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Home FIR Faculty & Research Financial Infrastructure Stability & Cyber-Security (FISC) Center
Inside Look of the FCBE Cook Lab
 

Financial Infrastructure Stability & Cyber-Security (FISC) Center

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The Goal of the Financial Infrastructure Stability and Cyber-security (FISC) Center at the University of Memphis (Carnegie R1 classification for very high research activity) 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
  • Neuromarketing and Consumer Behavior: Dr. George Deitz, Associate Professor, Department of Marketing & Supply Chain Management

Volunteer Industry Experts

  • Fixed Income, Capital Markets, Fintech and AI: Stephen K. Valadié, CFA. SVP, Fintech Strategy / AI. First Horizon Bank

Faculty Recognition

Congratulations to coach Professor Napoleon Overton and our Finance student Tigers, Kaitlyn Flint and EJ Hilario, for winning the 2nd place in the 2022 CFA Global Research Challenge Local Competition. 

Congratulations to coach Professor Napoleon Overton and his team of finance students for their efforts in the Cook Analytics & Trading lab year-round! Recently, they have been recognized with the TVA Investment Challenge Program award for significantly outperforming the market in competition with 25 top Universities. Overton's students now have a record of outperforming the S&P over the past 1-, 3- and 5-year horizons, a result that most professional money managers would find extremely hard to match.
For more details, please visit https://lnkd.in/dPptKYwc

Congratulations to Dr. Konstantin Sokolov in receiving the Dimensional Fund Advisors 1st Place Prize for the Best Paper in The Journal of Finance at the American Finance Association annual meeting. The Journal of Finance is consistently ranked as the best finance journal. Its articles continuously define the next generations of finance research.
To read more, please visit https://lnkd.in/d8TMXfNu

Project Leaders

  • Erika Blair McGrew: Board of Directors Gender Diversity and Information Asymmetry
  • Christopher Butler: CFTC (Commodity Futures Trading Commission) municipal pension fund interest rate swap usage
  • David Taylor: Organizational structure of stock exchanges around the world
  • Kelley Anderson: Foreign institutional ownership and price efficiency
  • Md Jobaer Hossain: Intra-day interconnectedness of leveraged ETF markets
  • Rasheek Irtisam: Management tone, informed trading and text analytics
  • 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.

Center Publications

Ransomware Activity and Blockchain Congestion, Konstantin Sokolov, Journal of Financial Economics, 2021. https://doi.org/10.1016/j.jfineco.2021.04.015

An Examination of the NYSE’s Retail Liquidity Program, Pankaj K. Jain, Jared Linna, Thomas H McInish, The Quarterly Review of Economics and Finance, 80, 367-373, 2021.

Commonality in Liquidity and Multilateral Trading Facilities. Pankaj K. Jain, M. Mekhaimer, Sandra Mortal, Financial Review 55(3), 1–22, 2020. https://doi.org/10.1111/fire.12225

Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs. Andriy Shkilko and Konstantin Sokolov, Journal of Finance, forthcoming 2020. https://onlinelibrary.wiley.com/doi/abs/10.1111/jofi.12969

Insights from Bitcoin Trading. Pankaj K. Jain, Thomas H. McInish, and Jonathan Miller. Fintech Special Issue, Financial Management, forthcoming, 2019.

Intraday price behavior of cryptocurrencies. Bill Hu, Thomas McInish, Jonathan Miller, Li Zeng, 2018, Financial Research Letters.

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

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.

 

Conference Presentations

Impact of Foreign Ownership on Price Efficiency. Kelley Anderson, Pankaj Jain, and Seung Won Woo. Southern Finance Conference. Key West, FL.

 

Materials from past FISC cross-disciplinary workshops

download workshop materials

1. Connecting to server 72 and server 4200

2. Using HPC (High Performance Computing) Server

3. WRDS, CRSP, and Compustat

4. Bloomberg Terminal

5. TAQ

6. Japanese NEEDS data

7. Datastream

8. Ancerno Institutional Trading Dataset

9. Short Selling datasets

10. Financial Data Analysis using python

11. Textual Analysis in Finance

12. Big data, ML, and alternative data

13. ITCH Data

14. Cerner Healthcare data

15. Research Grants

16. Lexis-Nexis: Download conference call transcripts

17. HPC code automation using Python

18. BoardEx

19. Ravenpack

20. VWAP

21. Elearn Basics

22. YouGov daily brand index data

23. WRDS back testing

24. Thomson Reuters Eikon

25. Retail Order Imbalance

26. Bond Liquidity

27. Price Jump Ratio

28. Daily Stock Volatility from Intraday (5-min) Return

 

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

Nirmol Das
FISC Manager
901.678.5930 | Email Nirmol