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
Computational analysis of political texts and the political implications of security intrusions: Dr. Leah Windsor, Research Assistant Professor, Institute for Intelligent Systems
Fintech and Cybersecurity: Dr. Konstantin Sokolov, Assistant Professor of Finance
Volunteer Industry Experts
Fixed Income, Capital Markets, Fintech and AI: Stephen K. Valadié, CFA. SVP, Fintech Strategy / AI. First Tennessee Bank
- 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: Management tone and informed trading
- Rob Vaughn: Non-normal and non-linear models, Spirals, and Statistical Training
- Shawn McFarland: Short term dynamic price limits: The limit up limit down and special quote rules
- 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
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.
Intraday price behavior of cryptocurrencies. Bill Hu, Thomas McInish, Jonathan Miller, Li Zeng, 2018, Financial Research Letters.
Impact of Foreign Ownership on Price Efficiency. Kelley Anderson, Pankaj Jain, and Seung Won Woo. Southern Finance Conference. Key West, FL.
Using Stochastic Ordering to Test for Treatment Related Trend with Clustered Data. Keynote Address at the Annual Fall Meeting of The Western Chapter of the American Statistical Association: by E. Olusegun George
Olúṣẹ́gun George. American Statistical Association Symposium on Statistical Inference, Statistical Inference in the 21st Century: A World Beyond P <0.05. October 11–13, 2017, Bethesda, Maryland.
Workshops on "Big Data Analytics" @Cook Lab / FCB 129 (Fall, 2019)
Workshops on "Big Data Analytics" @Cook Lab / FCB 129 (Summer, 2019)
Workshops on "Big Data Analytics" @Cook Lab / FCB 129 (Fall, 2018)
Workshops on "Big Data Analytics" @Cook Lab (Apr- Jun, 2018)
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.
901.678.5930 | Email Rasheek