Related papers: Target market risk evaluation
The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing severity and uncertain duration has led…
The purpose of this article is to propose a new "theory," the Strategic Analysis of Financial Markets (SAFM) theory, that explains the operation of financial markets using the analytical perspective of an enlightened gambler. The gambler…
We consider two market designs for a network of prosumers, trading energy: (i) a centralized design which acts as a benchmark, and (ii) a peer-to-peer market design. High renewable energy penetration requires that the energy market design…
Many modern intrusion detection systems are based on data mining and database-centric architecture, where a number of data mining techniques have been found. Among the most popular techniques, association rule mining is one of the important…
Since beginning of the 2008 financial crisis almost half a trillion euros have been spent to financially assist EU member states in taxpayer-funded bail-outs. These crisis resolutions are often accompanied by austerity programs causing…
The bandit paradigm provides a unified modeling framework for problems that require decision-making under uncertainty. Because many business metrics can be viewed as rewards (a.k.a. utilities) that result from actions, bandit algorithms…
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the…
Traditionally model averaging has been viewed as an alternative to model selection with the ultimate goal to incorporate the uncertainty associated with the model selection process in standard errors and confidence intervals by using a…
Motivated by recent applications of sequential decision making in matching markets, in this paper we attempt at formulating and abstracting market designs for P2P lending. We describe a paradigm to set the stage for how peer to peer…
This paper presents a method for incorporating risk aversion into existing decision tree models used in economic evaluations. The method involves applying a probability weighting function based on rank dependent utility theory to reduced…
It seems that what has been said by now about market and competitiveness do not fit perfectly with competences of getting the best of profit. Sometimes, the classical methods of fundamentals of management do not apply to individual…
The deployment of Large Language Models (LLMs) as autonomous economic agents introduces systemic risks that extend beyond individual capability failures. As agents transition to directly interacting with marketplaces, their collective…
Financial markets have developed a lot of strategies to control risks induced by market fluctuations. Mathematics has emerged as the leading discipline to address fundamental questions in finance as asset pricing model and hedging…
Online platforms in the Internet Economy commonly incorporate recommender systems that recommend products (or "arms") to users (or "agents"). A key challenge in this domain arises from myopic agents who are naturally incentivized to exploit…
This paper characterizes the probability of a market failure defined as the default of two or more globally systemically important banks (G-SIBs) in a small interval of time. The default probabilities of the G-SIBs are correlated through…
In this work we explore the implementation of the reputation system for a generic marketplace, describe details of the algorithm and parameters driving its operation, justify an approach to simulation modeling, and explore how various kinds…
Recurring international financial crises have adverse socioeconomic effects and demand novel regulatory instruments or strategies for risk management and market stabilization. However, the complex web of market interactions often impedes…
Due to the increased capabilities of mobile devices and through wireless opportunistic contacts, users can experience new ways to share and retrieve content anywhere and anytime, even in the presence of link intermittency. Due to the…
The rapid expansion of AI adoption (e.g., using machine learning, deep learning, or large language models as research methods) and the increasing availability of big data have the potential to bring about the most significant transformation…
Empirical evidence suggests that even the most competitive markets are not strictly efficient. Price histories can be used to predict near future returns with a probability better than random chance. Many markets can be considered as {\it…