Enrico Gerding

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

University Road

Southampton

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS

619

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (7)

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 416 (69,596)
Citation 1

Abstract:

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

2.

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 62 (350,738)
Citation 1

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

3.

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 50 (391,553)

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

4.

Margin Requirements and Systemic Liquidity Risk

Number of pages: 35 Posted: 16 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 - School of Management
Downloads 50 (388,185)

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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 - School of Management
Downloads 23 (504,365)

Abstract:

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

6.

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 18 (533,611)

Abstract:

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

7.

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 - School of Management

Abstract:

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