Staff profile

Since 2019 I have been the executive director of the Durham University Institute of Hazard Risk and Resilience, and was co-director from 2016. My main research is in the area of risk management, risk mitigation and the design of fair institutional structures.

My research training was in applied mathematical modelling and applied stochastic modelling of financial instruments and the valuation of risk. Since 2014 I have been a Professor of Accounting and Finance at Durham university in the Business School specialising in the theory of risk management and in particular the interaction between technology and physical and cyber hazards.

My research interests span from valuation of financial models to understanding the security of physical systems such as transport and critical infrastructure. I have been the scientific director of the European Commission project SECONOMICS, worked on the Technology Strategy Board funded project Cloud Stewardship Economics, lead on Durham’s participation in the SESAR SJU, principle investigator on two industry Fintech projects on international currency risk and derivatives pricing and co-investigator on several other projects including the Living Deltas GCRF hub, where I am co-workpackage lead.

• Market Microstructure
• Liquidity
• Trading Behaviour and Algorithmic Trading
• Information security and operational security for financial firms and governments

• 2000: Futures Mex Patent Application:
  FuturesMEX technologies are the object of the following patent applica- tions: US62/625,428 and PG448130GB 

Chapter in book

• Beckerman, C., & Williams, J. (2021). Economics of Surveillance. In S. Jajodia, P. Samarati, & M. Yung (Eds.), Encyclopedia of Cryptography, Security and Privacy (1-5). Springer Verlag. https://doi.org/10.1007/978-3-642-27739-9_1611-1
• Ngo, C. N., Massacci, F., Kerschbaum, F., & Williams, J. (2021). Practical Witness-Key-Agreement for Blockchain-based Dark Pools Financial Trading. In N. Borisov, & C. Diaz (Eds.), Financial Cryptography and Data Security 25th International Conference, FC 2021, Virtual Event, March 1–5, 2021, Revised Selected Papers, Part II (579-598). Springer Verlag. https://doi.org/10.1007/978-3-662-64331-0_30
• Beckerman, C., & Williams, J. (2021). Privacy Economics: From information theory to privacy as an asset. In S. Jajodia, P. Samarati, & M. Yung (Eds.), Encyclopedia of Cryptography, Security and Privacy (1-6). Springer Verlag. https://doi.org/10.1007/978-3-642-27739-9_1609-1
• Caulfield, T., Pym, D., & Williams, J. (2014). Compositional Security Modelling Structure, Economics, and Behaviour. In Human aspects of information security, privacy, and trust : 2nd International Conference, HAS 2014, Held as part of HCI International 2014, Heraklion, Crete, Greece, June 22-27, 2014 : proceedings (233-245). Springer Verlag. https://doi.org/10.1007/978-3-319-07620-1_21
• Calice, G., Chen, J., & Williams, J. (2013). Liquidity Spillovers in Credit Markets During the Eurozone Crisis. In J. LaBrosse, R. Olivares-Caminal, & D. Singh (Eds.), Financial Crisis Containment and Government Guarantees. Edward Elgar Publishing
• Ioannidis, C., Pym, D., & Williams, J. (2013). Fixed Costs, Investment Rigidities, and Risk Aversion in Information Security: A Utility-theoretic Approach. In B. Schneier (Ed.), Economics of Information Security and Privacy III (171-192). Springer Verlag

Conference Paper

• Massacci, F., Ngo, C., Venturi, D., & Williams, J. (in press). Non-Monotonic Security Protocols and Failures in Financial Intermediation.
• Massacci, F., Ngo, C., Nie, J., Venturi, D., & Williams, J. (2018). FuturesMEX: Secure Distributed Futures Market Exchange. In 2018 IEEE symposium on security and privacy SP 2018 (335-353). https://doi.org/10.1109/sp.2018.00028
• Massacci, F., Ngo, C., Nie, J., Venturi, D., Williams, J., Stajano, F., …Matyáš, V. (2017). The seconomics (security-economics) vulnerabilities of Decentralized Autonomous Organizations. In Security protocols XXV : 25th international workshop, Cambridge, UK, March 20-22, 2017 : revised selected papers (171-179). https://doi.org/10.1007/978-3-319-71075-4_19
• Ioannidis, C., Pym, D., Williams, J., Dingledine, R., & Golle, P. (2009). Investments and Trade-offs in the Economics of Information Security. In Financial cryptography and data security: 13th International Conference, FC 2009, Accra Beach, Barbados, February 23-26, 2009: revised selected papers (148-166). https://doi.org/10.1007/978-3-642-03549-4_9

Journal Article

• Allodi, L., Massacci, F., & Williams, J. (2022). The Work-Averse Cyber Attacker Model: Theory and Evidence From Two Million Attack Signatures. Risk Analysis, 42(8), 1623-1642. https://doi.org/10.1111/risa.13732
• Dovonon, P., Taamouti, A., & Williams, J. (2022). Testing the Eigenvalue Structure of Spot and Integrated Covariance. Journal of Econometrics, 229(2), 363-395. https://doi.org/10.1016/j.jeconom.2021.02.006
• Nie, J., Malagon, J., & Williams, J. (2022). The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets. Journal of Futures Markets, 42(8), 1434-1465. https://doi.org/10.1002/fut.22339
• Abdelsalam, O., Elnahass, M., Ahmed, H., & Williams, J. (2022). Asset Securitizations and Bank Stability:Evidence from Different Banking Systems. Global Finance Journal, 51, Article 100551. https://doi.org/10.1016/j.gfj.2020.100551
• Aylett-Bullock, J., Cuesta-Lazaro, C., Quera-Bofarull, A., Icaza-Lizaola, M., Sedgewick, A., Truong, H., …Krauss, F. (2021). JUNE: open-source individual-based epidemiology simulation. Royal Society Open Science, 8(7), https://doi.org/10.1098/rsos.210506
• Williams, J., Kuper, G., & Massacci, F. (2020). Who should pay for interdependent risk? Policy implications for security interdependence among airports. Risk Analysis, 40(5), 1001-1019. https://doi.org/10.1111/risa.13454
• Calice, G., Chen, J., & Williams, J. (2020). Forecasting Options Prices Using Discrete Time Volatility Models Estimated at Mixed Timescales. The journal of derivatives, 27(3), 45-74. https://doi.org/10.3905/jod.2019.1.094
• Ioannidis, C., Pym, D., Williams, J., & Gheyas, I. (2019). Resilience in Information Stewardship. European Journal of Operational Research, 274(2), 638-653. https://doi.org/10.1016/j.ejor.2018.10.020
• Elliot, K., Patacconi, A., Swierzbinski, J., & Williams, J. (2019). Knowledge protection in firms: A conceptual framework and evidence from HP Labs. European Management Review, 16(1), 179-193. https://doi.org/10.1111/emre.12336
• Baldwin, A., Gheyas, I., Ioannidis, C., Pym, D., & Williams, J. (2017). Contagion in cyber security attacks. Journal of the Operational Research Society, 68(7), 780-791. https://doi.org/10.1057/jors.2016.37
• de Gramatica, M., Massacci, F., Shim, W., Turhan, U., & Williams, J. (2017). Agency Problems and Airport Security: Quantitative and Qualitative Evidence on the Impact of Security Training. Risk Analysis, 37(2), 372-395. https://doi.org/10.1111/risa.12607
• Buckle, M., Chen, J., & Williams, J. (2016). Realised higher moments : theory and practice. European Journal of Finance, 22(13), 1272-1291. https://doi.org/10.1080/1351847x.2014.885456
• Massacci, F., Ruprai, R., Collinson, M., & Williams, J. (2016). Economic Impacts of Rules- versus Risk-Based Cybersecurity Regulations for Critical Infrastructure Providers. IEEE Security and Privacy, 14(3), 52-60. https://doi.org/10.1109/msp.2016.48
• Elliott, K., Massacci, F., & Williams, J. (2016). Action, Inaction, Trust, and Cybersecurity’s Common Property Problem. IEEE Security and Privacy, 14(1), 82-86. https://doi.org/10.1109/msp.2016.2
• De Gramatica, M., Massacci, F., Shim, W., Tedeschi, A., & Williams, J. (2015). IT Interdependence and the Economic Fairness of Cyber-security Regulations for Civil Aviation. IEEE Security and Privacy, 13(5), 52-61. https://doi.org/10.1109/msp.2015.98
• Buckland, R., Williams, J., & Beecher, J. (2015). Risk and regulation in water utilities : a cross-country comparison of evidence from the CAPM. Journal of Regulatory Economics, 47(2), 117-145. https://doi.org/10.1007/s11149-014-9261-z
• Buckle, M., Chen, J., & Williams, J. (2014). How predictable are equity covariance matrices? Evidence from high frequency data for four markets. Journal of Forecasting, 33(7), 542-557. https://doi.org/10.1002/for.2310
• Calice, G., Chen, J., & Williams, J. (2013). Are there benefits to being naked? The returns and diversification impact of capital structure arbitrage. European Journal of Finance, 19(9), 815-840. https://doi.org/10.1080/1351847x.2011.637115
• Calice, G., Chen, J., & Williams, J. (2013). Liquidity spillovers in sovereign bond and CDS markets: An analysis of the Eurozone sovereign debt crisis. Journal of Economic Behavior and Organization, 85, 122-143. https://doi.org/10.1016/j.jebo.2011.10.013
• Ioannidis, C., Pym, D., & Williams, J. (2012). Information Security Trade-offs and Optimal Patching Policies. European Journal of Operational Research, 216(2), 434-444. https://doi.org/10.1016/j.ejor.2011.05.050
• Calice, G., Ionnadis, C., & Williams, J. (2012). Credit Derivatives and the Default Risk of Large Complex Financial Institutions. Journal of Financial Services Research, 42(1-2), 85-107. https://doi.org/10.1007/s10693-011-0121-z
• Chen, J., Buckland, R., & Williams, J. (2011). Regulatory Changes, Market Integration and Spillover Effects in the Chinese A, B and Hong Kong Equity Markets. Pacific-Basin Finance Journal, 19(4), 351-373. https://doi.org/10.1016/j.pacfin.2011.01.002
• Williams, J., & Ioannidis, C. (2011). Multivariate Asset Price Dynamics with Stochastic Covariation. Quantitative Finance, 11(1), 125-134. https://doi.org/10.1080/14697680903419693

Working Paper

• Allodi, L., Massacci, F., & Williams, J. (2017). The Work-Averse Cyber Attacker Model: Theory and Evidence From Two Million Attack Signatures