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This paper investigates two mechanisms of financial contagion that are, firstly, the correlated exposure of banks to the same source of risk, and secondly the direct exposure of banks in the interbank market. It will consider a random…
The aim of this paper is to propose a heterogeneous agent model of stock markets that develop complicated endogenous price fluctuations. We find occurrences of non-stationary chaos, or speculative bubble, are caused by the heterogeneity of…
We consider the problem of optimal investment and consumption in a class of multidimensional jump-diffusion models in which asset prices are subject to mutually exciting jump processes. This captures a type of contagion where each downward…
This work studies the effects of a weak notion of symmetry on diffusively-coupled multi-agent systems. We focus on networks comprised of agents and controllers which are maximally equilibrium independent passive, and show that these…
Episodes of market crashes have fascinated economists for centuries. Although many academics, practitioners and policy makers have studied questions related to collapsing asset price bubbles, there is little consensus yet about their causes…
We introduce a model for the loss distribution of a credit portfolio considering a contagion mechanism for the default of names which is the result of two independent components: an infection attempt generated by defaulting entities and a…
The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical…
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…
It is always a challenging task to service sudden events in non-convex and uncertain environments, and multi-agent coverage control provides a powerful theoretical framework to investigate the deployment problem of mobile robotic networks…
This paper deals with the stability properties of a closed market, where capital and labour force are acting like a predator-prey system in population-dynamics. The spatial movement of the capital and labour force are taken into account by…
This paper investigates the finite horizon risk-sensitive portfolio optimization in a regime-switching credit market with physical and information-induced default contagion. It is assumed that the underlying regime-switching process has…
We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors, i.e. for the company assets. We also include correlations…
Operational disruptions in retail payments can induce behavioral responses that outlast technical recovery and may amplify liquidity stress. We propose a multi-agent model linking card payment outages to trust dynamics, channel avoidance,…
This paper addresses the problem of collaborative formation control for multi-agent systems with limited resources. We consider a team of robots tasked with achieving a desired formation from an arbitrary initial configuration. To reduce…
A class of heterogeneous agent models is investigated where investors switch trading position whenever their motivation to do so exceeds some critical threshold. These motivations can be psychological in nature or reflect behaviour…
Fire sales are among the major drivers of market instability in modern financial systems. Due to iterated distressed selling and the associated price impact, initial shocks to some institutions can be amplified dramatically through the…
We develop a finite horizon continuous time market model, where risk averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market account, a stock written on a default-free dividend process,…
The Agentic Service Ecosystem consists of heterogeneous autonomous agents (e.g., intelligent machines, humans, and human-machine hybrid systems) that interact through resource exchange and service co-creation. These agents, with distinct…
Epidemic spreading often occurs in spatially heterogeneous environments, yet how quenched heterogeneity reshapes its onset and critical dynamics remains poorly understood. The diffusive epidemic process, a minimal reaction-diffusion model…
We investigate the benefits of heterogeneity in multi-agent explore-exploit decision making where the goal of the agents is to maximize cumulative group reward. To do so we study a class of distributed stochastic bandit problems in which…