PhD Studies (thesis 6MB)
Serafin Martinez-Jaramillo joined the
Computational Finance
Group at University of Essex
in 2002 as a PhD student.
He registered under the
Centre for Computational Finance and Economic Agents (CCFEA)
and was supervised by
Edward Tsang
(Department of Computer Science) and
Sheri Markose
(Department of Economics).
Serafin passed his PhD viva on 29th June 2007 with minor corrections.
He was examined by Bruce Edmonds (External Examiner, Manchester Metropolitan University, Centre for Policy Modelling,
an authority in modelling)
and Dietmar Maringer (Internal Examiner, CCFEA,
an authority in portfolio optimization).
Research and Contributions
Serafin's project demands non-trivial knowledge in both economics and computation.
In his PhD, Serafin produced a framework,
CHASM (Co-evolutionary Heterogeneous Artificial Stock Market), for research in artificial markets.
CHASM supports modelling of fundamental characteristics of real markets by instantiating different types and numbers of agents
(including fundamental, technical, noise or hybrid agents).
Technical traders are based on EDDIE, which were able to learn and improve its performance in the market.
This is the first piece of work of the kind that has produced prices exhibiting stylised facts,
(i.e. similar to real market prices in terms of their statistical properties)
without experimenter's intervention.
Another major contribution of Serafin is that he has also identified minimum conditions under which stylised facts are exhibited.
Post Doctorate
From October 2006, Serafin worked as a financial analyst at the Mexican Central Bank.
Maintained by Edward Tsang;
updated 4 November 2007
