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One of the natural objectives of the field of the social networks is to predict agents' behaviour. To better understand the spread of various products through a social network arXiv:1105.2434 introduced a threshold model, in which the nodes…
In this paper we consider non-atomic games in populations that are provided with a choice of preventive policies to act against a contagion spreading amongst interacting populations, be it biological organisms or connected computing…
Rating systems play a vital role in the exponential growth of service-oriented markets. As highly rated online services usually receive substantial revenue in the markets, malicious sellers seek to boost their service evaluation by…
The classical reduced-form and filtration expansion framework in credit risk is extended to the case of multiple, non-ordered defaults, assuming that conditional densities of the default times exist. Intensities and pricing formulas are…
I develop a tractable adverse-selection model comparing secured bank loans and bonds when both pledge collateral but differ in effective liquidation efficiency. A small wedge in recovery rates generates coexistence, a sharp bank-bond…
One of the most defining features of the global financial network is its inherent complex and intertwined structure. From the perspective of systemic risk it is important to understand the influence of this network structure on default…
Risk scoring systems are widely used in high-stakes domains to assist decision-making. However, existing approaches often focus on optimizing predictive accuracy or likelihood-based criteria, which may not align with the main goal of…
In this paper, we generalize the Almgren-Chriss's market impact model to a more realistic and flexible framework and employ it to derive and analyze some aspects of optimal liquidation problem in a security market. We illustrate how a…
One approach to reducing greenhouse gas (GHG) emissions is to incentivize carbon capturing and carbon reducing projects while simultaneously penalising excess GHG output. In this work, we present a novel market framework and characterise…
This paper investigates optimization policies for resource distribution in network epidemics using a model that derives from the classical Polya process. The basic mechanics of this model, called the Polya network contagion process, are…
Trading algorithms that execute large orders are susceptible to exploitation by order anticipation strategies. This paper studies the influence of order anticipation strategies in a multi-investor model of optimal execution under transient…
We consider a novel adversarial shock/protection problem for a class of network equilibria models emerging from a variety of different fields as continuous network games, production networks, opinion dynamic models. The problem is casted…
We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of $d$ obligors, a set of $d$ idiosyncratic shocks and a shock that triggers the default of all…
The theory of multilayer networks is in its early stages, and its development provides vital methods for understanding complex systems. Multilayer networks, in their multiplex form, have been introduced within the last three years to…
Realistic credit risk assessment, the estimation of losses from counterparty's failure, is central for the financial stability. Credit risk models focus on the financial conditions of borrowers and only marginally consider other risks from…
We construct a continuous time model for price-mediated contagion precipitated by a common exogenous stress to the banking book of all firms in the financial system. In this setting, firms are constrained so as to satisfy a risk-weight…
This paper considers incentives to provide goods that are partially shareable along social links. We introduce a model in which each individual in a social network not only decides how much of a shareable good to provide, but also decides…
Several works have recently suggested to model the problem of coordinating the charging needs of a fleet of electric vehicles as a game, and have proposed distributed algorithms to coordinate the vehicles towards a Nash equilibrium of such…
Distributed energy trading and carbon asset management involve high-frequency, small-value settlements with strong audit requirements. Fully on-chain designs incur excessive cost, while purely off-chain approaches lack verifiable…
We propose a new model of the liquidity driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system modeling and systemic risk analysis. We…