The aim of this Faraday Partnership project was to develop and include a model of price dynamics into calculations of uncertainty and risk. A realistic price dynamics model was formulated using agent-based simulations and generalised stochastic models. The outcome is a better ability to account for extreme market events, such as crashes, when calculating uncertainty and risk.

Project staff and support

David Buttle (Postgraduate Faraday Associate, University of Oxford)
Sam Howison (Academic supervisor, University of Oxford)
John Pickford (Industrial supervisor, Informix)
David Allwright (Technology Translator, Smith Institute)

This project was carried out at the University of Oxford, in conjunction with IBM Informix. It was supported by an EPSRC Industrial CASE award, made available through the Faraday Partnership for Industrial Mathematics. Start date: October 2001; duration: 3 years.