Inside Look of the FCBE Cook Lab

Financial Infrastructure Stability and Cyber-security (FISC) Center

The Goal of the Financial Infrastructure Stability and Cyber-security (FISC) Center is to identify systemic threats to financial infrastructure stability and market resiliency by applying big data analytics and advanced statistical techniques to financial data.

The center has the capacity to process large datasets, bring additional datasets, read distributed ledgers generated by blockchain technology (FINTECH) and extend the analysis to cyber-security applications by engaging full time faculty and PhD/graduate students in Finance, Statistics, and Computer Sciences. FISC's research projects include financial impact of regulations, market design, technology and its risks, social media, big data and analytics, Bayesian and non-Bayesian statistical modeling, illiquidity and loss-spirals, and institutional ownership and trades. FISC faculty are also interested in Cybersecurity research on topics currently being funded by government agencies and relevant to industry include Anonymous Networks & Currencies (Cryptocurrencies), Cyber Risk Economics (CyRiE), Cyber Security Forensics, Cybersecurity Competitions, Enterprise Level Security Metrics and Usability, and Insider Threats.

The Cook Analytics & Trading Lab hosts the security microstructure data sets, servers, and 12 Bloomberg terminals with real-time and historic information on a variety of markets including equities, fixed income, government securities, commodities and foreign currency markets. The size of the microstructure datasets, NYSE's Trade and Quote (TAQ) and Nasdaq's order message data (ITCH) together represent more than 1 TB of data per day. Datastream International provides international coverage. Additionally WRDS access is available for CRSP and Compustat. The Lab has the data for several years going back from the time before the 2008 Financial Crisis all the way to the current year.

FISC Faculty Expertise

  • Financial Market Design: Dr. PK Jain, George Johnson Professor of Finance
  • Market Microstructure and Trading: Dr. Tom McInish, Wunderlich Chair of Excellence in Finance
  • Statistical Modeling: E. Olúṣẹ́gun George, Professor and Graduate Coordinator, Statistics
  • Computer Science, Cybersecurity, and Bio-inspired computing: Dr. Dipankar Dasgupta, Dr. Pat E. Burlison Professor of Computer Science
  • Cyber-security science and managerial issues: Dr. Robin Poston, Professor and Chair, Department of Business Information and Technology
  • IT enabled control and Strategic Information Management: Dr. Bill Kettinger, Professor and FedEx Chair of Excellence in MIS, Department of Business Information and Technology
  • Open Source Software Development: Dr. Chen Zhang, Associate Professor, Department of Business Information and Technology
  • Computational analysis of political texts and the political implications of security intrusions: Dr. Leah Windsor, Research Assistant Professor, Institute for Intelligent Systems

Project Leaders

David Taylor: Organizational structure of stock exchanges around the world
Jianning: Multimarket liquidity before and after introduction of IEX
John Kubi: Bayesian techniques for systemic risk extension, joint statistical estimation
Jonathan Miller: Determining the price efficiency and market structure of Bitcoin and other major cryptocurrencies
Kelley Anderson: Foreign institutional ownership and price efficiency
Long Ma: Market liquidity and volume effects of SEC comment letter disclosures
Md Jobaer Hossain: Intra-day interconnectedness of leveraged ETF markets
Prajakta Kotle: SIP (Securities Information Processor) outage and trading activities
Rasheek Irtisam: Social media impact on stock market and risks
Rob Vaughn: Non-normal and non-linear models, Spirals, and Statistical Training
Vivek Sharma: Institutional trading
Wei Sun: Time clustering, leading indicators of stress, and collecting and standardizing financial data and summary metrics of TAQ and ITCH and other big data for public consumption.
Will Zhang: Market fairness, market efficiency, and algorithmic trading

Center Publications

Does High Frequency Trading Increase Systemic Risk? Pankaj Jain, Pawan Jain, and Thomas H. McInish, 2016, Journal of Financial Markets 31, 1-24. Lead Article.

Permanent Price Impact Asymmetry of Trades with Institutional Constraints. Chiyachantana Chiraphol, Pankaj Jain, Christine Jiang, and Vivek Sharma, Journal Financial Markets, 2017, Lead Article.

Past Events

March 31, 2017. Legal aspects of cryptocurrencies by Boris Mamlyuk, Associate Professor of Law
May 9, 2017. Discussion on Applying Bayesian Statistics to analyze financial data by Olúṣẹ́gun George, Professor of Statistics.
July 28, 2017. Presentation on Systematic Risk Measures of Stock Market by Dr. Pankaj Jain
Aug 11, 2017: Project presentation on Price efficiency of Bitcoin and other cryptocurrencies by PhD student Jonathan Miller

How can you support FISC:

Join major university supporters who help build FISC capacity by providing grants and scholarships for research faculty, students, capital acquisitions, data and softwares. 

Contact us:

Rasheek Irtisam
FISC Project Manager
901.678.5930 | Email: rirtisam@memphis.edu