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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.

Knowledge protection in firms: A conceptual framework and evidence from HP Labs (2018)
Journal Article
Elliot, K., Patacconi, A., Swierzbinski, J., & Williams, J. (2019). Knowledge protection in firms: A conceptual framework and evidence from HP Labs. European Management Review, 16(1), 179-193. https://doi.org/10.1111/emre.12336

This paper proposes a simple framework to examine organizational methods of knowledge protection. The framework highlights a basic trade‐off between improving decision‐making and innovation through communication and mitigating security risks by impos... Read More about Knowledge protection in firms: A conceptual framework and evidence from HP Labs.

Resilience in Information Stewardship (2018)
Journal Article
Ioannidis, C., Pym, D., Williams, J., & Gheyas, I. (2019). Resilience in Information Stewardship. European Journal of Operational Research, 274(2), 638-653. https://doi.org/10.1016/j.ejor.2018.10.020

Information security is concerned with protecting the confidentiality, integrity, and availability of information systems. System managers deploy their resources with the aim of maintaining target levels of these attributes in the presence of reactiv... Read More about Resilience in Information Stewardship.

FuturesMEX: Secure Distributed Futures Market Exchange (2018)
Presentation / Conference Contribution
Massacci, F., Ngo, C., Nie, J., Venturi, D., & Williams, J. (2018, May). FuturesMEX: Secure Distributed Futures Market Exchange. Presented at 2018 IEEE Symposium on Security and Privacy (SP)., San Francisco, CA, USA

In a Futures-Exchange, such as the Chicago Mercantile Exchange, traders buy and sell contractual promises (futures) to acquire or deliver, at some future pre-specified date, assets ranging from wheat to crude oil and from bacon to cash in a desired c... Read More about FuturesMEX: Secure Distributed Futures Market Exchange.

The seconomics (security-economics) vulnerabilities of Decentralized Autonomous Organizations (2017)
Presentation / Conference Contribution
Massacci, F., Ngo, C., Nie, J., Venturi, D., & Williams, J. (2017, March). The seconomics (security-economics) vulnerabilities of Decentralized Autonomous Organizations. Presented at 25th Cambridge International Workshop on Security Protocols, Cambridge, England

Traditionally, security and economics functionalities in IT financial services and protocols (FinTech) have been perceived as separate objectives. We argue that keeping them separate is a bad idea for FinTech “Decentralized Autonomous Organizations”... Read More about The seconomics (security-economics) vulnerabilities of Decentralized Autonomous Organizations.

Contagion in cyber security attacks (2017)
Journal Article
Baldwin, A., Gheyas, I., Ioannidis, C., Pym, D., & Williams, J. (2017). Contagion in cyber security attacks. Journal of the Operational Research Society, 68(7), 780-791. https://doi.org/10.1057/jors.2016.37

Systems security is essential for the efficient operation of all organizations. Indeed, most large firms employ a designated ‘Chief Information Security Officer’ to coordinate the operational aspects of the organization’s information security. Part o... Read More about Contagion in cyber security attacks.

The Work-Averse Cyber Attacker Model: Theory and Evidence From Two Million Attack Signatures (2017)
Preprint / Working Paper
Allodi, L., Massacci, F., & Williams, J. The Work-Averse Cyber Attacker Model: Theory and Evidence From Two Million Attack Signatures

A common presumption is that the typical cyber attacker is assumed to exploit all possible vulnerabilities with almost equal likelihood. That is, the probability of an attack on a given vulnerability is at maximum entropy, one cannot importance sampl... Read More about The Work-Averse Cyber Attacker Model: Theory and Evidence From Two Million Attack Signatures.

Economic Impacts of Rules- versus Risk-Based Cybersecurity Regulations for Critical Infrastructure Providers (2016)
Journal Article
Massacci, F., Ruprai, R., Collinson, M., & Williams, J. (2016). Economic Impacts of Rules- versus Risk-Based Cybersecurity Regulations for Critical Infrastructure Providers. IEEE Security and Privacy, 14(3), 52-60. https://doi.org/10.1109/msp.2016.48

What's the optimal way to regulate cybersecurity for the critical infrastructure operators in charge of electricity transmission? Should regulation follow the US style (a mostly rules-based model), the EU approach (which is mostly risk-based), or a b... Read More about Economic Impacts of Rules- versus Risk-Based Cybersecurity Regulations for Critical Infrastructure Providers.

Agency Problems and Airport Security: Quantitative and Qualitative Evidence on the Impact of Security Training (2016)
Journal Article
de Gramatica, M., Massacci, F., Shim, W., Turhan, U., & Williams, J. (2017). Agency Problems and Airport Security: Quantitative and Qualitative Evidence on the Impact of Security Training. Risk Analysis, 37(2), 372-395. https://doi.org/10.1111/risa.12607

We analyze the issue of agency costs in aviation security by combining results from a quantitative economic model with a qualitative study based on semi-structured interviews. Our model extends previous principal-agent models by combining the traditi... Read More about Agency Problems and Airport Security: Quantitative and Qualitative Evidence on the Impact of Security Training.

Action, Inaction, Trust, and Cybersecurity’s Common Property Problem (2016)
Journal Article
Elliott, K., Massacci, F., & Williams, J. (2016). Action, Inaction, Trust, and Cybersecurity’s Common Property Problem. IEEE Security and Privacy, 14(1), 82-86. https://doi.org/10.1109/msp.2016.2

Cybersecurity tends to be viewed as a highly dynamic, continually evolving technology race between attacker and defender. However, economic theory suggests that in many cases doing "nothing" is the optimal strategy when substantial fixed adjustment c... Read More about Action, Inaction, Trust, and Cybersecurity’s Common Property Problem.