Related papers: Transaction Cost Analytics for Corporate Bonds
Under transactive (market-based) coordination, a population of distributed energy resources (DERs), such as thermostatically controlled loads (TCLs) and storage devices, bid into an energy market. Consequently, a certain level of demand…
The research presented in this work is motivated by some recent papers regarding hedging and valuation of financial securities subject to funding costs, collateralization and counterparty credit risk. Our goal is to provide a sound…
Contingent Convertible bonds (CoCos) are debt instruments that convert into equity or are written down in times of distress. Existing pricing models assume conversion triggers based on market prices and on the assumption that markets can…
We consider a seller who offers services to a buyer with multi-unit demand. Prior to the realization of demand, the buyer receives a noisy signal of their future demand, and the seller can design contracts based on the reported value of…
Online trading invariably involves dealings between strangers, so it is important for one party to be able to judge objectively the trustworthiness of the other. In such a setting, the decision to trust a user may sensibly be based on that…
Domain adaptation, a crucial sub-field of transfer learning, aims to utilize known knowledge of one data set to accomplish tasks on another data set. In this paper, we perform one of the most representative domain adaptation algorithms,…
During recent years the counterparty risk subject has received a growing attention because of the so called Basel Accord. In particular the Basel III Accord asks the banks to fulfill finer conditions concerning counterparty credit exposures…
We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small…
We propose a model for the credit markets in which the random default times of bonds are assumed to be given as functions of one or more independent "market factors". Market participants are assumed to have partial information about each of…
Canonical correlation analysis (CCA) is a widely used technique for estimating associations between two sets of multi-dimensional variables. Recent advancements in CCA methods have expanded their application to decipher the interactions of…
We introduce a new Self-Organized Criticality (SOC) model for simulating price evolution in an artificial financial market, based on a multilayer network of traders. The model also implements, in a quite realistic way with respect to…
A large literature has documented transitivity as a key feature of social networks: individuals are more likely connected with each other if they share common connections with other individuals. We take this idea to trading relationships…
This paper provides estimation and inference methods for a conditional average treatment effects (CATE) characterized by a high-dimensional parameter in both homogeneous cross-sectional and unit-heterogeneous dynamic panel data settings. In…
For the last two decades, most financial markets have undergone an evolution toward electronification. The market for corporate bonds is one of the last major financial markets to follow this unavoidable path. Traditionally quote-driven…
We develop a fundamentally different stochastic dynamic programming model of trading costs. Built on a strong theoretical foundation, our model provides insights to market participants by splitting the overall move of the security price…
Consensus protocols are currently the bottlenecks that prevent blockchain systems from scaling. However, we argue that transaction execution is also important to the performance and security of blockchains. In other words, there are ample…
Transport infrastructure systems operate in, and are shaped by, the specific context in which they are expected to perform and contribute to the system-of-systems that support civilised life; they must strive to be sustainable and…
Continual Test-Time Adaptation (CTA) is a challenging task that aims to adapt a source pre-trained model to continually changing target domains. In the CTA setting, a model does not know when the target domain changes, thus facing a drastic…
Atomic Commit Problem (ACP) is a single-shot agreement problem similar to consensus, meant to model the properties of transaction commit protocols in fault-prone distributed systems. We argue that ACP is too restrictive to capture the…
As transaction fees skyrocket today, blockchains become increasingly expensive, hurting their adoption in broader applications. This work tackles the saving of transaction fees for economic blockchain applications. The key insight is that…