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The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets (2022)
Journal Article
Nie, J., Malagon, J., & Williams, J. (2022). The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets. Journal of Futures Markets, 42(8), 1434-1465. https://doi.org/10.1002/fut.22339

This paper intends to characterize the effect of high-frequency quoting (HFQ) on the execution risk of Eurodollar futures. We construct a unique data set to capture the quoting and trading activities within the limit order book, which allows us to cl... Read More about The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets.

Practical Witness-Key-Agreement for Blockchain-based Dark Pools Financial Trading (2021)
Book Chapter
Ngo, C. N., Massacci, F., Kerschbaum, F., & Williams, J. (2021). Practical Witness-Key-Agreement for Blockchain-based Dark Pools Financial Trading. In N. Borisov, & C. Diaz (Eds.), Financial Cryptography and Data Security 25th International Conference, FC 2021, Virtual Event, March 1–5, 2021, Revised Selected Papers, Part II (579-598). Springer Verlag. https://doi.org/10.1007/978-3-662-64331-0_30

We introduce a new cryptographic scheme, Witness Key Agreement (WKA), that allows a party to securely agree on a secret key with a counter party holding publicly committed information only if the counter party also owns a secret witness in a desired... Read More about Practical Witness-Key-Agreement for Blockchain-based Dark Pools Financial Trading.

JUNE: open-source individual-based epidemiology simulation (2021)
Journal Article
Aylett-Bullock, J., Cuesta-Lazaro, C., Quera-Bofarull, A., Icaza-Lizaola, M., Sedgewick, A., Truong, H., Curran, A., Elliott, E., Caulfield, T., Fong, K., Vernon, I., Williams, J., Bower, R., & Krauss, F. (2021). JUNE: open-source individual-based epidemiology simulation. Royal Society Open Science, 8(7), https://doi.org/10.1098/rsos.210506

We introduce June, an open-source framework for the detailed simulation of epidemics on the basis of social interactions in a virtual population constructed from geographically granular census data, reflecting age, sex, ethnicity and socio-economic i... Read More about JUNE: open-source individual-based epidemiology simulation.

The Work-Averse Cyber Attacker Model: Theory and Evidence From Two Million Attack Signatures (2021)
Journal Article
Allodi, L., Massacci, F., & Williams, J. (2022). The Work-Averse Cyber Attacker Model: Theory and Evidence From Two Million Attack Signatures. Risk Analysis, 42(8), 1623-1642. https://doi.org/10.1111/risa.13732

The assumption that a cyber attacker will potentially exploit all present vulnerabilities drives most modern cyber risk management practices and the corresponding security investments. We propose a new attacker model, based on dynamic optimization, w... Read More about The Work-Averse Cyber Attacker Model: Theory and Evidence From Two Million Attack Signatures.

Testing the Eigenvalue Structure of Spot and Integrated Covariance (2021)
Journal Article
Dovonon, P., Taamouti, A., & Williams, J. (2022). Testing the Eigenvalue Structure of Spot and Integrated Covariance. Journal of Econometrics, 229(2), 363-395. https://doi.org/10.1016/j.jeconom.2021.02.006

For vector Itˆo semimartingale dynamics, we derive the asymptotic distributions of likelihoodratio-type test statistics for the purpose of identifying the eigenvalue structure of both integrated and spot covariance matrices estimated using high-frequ... Read More about Testing the Eigenvalue Structure of Spot and Integrated Covariance.

Asset Securitizations and Bank Stability:Evidence from Different Banking Systems (2020)
Journal Article
Abdelsalam, O., Elnahass, M., Ahmed, H., & Williams, J. (2022). Asset Securitizations and Bank Stability:Evidence from Different Banking Systems. Global Finance Journal, 51, Article 100551. https://doi.org/10.1016/j.gfj.2020.100551

The impact of asset securitization on the risk and performance (i.e. financial stability) of banks, both individually and systemically, is the subject of substantial debate by financial regulators and practitioners. This paper is the first to empiric... Read More about Asset Securitizations and Bank Stability:Evidence from Different Banking Systems.

Forecasting Options Prices Using Discrete Time Volatility Models Estimated at Mixed Timescales (2020)
Journal Article
Calice, G., Chen, J., & Williams, J. (2020). Forecasting Options Prices Using Discrete Time Volatility Models Estimated at Mixed Timescales. The journal of derivatives, 27(3), 45-74. https://doi.org/10.3905/jod.2019.1.094

Option pricing models have traditionally utilized continuous-time frameworks to derive solutions or Monte Carlo schemes to price the contingent claim. Typically these models were calibrated to discrete-time data using a variety of approaches. Recent... Read More about Forecasting Options Prices Using Discrete Time Volatility Models Estimated at Mixed Timescales.

Who should pay for interdependent risk? Policy implications for security interdependence among airports (2020)
Journal Article
Williams, J., Kuper, G., & Massacci, F. (2020). Who should pay for interdependent risk? Policy implications for security interdependence among airports. Risk Analysis, 40(5), 1001-1019. https://doi.org/10.1111/risa.13454

We study interdependent risks in security, and shed light on the economic and policy implications of increasing security interdependence in presence of reactive attackers. We investigate the impact of potential public policy arrangements on the secur... Read More about Who should pay for interdependent risk? Policy implications for security interdependence among airports.