Related papers: Risk sharing for capital requirements with multidi…

Following the recent literature on make take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading quality on its platform. To do so, we use a principal-agent…

Simple agent based exchange models are a commonplace in the study of wealth distribution of artificial societies. Generally, each agent is characterized by its wealth and by a risk-aversion factor, and random exchanges between agents allow…

In this paper, we present a unified framework for decision making under uncertainty. Our framework is based on the composite of two risk measures, where the inner risk measure accounts for the risk of decision given the exact distribution…

In this study, we developed a computational framework for simulating large-scale agent-based financial markets. Our platform supports trading multiple simultaneous assets and leverages distributed computing to scale the number and…

We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the…

We consider a model of financial contagion in a bipartite network of assets and banks recently introduced in the literature, and we study the effect of power law distributions of degree and balance-sheet size on the stability of the system.…

We analyze multiline pricing and capital allocation in equilibrium no-arbitrage markets. Existing theories often assume a perfect complete market, but when pricing is linear, there is no diversification benefit from risk pooling and…

We study the mechanism design problem of selling a public good to a group of agents by a principal in the correlated private value environment. We assume the principal only knows the expectations of the agents' values, but does not know the…

This paper studies convex duality in optimal investment and contingent claim valuation in markets where traded assets may be subject to nonlinear trading costs and portfolio constraints. Under fairly general conditions, the dual expressions…

We study a problem inspired by regulated health insurance markets, such as those created by the government in the Affordable Care Act Exchanges or by employers when they contract with private insurers to provide plans for their employees.…

Information exchange is a crucial component of many real-world multi-agent systems. However, the communication between the agents involves two major challenges: the limited bandwidth, and the shared communication medium between the agents,…

We consider multi-item exchange markets in which agents want to receive one of their target bundles of resources. The model encompasses well-studied markets for kidney exchange, lung exchange, and multi-organ exchange. We identify a general…

Given an initial resource allocation, where some agents may envy others or where a different distribution of resources might lead to higher social welfare, our goal is to improve the allocation without reassigning resources. We consider a…

We consider an optimal investment-consumption problem for a utility-maximizing investor who has access to assets with different liquidity and whose consumption rate as well as terminal wealth are subject to lower-bound constraints. Assuming…

We investigate the problem of finding upper and lower bounds for a Choquet risk measure of a nonlinear function of two risk factors, when the marginal distributions of the risk factors are ambiguous and represented by nonadditive measures…

We consider a diffusion approximation to an insurance risk model where an external driver models a stochastic environment. The insurer can buy reinsurance. Moreover, investment in a financial market is possible. The financial market is also…

In portfolio compression, market participants (banks, organizations, companies, financial agents) sign contracts, creating liabilities between each other, which increases the systemic risk. Large, dense markets commonly can be compressed by…

We propose to leverage epistemic uncertainty about constraint satisfaction of a reinforcement learner in safety critical domains. We introduce a framework for specification of requirements for reinforcement learners in constrained settings,…

Management of systemic risk in financial markets is traditionally associated with setting (higher) capital requirements for market participants. There are indications that while equity ratios have been increased massively since the…

Nowadays, the utilization of the ever expanding amount of data has made a huge impact on web technologies while also causing various types of security concerns. On one hand, potential gains are highly anticipated if different organizations…