

Research Collaborations
Zhishu Yang, Tsinghua University and K. C. John Wei, UST, Hongkong Centre for Computational Finance and Economic Agents (CCFEA), University of Essex

Education
Dr rer pol Lic rer pol University of Fribourg (Switzerland), 2000 (equivalent to PhD in Finance), summa cum laude University of Fribourg (Switzerland), 1997 (equivalent to MSc in Economics), magna cum laude

Professional Qualifications
Bankkaufmann National-Bank AG, Essen (Germany), 1993 (equivalent to Chartered Banking Professional)

Academic Appointments
Lecturer in Finance Research and Teaching Assistant University of Bath (UK), 2000-present University of Fribourg (Switzerland), 1997-2000

Visiting positions
Visiting Lecturer (2003) Visiting Fellow (2003-2007) Visiting Researcher (2004, 2007) University of Birmingham Centre for Computational Finance and Economic Agents (CCFEA), University of Essex Tsinghua University, Beijing

Publications
Journal Articles 1. Coherent Risk Measurement: An Introduction, Balance Sheet 10(4), 2002, 13-17 2. Exploring the Limitations of Value at Risk: How Good is it in Practice?, Journal of Risk Finance 4(2), 2003, 19-28 3. Inventory Effects on Daily Returns in Financial Markets, International Journal of Theoretical and Applied Finance 6(7), 2003, pp. 739-765 4. Crashes in Bond Markets: The Importance of Hedging Mortgage-Backed Securities, Journal of Fixed Income 13(3), 2003, pp. 19-32 5. The independence of financial analysts: evaluation of an alternative proposal, Journal of Investment Compliance 4(3), 2003, pp. 52-57 6. Predicting Crashes in a Model of Evolving Networks, Complexity 9(4), 2004, pp. 2430 7. Optimal Stock Allocation in Specialist Markets, Research in Economics 59(1), 2005, pp. 23-39 8. 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, Managerial Finance, 32 (9), 2006, pp. 774-785 10. Learning and Herding using Case-Based Decision Theory, IEEE Transactions on Systems, Man, and Cybernetics, Part A 39(3), 2009, pp. 662-669 11. Determinants of the method of payment in mergers and acquisitions, Quarterly Review of Economics and Finance, 2010, forthcoming (with A Ismail) Book Chapters 1. 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, , Springer Verlag, Berlin Heidelberg New York, 2004, pp. 257-267 2. Herding without Following the Herd: The Dynamics of Case-based Decisions with Local Interactions, in: A Namatame, T Kaizouji and Y Aruka (eds.): Economics and Heterogeneous 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. Yin et al (eds.): Intelligent Data Engineering and Automated Learning, Lecture Notes in Computer Science, Springer Verlag, Berlin Heidelberg New York, 2007, pp. 10631072 (with B Alexandrova-Kabadjova and E Tsang) 4. Evolutionary learning of the optimal pricing strategy in an artificial payment card market, in: A Brabazon and M ONeill (eds.): Natural Computing in Computational Economics and Finance, Studies in Computational Intelligence Springer Verlag, Berlin Heidelberg New York, 2008, pp. 233-252 (with B Alexandrova-Kabadjova and E Tsang) 5. Evaluating the performance of adapting trading strategies with different memory lengths, in: E Corchado and H Yin (eds.): Intelligent Data Engineering and Automated 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: E Corchado and H Yin (eds.): Intelligent Data Engineering and Automated Learning 2009, Lecture Notes in Computer Science, Springer Verlag, Berlin Heidelberg New York, 2007, pp. 703-710 (with X Li)

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: C Fyfe 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) Books 1. 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] Other 1. Developments in Forecast Combination and Portfolio Choice (Book Review), International Journal of Forecasting 18(3), 2002, pp. 462-463 2. 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 Agentbased Modeling, Proceedings of the 6th International Conference on Complex Systems, Chuo University, Tokyo 2002, pp. 278-283 3. Risk, Capital Requirements, and the Asset Structure of Companies, in: Proceedings of Annual Meeting of American Academy of Accounting and Finance, 2003 4. Generating networks with realistic properties: The topology of locally evolving random graphs, in: T. Kovacs and J. A. R. Marshall (eds): Adaptation in Artificial and Biological Systems, Vol. 3, Bristol 2006, pp. 145-149

Work in Progress
1. Stock exchange sponsored analyst coverage: An evaluation of the Malaysian experience (with A Madun), revise and resubmit 2. Determining the Optimal Market Structure Using Near-Zero Intelligence Traders (with X Li), submitted 3. A Real Options Model of the Disposition and Reverse Disposition Effect, submitted 4. Determinants of the Disposition and Reverse Disposition Effect (with Z Yang and JKC Wei), submitted 5. 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, submitted 7. Determination of the Optimal Trading Rules Minimizing the Bid-Ask Spread (with X Li), 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 to Payment 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

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 plus company contribution GBP 84,000

Conference presentations
1. Annual meeting of the Swiss Society of Statistics and Economics 1999, 2000 2. Workshop on Economics with Heterogeneous Interacting Agents 1999, 2000, 2001, 2002, 2003, 2004, 2005, 2006, 2008, 2009, 2010 3. Econometric Society European Meeting 1999 4. World Congress of the Game Theory Society 2000 5. Annual meeting of the German Finance Association 1999, 2000 6. 8th Symposium on Finance, Banking and Insurance 1999 7. Workshop on Complex Behavior in Economics 2000 8. Young Economists Conference 2000 9. Application of Physics in Financial Analysis 2001 10. Complex Systems 2002 11. Annual Meeting of the American Academy of Accounting and Finance 2002 12. International Workshop on Agent-Based Models for Economic Policy Design (ACEPOL05) 2005 13. Skinance 2006 14. EFMA Symposium on Behavioral Finance 2006 15. AISB 2006 16. EFMA Meeting 2006 17. Asian FA Meeting 2007 18. Symposium on Behavioral Finance, Beijing 2007 19. IDEAL 2007, 2009, 2010 20. ESRC MMF Workshop on Experimental Finance, 2008

Refereeing and other activities

Editorial Board of International Journal 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 the IEEE Computational Finance and Economics Technical Committee Rapporteur on Projects supported by the ESRC Ad hoc referee for International Journal of the Economics of Business, Journal of Financial Research, Journal of Economic Behavior and Organisation, Journal of Computational Economics, IEEE Transactions on Evolutionary Computation, Intelligent Systems in Accounting, Finance and Management, Applied Intelligence, IEEE Transactions on Systems, Man, and Cybernetics

Reviewer of book proposals for Palgrave-MacMillan, Pearson Education, Routledge

PhD 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: the experience of the Malaysian research incentive scheme (graduated) 4. Liang Yin: The optimal payment in mergers and acquisitions a real options approach (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 (CoSupervisor, 2nd year) 8. Jiao 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)