Enrico Gerding

University of Southampton - School of Electronics and Computer Science (ECS)

University Road

Southampton

United Kingdom

SCHOLARLY PAPERS

8

DOWNLOADS
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Top 47,801

in Total Papers Downloads

1,098

SSRN CITATIONS

4

CROSSREF CITATIONS

2

Scholarly Papers (8)

1.

Artificial Neural Networks in Fixed Income Markets for Yield Curve Forecasting

Number of pages: 13 Posted: 23 Mar 2018
University of Southampton - Department of Electronics and Computer Science, University of Southampton - School of Electronics and Computer Science (ECS), University of Southampton - Southampton Business School and University of Southampton - Department of Electronics and Computer Science
Downloads 639 (49,266)
Citation 2

Abstract:

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machine learning, neural network, multitask learning, yield curve forecasting, yield forecasting, bond market

2.

The Memory Advantage of Long Short-Term Memory Networks for Bond Yield Forecasting

Number of pages: 13 Posted: 12 Jul 2019
University of Southampton - Department of Electronics and Computer Science, University of Southampton - School of Electronics and Computer Science (ECS), University of Southampton - Southampton Business School and University of Southampton - Department of Electronics and Computer Science
Downloads 239 (153,406)
Citation 1

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machine learning, multilayer perceptron, recurrent neural network, long short-term memory network, yield forecasting, bond market

3.

It Takes All Sorts: A Heterogeneous Agent Explanation of State-Contingent Claims Mispricing

Number of pages: 41 Posted: 26 Oct 2016
University of Southampton - Southampton Business School, University of Southampton - Southampton Business School, University of Southampton - School of Electronics and Computer Science (ECS) and University of Southampton
Downloads 72 (381,658)
Citation 2

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Heterogeneous Agents, Mispricing, State-Contingent Claims, Favourite-Longshot Bias, Prospect Theory, Agent-Based Simulations, Sports Betting Markets

4.

Margin Requirements and Systemic Liquidity Risk

Bakoush, M., Gerding, E. H., & Wolfe, S. (2019). Margin requirements and systemic liquidity risk. Journal of International Financial Markets, Institutions and Money, 58, 78-95.
Number of pages: 35 Posted: 16 Jan 2018 Last Revised: 22 Dec 2019
Mohamed Bakoush, Enrico Gerding and Simon Wolfe
University of Southampton - Southampton Business School, University of Southampton - School of Electronics and Computer Science (ECS) and University of Southampton - Southampton Business School
Downloads 65 (403,163)
Citation 1

Abstract:

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Margin Procyclicality; Funding Liquidity Risk; Systemic Risk; Contagion; Networks; Agent-Based Modelling

5.

An Integrated Macroprudential Stress Test of Bank Liquidity and Solvency

Southampton Business School Working Paper Series # 16-86
Number of pages: 45 Posted: 27 Nov 2017 Last Revised: 16 May 2019
Mohamed Bakoush, Enrico Gerding and Simon Wolfe
University of Southampton - Southampton Business School, University of Southampton - School of Electronics and Computer Science (ECS) and University of Southampton - Southampton Business School
Downloads 40 (498,459)

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Solvency; Liquidity; Macroprudential Policy; Stress Testing; Systemic Risk; Networks

6.

Interest Rate Swaps Clearing and Systemic Risk

Bakoush, M., Gerding, E.H. and Wolfe, S., 2019. Interest rate swaps clearing and systemic risk. Finance Research Letters.
Number of pages: 13 Posted: 29 Jan 2020
Mohamed Bakoush, Enrico Gerding and Simon Wolfe
University of Southampton - Southampton Business School, University of Southampton - School of Electronics and Computer Science (ECS) and University of Southampton - Southampton Business School
Downloads 22 (597,522)

Abstract:

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Margin procyclicality; Funding liquidity risk; Systemic risk; Contagion; Networks

7.

The Impact of Transaction Costs on State-Contingent Claims Mispricing

Number of pages: 8 Posted: 30 Nov 2016
University of Southampton - Southampton Business School, University of Southampton - Southampton Business School, University of Southampton - School of Electronics and Computer Science (ECS) and University of Southampton
Downloads 21 (604,200)

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Transaction Costs, Pricing Anomalies, Heterogeneous Agents, State-Contingent Claims, Favorite-Longshot Bias

8.

Margin Procyclicality and Systemic Risk

Posted: 24 Apr 2017 Last Revised: 30 Jan 2018
Mohamed Bakoush, Enrico Gerding and Simon Wolfe
University of Southampton - Southampton Business School, University of Southampton - School of Electronics and Computer Science (ECS) and University of Southampton - Southampton Business School

Abstract:

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Margin Procyclicality; Funding Liquidity Risk; Systemic Risk; Contagion; Networks; Agent-Based Modelling.