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Network slicing to enable resource sharing among multiple tenants --network operators and/or services-- is considered a key functionality for next generation mobile networks. This paper provides an analysis of a well-known model for…
In this paper we estimate the propagation of liquidity shocks through interbank markets when the information about the underlying credit network is incomplete. We show that techniques such as Maximum Entropy currently used to reconstruct…
Facing the dilemma of growing energy demand and mitigating carbon emissions, this paper proposes an energy sharing mechanism based on virtual federated prosumers (VFPs) with budget allocation for joint electricity and carbon market to…
In this paper, we construct a decentralized clearing mechanism which endogenously and automatically provides a claims resolution procedure. This mechanism can be used to clear a network of obligations through blockchain. In particular, we…
A quantum financial approach to finite games of strategy is addressed, with an extension of Nash's theorem to the quantum financial setting, allowing for an entanglement of games of strategy with two-period financial allocation problems…
The events of the last few years revealed an acute need for tools to systematically model and analyze large financial networks. Many applications of such tools include the forecasting of systemic failures and analyzing probable effects of…
This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and develop a new latent space model to assess the health of key…
This paper presents a new model for pricing financial derivatives subject to collateralization. It allows for collateral arrangements adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized…
Recently, large-scale cascading failures in complex systems have garnered substantial attention. Such extreme events have been treated as an integral part of the self-organized criticality (SOC). Recent empirical work has suggested that…
Micro-structural models of contagion and systemic risk emphasize that shock propagation is inherently multi-channel, spanning counterparty exposures, short-term funding and roll-over risk, securities cross-holdings, and common-asset…
I show that the solution of a standard clearing model commonly used in contagion analyses for financial systems can be expressed as a specific form of a generalized Katz centrality measure under conditions that correspond to a system-wide…
The decisions that human beings make to allocate time has significant bearing on economic output and to the sustenance of social networks. The time allocation problem motivates our formal analysis of the resource allocation game, where…
We contribute to the understanding of how systemic risk arises in a network of credit-interlinked agents. Motivated by empirical studies we formulate a network model which, despite its simplicity, depicts the nature of interbank markets…
We analyse the importance of international relations between countries on the financial stability. The contagion effect in the network is tested by implementing an epidemiological model, comprising a number of European countries and using…
With the advent of prosumers, the traditional centralized operation may become impracticable due to computational burden, privacy concerns, and conflicting interests. In this paper, an energy sharing mechanism is proposed to accommodate…
Cyber risk has become a critical financial threat in today's interconnected digital economy. This paper introduces a cyber-risk management framework for networked digital systems that combines the strategic behavior of players with…
Receivable financing is the process whereby cash is advanced to firms against receivables their customers have yet to pay: a receivable can be sold to a funder, which immediately gives the firm cash in return for a small percentage of the…
We consider a game-theoretic setting to model the interplay between attacker and defender in the context of information flow, and to reason about their optimal strategies. In contrast with standard game theory, in our games the utility of a…
We provide a strategic model of the formation of production networks that subsumes the standard general equilibrium approach. The objective of firms in our setting is to choose their supply relationships so as to maximize their profit at…
We study proliferation of an action in binary action network coordination games that are generalized to include global effects. This captures important aspects of proliferation of a particular action or narrative in online social networks,…