Related papers: Trading Networks with Bilateral Contracts
This paper analyzes stochastic networks consisting of a set of finite capacity sites where different classes of individuals move according to some routing policy. The associated Markov jump processes are analyzed under a thermodynamic limit…
The performance of trend following strategies can be ascribed to the difference between long-term and short-term realized variance. We revisit this general result and show that it holds for various definitions of trend strategies. This…
Analyzing real data on international trade covering the time interval 1950-2000, we show that in each year over the analyzed period the network is a typical representative of the ensemble of maximally random weighted networks, whose…
Recent advances in bipartite consensus on matrix-weighted networks, where agents are divided into two disjoint sets with those in the same set agreeing on a certain value and those in different sets converging to opposite values, have…
This paper characterizes equilibrium properties of a broad class of economic models that allow multiple heterogeneous agents to interact in heterogeneous manners across several markets. Our key contribution is a new theorem providing…
This article studies disruption tolerant networks (DTNs) where each node knows the probabilistic distribution of contacts with other nodes. It proposes a framework that allows one to formalize the behaviour of such a network. It generalizes…
We develop a new framework for modeling innovation networks which evolve over time. The nodes in the network represent firms, whereas the directed links represent unilateral interactions between the firms. Both nodes and links evolve…
Linear contracts are ubiquitous in practice, yet optimal contract theory often prescribes complex, nonlinear structures. We provide a distributional robustness justification for linear contracts. We study a principal-agent problem where the…
The duality between the robust (or equivalently, model independent) hedging of path dependent European options and a martingale optimal transport problem is proved. The financial market is modeled through a risky asset whose price is only…
In many matching markets--such as athlete recruitment or academic admissions--participants on one side are evaluated by attribute vectors known to the other side, which in turn applies individual \emph{salience vectors} to assign relative…
We present a general two-side market model with divisible commodities and price functions of participants. A general existence result on unbounded sets is obtained from its variational inequality re-formulation. We describe an extension of…
Threshold-linear networks are a common class of firing rate models that describe recurrent interactions among neurons. Unlike their linear counterparts, these networks generically possess multiple stable fixed points (steady states), making…
We consider a financial network represented at any time instance by a random liability graph which evolves over time. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the…
Everyday life is driven by various network, such as supply chains for distributing raw materials, semi-finished product goods, and final products; Internet of Things (IoT) for connecting and exchanging data; utility networks for…
For networked systems, the control law is typically subject to network flaws such as delays and packet dropouts. Hence, the time in between updates of the control law varies unexpectedly. Here, we present a stability theorem for nonlinear…
We have developed a steady state theory of complex transport networks used to model the flow of commodity, information, viruses, opinions, or traffic. Our approach is based on the use of the Markov chains defined on the graph…
In a continuous-time Kyle setting, we prove global existence of an equilibrium when the insider faces a terminal trading constraint. We prove that our equilibrium model produces output consistent with several empirical stylized facts such…
We formulate and solve a finite horizon full balance sheet two-modes optimal switching problem related to trade-off strategies between expected profit and cost yields. Given the current mode, this model allows for either a switch to the…
We study matching markets with ties, where workers on one side of the market may have tied preferences over jobs, determined by their matching utilities. Unlike classical two-sided markets with strict preferences, no single stable matching…
We consider the problem of optimal investment in a market with two cointegrated stocks and an agent with CRRA utility. We extend the findings of Liu and Timmermann [The Review of Financial Studies, 26(4):1048-1086, 2013] by paying special…