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

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 11,956

SSRN RANKINGS

Top 11,956

in Total Papers Downloads

3,310

CITATIONS

8

Scholarly Papers (16)

1.

Behavior Based Learning in Identifying High Frequency Trading Strategies

Number of pages: 8 Posted: 08 Nov 2011
Stevens Institute of Technology, Government of the United States of America - Office of Financial Research, University of Virginia, University of Virginia, Imperial College London - Centre for Global Finance and Technology, University of Virginia, Dept. of System & Information Engineering and IEEE Intelligent Transportation Systems Society
Downloads 1,228 (9,117)

Abstract:

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
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 406 (48,518)
Citation 5

Abstract:

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 K. 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 200 (102,767)

Abstract:

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

4.

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
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 153 (162,924)

Abstract:

5.

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
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 149 (131,234)
Citation 3

Abstract:

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

6.

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 Jr. 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 85 (215,444)

Abstract:

market microstructure, financial engineering, simulation, education

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

Number of pages: 54 Posted: 29 Sep 2016 Last Revised: 20 Dec 2016
Mark E. Paddrik, Haelim Park and Jessie Jiaxu Wang
Government of the United States of America - Office of Financial Research, Government of the United States of America - Office of Financial Research and Arizona State University (ASU) - W.P. Carey School of Business
Downloads 56 (320,302)

Abstract:

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 Park and Jessie Jiaxu Wang
Government of the United States of America - Office of Financial Research, Government of the United States of America - Office of Financial Research and Arizona State University (ASU) - W.P. Carey School of Business
Downloads 27 (427,527)

Abstract:

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

8.

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 35 (235,452)

Abstract:

9.

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 P. Learmonth Sr.
Government of the United States of America - Office of Financial Research and University of Virginia - Systems Engineering
Downloads 26 (416,017)

Abstract:

10.

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
Board of Regents - University of California Office of the CIO and Government of the United States of America - Office of Financial Research
Downloads 5 (254,859)

Abstract:

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

11.

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
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 0 (446,225)

Abstract:

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

12.

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 0 (302,692)

Abstract:

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

13.

Contagion in the CDS Market

OFR WP 16-12
Number of pages: 30 Posted: 06 Dec 2016
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 0 (279,305)

Abstract:

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

14.

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 0 (237,089)

Abstract:

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

15.

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 0 (264,536)

Abstract:

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

16.

Visualizations for Financial Market Regulation

Posted: 18 Apr 2013 Last Revised: 16 Apr 2015
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

Abstract:

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