Related papers: Compressing Over-the-Counter Markets
A financial system contains many elements networked by their relationships. Extensive works show that topological structure of the network stores rich information on evolutionary behaviors of the system such as early warning signals of…
This paper shows that in suitable markets, even with out-of-equilibrium trade allowed, a simple price update rule leads to rapid convergence toward the equilibrium. In particular, this paper considers a Fisher market repeated over an…
A change of the prevalent supervised learning techniques is foreseeable in the near future: from the complex, computational expensive algorithms to more flexible and elementary training ones. The strong revitalization of randomized…
In spite of the growing theoretical literature on cascades of failures in interbank lending networks, empirical results seem to suggest that networks of direct exposures are not the major channel of financial contagion. In this paper we…
A major impact of globalization has been the information flow across the financial markets rendering them vulnerable to financial contagion. Research has focused on network analysis techniques to understand the extent and nature of such…
Increased day-trading activity and the subsequent jump in intraday volatility and trading volume fluctuations has raised considerable interest in models for financial market microstructure. We investigate the random transitions between two…
We use a principal-agent model to analyze the structure of a book-driven dealer market when the dealer faces competition from a crossing network or dark pool. The agents are privately informed about their types (e.g. their portfolios),…
Economic institutions often influence market outcomes not by directly controlling sellers' menus, but by shaping the market composition sellers face. We study the welfare effects of this upstream choice in a monopoly screening model. An…
Pricing and settlement mechanisms are crucial for efficient re-source allocation, investment incentives, market competition, and regulatory oversight. In the United States, Regional Transmission Operators (RTOs) adopts a uniform pricing…
Over-the-counter derivatives have contributed significantly to the effectiveness and efficiency of the international financial system but also entail significant counterparty credit risk. Collateralization is one of the most important and…
We develop a cross-border market model for two countries based on a continuous trading mechanism, in which the transmission capacities that enable transactions between market participants from different countries are limited. Our market…
Network pruning is a widely-used compression technique that is able to significantly scale down overparameterized models with minimal loss of accuracy. This paper shows that pruning may create or exacerbate disparate impacts. The paper…
The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical…
We decompose returns for portfolios of bottom-ranked, lower-priced assets relative to the market into rank crossovers and changes in the relative price of those bottom-ranked assets. This decomposition is general and consistent with…
In this chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order book mechanism for markets and we…
In this article, we analyze the application of options contract in special commodity supply chain such as fresh agricultural products. This problem is discussed in the point of the retailer. When spot market and future market are both…
In today's global economy, supply chain (SC) entities have become increasingly interconnected with demand and supply relationships due to the need for strategic outsourcing. Such interdependence among firms not only increases efficiency but…
The advent of intelligent agents who produce and consume energy by themselves has led the smart grid into the era of "prosumer", offering the energy system and customers a unique opportunity to revaluate/trade their spot energy via a…
Price-mediated contagion occurs when a positive feedback loop develops following a drop in asset prices which forces banks and other financial institutions to sell their holdings. Prior studies of such events fix the level of market…
Deep neural networks are strongly over-parameterized, often containing far more weights than required for their task. Although such redundancy can aid optimization, it leads to inefficient deployment and high computational cost, motivating…