Related papers: Conditional risk measures in a bipartite market st…

We study the role and drivers of persistence in the extensive margin of bilateral trade. Motivated by a stylized heterogeneous firms model of international trade with market entry costs, we consider dynamic three-way fixed effects binary…

We focus on the influence of external sources of information upon financial markets. In particular, we develop a stochastic agent-based market model characterized by a certain herding behavior as well as allowing traders to be influenced by…

Bipartite networks provide a major insight into the organisation of many real-world systems. One of the most relevant issues encountered when modelling a bipartite network is that of facing the information shortage concerning intra-layer…

We provide a comprehensive review of causal dependence through a max-linear structural equation model. Such models express each node variable as a max-linear function of its parental node variables in a directed acyclic graph and some…

The study of dependence between random variables under external influences is a challenging problem in multivariate analysis. We address this by proposing a novel semi-parametric approach for conditional copula models using Bayesian…

Achieving safety in autonomous multi-agent systems, particularly in time-critical tasks like rendezvous, is a critical challenge. In this paper, we propose a distributionally robust risk framework for analyzing cascading failures in…

We consider thin incomplete financial markets, where traders with heterogeneous preferences and risk exposures have motive to behave strategically regarding the demand schedules they submit, thereby impacting prices and allocations. We…

The global balance index is used in the network literature to quantify how balanced a signed network is. In this paper we show that the global balance index of financial correlation networks can be used as a systemic risk measure. We define…

In this paper, a bipartite consensus problem for a multi-agent system is formulated firstly. Then an event-based interaction rule is proposed for the multi-agent system with antagonistic interactions. The bipartite consensus stability is…

We consider regularly varying random vectors. Our goal is to estimate in a non-parametric way some characteristics related to conditioning on an extreme event, like the tail dependence coefficient. We introduce a quasi-spectral…

Risks threatening modern societies form an intricately interconnected network that often underlies crisis situations. Yet, little is known about how risk materializations in distinct domains influence each other. Here we present an approach…

We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone or convex. Such functionals are called distortion…

In many insurance contexts, dependence between risks of a portfolio may arise from their frequencies. We investigate a dependent risk model in which we assume the vector of count variables to be a tree-structured Markov random field with…

In this paper we extend the series of our studies on the properties of an interacting particle model for market microstructure. In our earlier work we defined a Markov process on the majority opinion of the agents, obtained the transition…

An interbank market lets participants pool the risk arising from the combination of illiquid investments and random withdrawals by depositors. But it also creates the potential for one bank's failure to trigger off avalanches of further…

The inability to see and quantify systemic financial risk comes at an immense social cost. Systemic risk in the financial system arises to a large extent as a consequence of the interconnectedness of its institutions, which are linked…

In this paper, we examine two problems on applied probability, which are directly connected with the dependence in presence of heavy tails. The first problem, is related to max-sum equivalence of the randomly weighted sums in bi-variate set…

Adapting a simple biological model, we study the effects of control on the market. Companies are depicted as sites on a lattice and labelled by a fitness parameter (some `company-size' indicator). The chance of survival of a company on the…

The topological properties of interbank networks have been discussed widely in the literature mainly because of their relevance for systemic risk. Here we propose to use the Stochastic Block Model to investigate and perform a model…

The real world is awash with multi-agent problems that require collective action by self-interested agents, from the routing of packets across a computer network to the management of irrigation systems. Such systems have local incentives…