Mark E. Paddrik

Government of the United States of America - Office of Financial Research

Interdisciplinary Researcher

717 14th Street, NW

Washington DC, DC 20005

United States

  • Government of the United States of America - Office of Financial Research

SCHOLARLY PAPERS

23

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5,674

SSRN CITATIONS

84

CROSSREF CITATIONS

32

Scholarly Papers (23)

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1.

Behavior Based Learning in Identifying High Frequency Trading Strategies

Number of pages: 8 Posted: 08 Nov 2011
Steve Y. Yang, Mark E. Paddrik, Roy Hayes, Andrew Todd, Andrei A. Kirilenko, Peter Beling and William Scherer
Stevens Institute of Technology, Government of the United States of America - Office of Financial Research, University of Virginia, University of Virginia, University of Cambridge - Finance, University of Virginia, Dept. of System & Information Engineering and IEEE Intelligent Transportation Systems Society
Downloads 1,858 (15,261)
Citation 2

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Limit order book, Inverse Reinforcement Learning, Markov Decision Process, Maximum likelihood, Price impact, High Frequency Trading

2.

An Agent Based Model of the E-Mini S&P 500 and the Flash Crash

Number of pages: 8 Posted: 23 Sep 2011 Last Revised: 18 Jul 2012
Mark E. Paddrik, Roy Hayes, Andrew Todd, Steve Y. Yang, William Scherer and Peter Beling
Government of the United States of America - Office of Financial Research, University of Virginia, University of Virginia, Stevens Institute of Technology, IEEE Intelligent Transportation Systems Society and University of Virginia, Dept. of System & Information Engineering
Downloads 600 (75,857)
Citation 10

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Agent Base, Flash Crash, S&P 500, Zero-Intelligence

3.

A Study of Dark Pool Trading Using an Agent-Based Model

Proceedings of the 2013 IEEE Symposium on Computational Intelligence for Financial Engineering & Economics (CIFEr), 2013
Number of pages: 8 Posted: 27 Nov 2012 Last Revised: 23 Nov 2013
Sheung Yin Mo, Mark E. Paddrik and Steve Y. Yang
Stevens Institute of Technology, Government of the United States of America - Office of Financial Research and Stevens Institute of Technology
Downloads 428 (114,375)
Citation 1

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dark pool, agent-based model, informed vs. uninformed trader, algorithmic trading

4.

Bank Networks and Systemic Risk: Evidence from the National Banking Acts

Downloads 346 (145,477)
Citation 23

Bank Networks and Systemic Risk: Evidence from the National Banking Acts

Number of pages: 42 Posted: 29 Sep 2016 Last Revised: 22 Mar 2019
Haelim Anderson, Mark E. Paddrik and Jessie Jiaxu Wang
Bank Policy Institute, Government of the United States of America - Office of Financial Research and Arizona State University (ASU) - W.P. Carey School of Business
Downloads 273 (185,627)
Citation 25

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bank networks, financial interconnectedness, systemic risk, contagion, liquidity withdrawal, the National Banking Acts

Bank Networks and Systemic Risk: Evidence from the National Banking Acts

OFR WP 16-13
Number of pages: 59 Posted: 21 Mar 2017
Mark E. Paddrik, Haelim Anderson and Jessie Jiaxu Wang
Government of the United States of America - Office of Financial Research, Bank Policy Institute and Arizona State University (ASU) - W.P. Carey School of Business
Downloads 73 (535,241)
Citation 5

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bank networks, financial interconnectedness, systemic risk, contagion, liquidity withdrawal, National Banking Act

5.

Effects of Limit Order Book Information Level on Market Stability Metrics

Journal of Economic Interaction and Coordination, Forthcoming, Office of Financial Research Working Paper No. 14-09
Number of pages: 27 Posted: 22 Aug 2015 Last Revised: 12 Nov 2015
Mark E. Paddrik, Roy Hayes, William Scherer and Peter Beling
Government of the United States of America - Office of Financial Research, University of Virginia, University of Virginia and University of Virginia, Dept. of System & Information Engineering
Downloads 254 (200,490)
Citation 1

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6.

Agent Based Model of the E-Mini S&P 500 Future: Application for Policy Making

Proceedings of the 2012 Winter Simulation Conference
Number of pages: 12 Posted: 19 Jul 2012 Last Revised: 20 Jun 2013
Roy Hayes, Mark E. Paddrik, Andrew Todd, Steve Y. Yang, Peter Beling and William Scherer
University of Virginia, Government of the United States of America - Office of Financial Research, University of Virginia, Stevens Institute of Technology, University of Virginia, Dept. of System & Information Engineering and IEEE Intelligent Transportation Systems Society
Downloads 239 (212,761)
Citation 8

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Agent Based Model, Agent, E-MINI S&P 500, Minimum Quote Life, Policy, Rule Making

7.

An Agent-Based Model for Crisis Liquidity Dynamics

Office of Financial Research Working Paper No. 15-18
Number of pages: 36 Posted: 23 Sep 2015
Richard M. Bookstaber and Mark E. Paddrik
Fabric RQ and Government of the United States of America - Office of Financial Research
Downloads 225 (225,548)
Citation 10

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Liquidity, agent-based modeling, price impact, limit orderbook, market making

8.

Contagion in Derivatives Markets

OFR WP 16-12
Number of pages: 37 Posted: 06 Dec 2016 Last Revised: 18 Jan 2018
Mark E. Paddrik, Sriram Rajan and Peyton Young
Government of the United States of America - Office of Financial Research, Government of the United States of America - Office of Financial Research and Government of the United States of America - Office of Financial Research
Downloads 190 (263,367)
Citation 14

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Credit default swaps, stress testing, systemic risk, financial networks

9.

Interbank Contagion: An Agent-Based Model (ABM) Approach to Endogenously Formed Networks

Number of pages: 40 Posted: 10 May 2016 Last Revised: 10 Jan 2017
Steve Y. Yang, Anqi Liu, Xingjia Zhang and Mark E. Paddrik
Stevens Institute of Technology, Cardiff University - School of Mathematics, Stevens Institute of Technology and Government of the United States of America - Office of Financial Research
Downloads 175 (283,195)
Citation 1

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Interbank lending market, Agent-based simulation, Contagion risk, Network topology, Financial crisis

10.

Cross-Asset Market Order Flow, Liquidity, and Price Discovery

OFR WP 19-04
Number of pages: 57 Posted: 24 Oct 2019
Robert Garrison, Pankaj K. Jain and Mark E. Paddrik
Government of the United States of America - Office of Financial Research, University of Memphis - Fogelman College of Business and Economics and Government of the United States of America - Office of Financial Research
Downloads 173 (286,066)

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cross-market arbitrage, order flow, liquidity, market structure, automated markets

11.

How Safe are Central Counterparties in Derivatives Markets?

OFR 17-06
Number of pages: 21 Posted: 10 Nov 2017
Mark E. Paddrik and Peyton Young
Government of the United States of America - Office of Financial Research and Government of the United States of America - Office of Financial Research
Downloads 159 (307,166)
Citation 6

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Credit Default Swaps, Central Counterparties, Stress Testing, Systemic Risk, Financial Networks

12.

Revolutionizing Financial Engineering Education: Simulation-Based Strategies for Learning

Number of pages: 19 Posted: 08 Jan 2013 Last Revised: 19 Mar 2013
Matt Olfat, Mark E. Paddrik, Roy Hayes and Kari Wold
University of Virginia, Government of the United States of America - Office of Financial Research, University of Virginia and University of Virginia
Downloads 151 (320,826)
Citation 2

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market microstructure, financial engineering, simulation, education

13.

Interbank Contagion: An Agent-Based Model Approach to Endogenously Formed Networks

OFR WP 16-14
Number of pages: 45 Posted: 22 Dec 2016 Last Revised: 26 Jul 2017
Anqi Liu, Mark E. Paddrik, Steve Y. Yang and Xingjia Zhang
Cardiff University - School of Mathematics, Government of the United States of America - Office of Financial Research, Stevens Institute of Technology and Stevens Institute of Technology
Downloads 144 (333,267)
Citation 6

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Interbank lending market, agent-based simulation, contagion risk, network topology

14.

Market-Making Costs and Liquidity: Evidence from CDS Markets

Downloads 130 (360,833)
Citation 1

Market-Making Costs and Liquidity: Evidence from CDS Markets

OFR 19-01
Number of pages: 47 Posted: 13 Mar 2019
Mark E. Paddrik and Stathis Tompaidis
Government of the United States of America - Office of Financial Research and University of Texas at Austin - McCombs School of Business
Downloads 81 (503,150)
Citation 2

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credit default swaps, liquidity, market making, transaction costs

Market-Making Costs and Liquidity: Evidence from CDS Markets

OFR 19-01
Number of pages: 47 Posted: 13 Mar 2019 Last Revised: 23 Oct 2019
Mark E. Paddrik and Stathis Tompaidis
Government of the United States of America - Office of Financial Research and University of Texas at Austin - McCombs School of Business
Downloads 49 (655,932)

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15.

Assessing Financial Markets Through System Complexity Management

Number of pages: 157 Posted: 26 Feb 2014 Last Revised: 04 Jul 2014
Mark E. Paddrik
Government of the United States of America - Office of Financial Research
Downloads 121 (380,725)

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16.

Anatomy of the Repo Rate Spikes in September 2019

OFR 23-04
Number of pages: 24 Posted: 26 Apr 2023
Mark E. Paddrik, H. Peyton Young, R. Jay Kahn, Matthew McCormick and Vy Nguyen
Government of the United States of America - Office of Financial Research, Government of the United States of America - Office of Financial Research, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of Dallas and U.S. Department of the Treasury
Downloads 112 (402,589)

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Repurchase agreements, financial intermediation, market segmentation, short-term funding, rate spikes

17.

Interbank Market Formation through Reinforcement Learning and Risk Aversion

Stevens Institute of Technology School of Business Research Paper
Number of pages: 30 Posted: 29 Jun 2017 Last Revised: 26 Jul 2017
Anqi Liu, Cheuk Yin Mo, Mark E. Paddrik and Steve Y. Yang
Cardiff University - School of Mathematics, Stevens Institute of Technology - School of Business, Government of the United States of America - Office of Financial Research and Stevens Institute of Technology
Downloads 109 (410,555)

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Interbank Lending Market, Contagion Risk, Multi-Agent System, Reinforcement Learning Agent

18.

Stressed to the Core: Counterparty Concentrations and Systemic Losses in CDS Markets

OFR WP 16-01
Number of pages: 34 Posted: 10 Mar 2016
Jill Cetina, Sriram Rajan and Mark E. Paddrik
Government of the United States of America - Office of Financial Research, Government of the United States of America - Office of Financial Research and Government of the United States of America - Office of Financial Research
Downloads 100 (436,230)
Citation 6

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Credit default swaps, stress testing, systemic risk, financial networks, counterparty exposure, contagion

19.

Central Counterparty Default Waterfalls and Systemic Loss

OFR WP 20-04
Number of pages: 55 Posted: 16 Jul 2020
Mark E. Paddrik and Simpson Zhang
Government of the United States of America - Office of Financial Research and Office of Financial Research
Downloads 85 (483,810)
Citation 5

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central counterparty, systemic risk, default waterfall, financial networks, credit default swaps

20.

Regulatory Management of Distressed Financial Markets using Simulation

Winter Simulation Conference Proceedings, 2013
Number of pages: 11 Posted: 21 Aug 2012 Last Revised: 08 Jul 2013
Mark E. Paddrik and Gerard Learmonth
Government of the United States of America - Office of Financial Research and University of Virginia - Systems Engineering
Downloads 44 (671,227)

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21.

Assessing the Safety of Central Counterparties

OFR 21-02
Number of pages: 24 Posted: 16 Jul 2021
Mark E. Paddrik and Peyton Young
Government of the United States of America - Office of Financial Research and Government of the United States of America - Office of Financial Research
Downloads 31 (759,590)
Citation 1

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central counterparty, default waterfall, guarantee fund, default probability

22.

The Dynamics of the U.S. Overnight Triparty Repo Market

FEDS Notes No. 2021-08-02
Posted: 18 Aug 2021
Mark E. Paddrik, Carlos A. Ramírez and Matthew McCormick
Government of the United States of America - Office of Financial Research, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of Dallas

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23.

Visualizations for Financial Market Regulation

Posted: 18 Apr 2013 Last Revised: 16 Apr 2015
Mark E. Paddrik, Richard Haynes, Andrew Todd, William Scherer and Peter Beling
Government of the United States of America - Office of Financial Research, Government of the United States of America - Department of the Treasury, University of Virginia, IEEE Intelligent Transportation Systems Society and University of Virginia, Dept. of System & Information Engineering

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Visual Anaylsis, Financial Market Regulation, Financial Data, Electronic Order Book