Research

Research in Progress

M. Flood, D. Kenett, R. Lumsdaine, and J. Simon, "The Complexity of Bank Holding Companies: A Topological Approach", NBER Working Paper, No. 23755, August 2017.
M. Flood, P. Monin, and M. Bandyopadhyay, "Gauging Form PF: Data Tolerances in Regulatory Reporting on Hedge Fund Risk Exposures", OFR Working Paper, No. 15-13, July 2015.
M. Flood, J. Liechty, and T. Piontek, "Systemwide Commonalities in Market Liquidity", OFR Working Paper, No. 15-11, May 2015.
M. Flood, and O. Goodenough, "Contract as Automaton: The Computational Representation of Financial Agreements", OFR Working Paper, No. 15-04, March 2015.
M. Flood, J. Katz, S. Ong, and A. Smith, "Cryptography and the Economics of Supervisory Information: Balancing Transparency and Confidentiality", OFR Working Paper, No. 0011, September 2013.

Published Research

L. Fan, and M. Flood, "An Ontology of Ownership and Control Relations for Bank Holding Companies", proceedings paper, DSMM'18: Proceedings of the International Workshop on Data Science for Macro-Modeling (2018 ACM SIGMOD Conference), Houston, TX, USA, June, 2018.
J. Chen, M. Flood, and R. Sowers, "Measuring the Unmeasurable: An application of uncertainty quantification to Treasury bond portfolios", Quantitative Finance, 17(10), October 2017, 1491-1507.
L. Fan, and M. Flood, "An Ontology of Form PF", proceedings paper, DSMM'16: Proceedings of the International Workshop on Data Science for Macro-Modeling (2016 ACM SIGMOD Conference), San Francisco, CA, USA, July, 2016.
M. Flood, H. V. Jagadish, and L. Raschid, "Big Data Challenges and Opportunities in Financial Stability Monitoring", Financial Stability Review, 20, Banque de France, April 2016, 129-142.
M. Flood, and P. Monin, "Form PF and the Systemic Risk of Hedge Funds: Risk Measurement Precision for Option Portfolios", Journal of Alternative Investments, 18(4), Spring 2016, 125-147.
M. Flood, V. L. Lemieux, M. Varga, and B. L. Wong, "The Application of Visual Analytics to Financial Stability Monitoring", Journal of Financial Stability, 27, December 2016, 180-197.
M. Flood, and G. Korenko, "Systematic Scenario Selection: Stress Testing and the Nature of Uncertainty", Quantitative Finance, 15(1), January 2015, 43-59.
B. Ball, M. Flood, H. V. Jagadish, J. Langsam, L. Raschid, and P. Wiriyathammabhum, "A Flexible and Extensible Contract Aggregation Framework (CAF) for Financial Data Stream Analytics", proceedings paper, DSMM'14: Proceedings of the International Workshop on Data Science for Macro-Modeling (2014 ACM SIGMOD Conference), Snowbird, UT, USA, June, 2014.
V. Lemieux, P. Rahmdel, R. Walker, B. W. Wong, and M. Flood, "Clustering Techniques And their Effect on Portfolio Formation and Risk Analysis", proceedings paper, DSMM'14: Proceedings of the International Workshop on Data Science for Macro-Modeling (2014 ACM SIGMOD Conference), Snowbird, UT, USA, June, 2014.
R. Bookstaber, J. Cetina, G. Feldberg, M. Flood, and P. Glasserman, "Stress Tests to Promote Financial Stability: Assessing Progress and Looking to the Future", Journal of Risk Management in Financial Institutions, 7(1), Winter 2014, 16-25.
M. Flood, "A Brief History of Financial Risk and Information", Handbook of Financial Data and Risk Information, Volume I: Context , M. Brose, M. Flood, D. Krishna, and W. Nichols, eds., Cambridge University Press, 2014, Ch. 1: 8-32.
M. Brose, M. Flood, D. Rowe, "Risk Management Data and Information for Improved Insight", Handbook of Financial Data and Risk Information, Volume I: Context , M. Brose, M. Flood, D. Krishna, and W. Nichols, eds., Cambridge University Press, 2014, Ch. 9: 328-380.
M. Flood, S. Kwan, I. Leonova, "Data for Microprudential Supervision of U.S. Banks", Handbook of Financial Data and Risk Information, Volume I: Context , M. Brose, M. Flood, D. Krishna, and W. Nichols, eds., Cambridge University Press, 2014, Ch. 11: 426-489.
M. Flood, A. Mendelowitz, and W. Nichols, "Monitoring Financial Stability in a Complex World", Financial Analysis and Risk Management: Data Governance, Analytics and Life Cycle Management , V. Lemieux, ed., Springer Verlag, 2013, Ch. 2: 15-46.
D. Bisias, M. Flood, A. Lo, and S. Valavanis, "A Survey of Systemic Risk Analytics", Annual Review of Financial Economics, 4, 2012, 255-296.
L. Raschid, H. V. Jagadish, M. Flood, F. Olken, and A. Kyle, "Using Data for Systemic Financial Risk Management", proceedings paper, Biennial Conference on Innovative Data Systems Research (CIDR), Asilomar, CA, USA, January 2011, 2011, 144-147.
M. Flood, K. Koedijk, M. van Dijk, and I. van Leeuwen, "Securities Trading, Asymmetric Information, and Market Transparency", Handbook of Trading: Strategies for Navigating and Profiting From Currency, Bond, Stock Markets, G. Gregoriou, ed., Chapter 22, McGraw-Hill (ISBN: 9780071743532), 2010, 319-342.
M. Flood, "Embracing Change: Financial Informatics and Risk Analytics", Quantitative Finance, 9(3), April 2009, 243-256.
M. Flood, R. Huisman, K. Koedijk, and R. Mahieu, "Quote Disclosure and Price Discovery in Multiple Dealer Financial Markets", Review of Financial Studies, 12(1), Spring 1999, 37-59.
  • Lead article
M. El-Makkoui, and M. Flood, "Put-call Parity Revisited: Intradaily Tests in the Foreign Currency Options Market", Journal of International Financial Markets, Institutions and Money, 8(3/4), November 1998, 357-376.
M. Flood, "Market Structure and Inefficiency in the Foreign Exchange Market", Journal of International Money and Finance, 13(2), April 1994, 131-158.
  • Lead article
M. Flood, "Two Faces of Financial Innovation", Review, Federal Reserve Bank of St. Louis, September/October 1992, 3-17.
M. Flood, "The Great Deposit Insurance Debate", Review, Federal Reserve Bank of St. Louis, July/August 1992, 51-77.
M. Flood, "Microstructure Theory and the Foreign Exchange Market", Review, Federal Reserve Bank of St. Louis, November/December 1991, 52-70.
M. Flood, "An Introduction to Complete Markets", Review, Federal Reserve Bank of St. Louis, March/April 1991, 32-57.
M. Flood, "On the Use of Option Pricing Models to Analyze Deposit Insurance", Review, Federal Reserve Bank of St. Louis, January/February 1990, 19-35.

Books

M. Brose, M. Flood, D. Krishna, and B. Nichols (eds.), The Handbook of Financial Data and Risk Information, Volume I: Context , Cambridge University Press (ISBN: 1107012015), February 2014.
M. Brose, M. Flood, D. Krishna, and B. Nichols (eds.), The Handbook of Financial Data and Risk Information, Volume II: Implementation , Cambridge University Press (ISBN: 1107012023), February 2014.
M. Flannery, and M. Flood, Flannery and Flood's ProBanker: A Financial Services Simulation, U.S. edition , Irwin/McGraw-Hill (ISBN: 025623051X), 1998.
C. Draimin, and M. Flood, Financial Markets and the Economy: The Canadian Experience , Prentice Hall Canada (ISBN: 0138900213), 1998.

Other Publications

M. Flood, A. Lipton, D. Quintana, and A. Serguieva, "Guest Editorial: Special Issue on Complex Systems in Finance and Economics", Introduction to a special issue of the IEEE Systems Journal, 12(2), June 2018, 1087-1089.
M. Barr, B. Koziara, M. Flood, A. Hero, and H. V. Jagadish, "Big Data in Finance: Highlights from the Big Data in Finance Conference Hosted at the University of Michigan, October 27-28, 2016", Summary Paper, University of Michigan Center on Finance, Law, and Policy, February 2018.
L. Raschid, D. Burdick, M. Flood, J. Grant, J. Langsam, and I. Soboroff, "Financial Entity Identification and Information Integration (FEIII) 2017 Challenge: The Report of the Organizing Committee", project report, DSMM'17: Proceedings of the 3rd International Workshop on Data Science for Macro--Modeling with Financial and Economic Datasets (2017 ACM SIGMOD/PODS Conference), Chicago, IL, USA, July, 2017.
M. Flood, and J. Haubrich, "Measurement Challenges in Macroprudential Policy Implementation: a Conference", Introduction to a special issue of the Journal of Financial Stability, 30, June 2017, 175-176.
M. Flood, J. Grant, H. Luo, L. Raschid, I. Soboroff, and K. Yoo, "Financial Entity Identification and Information Integration (FEIII) Challenge: The Report of the Organizing Committee", project report, DSMM'16: Proceedings of the International Workshop on Data Science for Macro-Modeling (2016 ACM SIGMOD Conference), San Francisco, CA, USA, July, 2016.
M. Flood, "Foreword", Building Trust in Information: Perspectives on the Frontiers of Provenance , V. Lemieux, ed., Springer, 2016.
M. Flood, A. Kyle, and L. Raschid, "Knowledge Representation and Information Management for Financial Risk Management", Report of a workshop: July 21-22 2010 at Arlington, VA, November 2010.
M. Flood, "Why We Need the Office of Financial Research", Risk Premia Newsletter , PRMIA, October 2010, 8ff.
M. Flood and A. Mendelowitz, "A Critical Fix for Regulatory Failings", Pratt's Bank Asset/Liability Management , Sheshunoff, August 2010, 6-8.
M. Flood, "Discussion (of Yield and Inflation Differentials between Canada and the United States, by Ben Fung and Eli Remolona)", Information in Financial Asset Prices , K. Clinton and M. Zelmer, eds., Bank of Canada, 1998, 133-139.
M. Flood, "U.S. Historical Data on Bank Market Structure", Inter-university Consortium for Political and Social Research (ICPSR), Ann Arbor, 1998, http://www.flood-dalton.org/mark/research/bankdata-hist.html,
M. Flood, "Incomplete Markets", Business Cycles and Depressions: An Encyclopedia , D. Glasner, ed., Garland Publishing (ISBN: 0824009444), 1997, 321-323.
M. Flood, "Comment (on: Foreign Exchange Volume: Sound and Fury Signifying Nothing?, by Richard K. Lyons)", The Microstructure of Foreign Exchange Markets , J. Frankel, G. Galli and A. Giovannini, eds., University of Chicago Press and NBER (ISBN: 0226260003), 1996, 202-205.
M. Flood, "Deposit Insurance Problems and Solutions", Review, Federal Reserve Bank of St. Louis, January/February 1993, 28-34.
M. Flood, "How Close are Bond and Equity Mutual Funds to Money?", Monetary Trends, Federal Reserve Bank of St. Louis, June 1993, cover page.
M. Flood, "Tinkering with federal deposit insurance", Central Banker, Federal Reserve Bank of St. Louis, Summer 1992.
M. Flood, "The Effect of Counterfeiting on the Fed's Currency Statistics", Monetary Trends, Federal Reserve Bank of St. Louis, June 1992, cover page.
M. Flood, "Deposit Insurance and the Full Faith and Credit of the U. S. Government", Monetary Trends, Federal Reserve Bank of St. Louis, Mar. 1992, cover page.
M. Flood, "Real Value of FDIC Coverage", Monetary Trends, Federal Reserve Bank of St. Louis, Nov. 1991, cover page.
M. Flood, "M2 Growth and the Activity of the RTC", Monetary Trends, Federal Reserve Bank of St. Louis, Oct. 1991, cover page.
M. Flood, "The Health of the Commercial Banking Industry", Monetary Trends, Federal Reserve Bank of St. Louis, Apr. 1991, cover page.

Older Working Papers

M. Flood, and G. Korenko, "Efficient Quasi-Monte Carlo Sampling of Points from a Spheroid", Apr. 2010, working paper.
M. Flood, and D. Malmquist, "Mating Behavior of U.S. Financial Institutions in a Man-Made Habitat, or Do U.S. Capital Requirements Disadvantage Low-Risk Institutions?", May 2005, working paper.
M. Flood, R. Huisman, K. Koedijk, M. van Dijk, and I. van Leeuwen, "The More You See, the Less You Get: Price-Competing Insiders under Different Trading Mechanisms", May 1998, working paper.
M. Flood, R. Huisman, K. Koedijk, and R. Lyons, "Search Costs: The Neglected Spread Component", Jan. 1998, working paper.
M. Flood, R. Huisman, K. Koedijk, R. Mahieu, and A. Röell, "Post-Trade Transparency in Multiple Dealer Financial Markets", Mar. 1997, working paper.