Related papers: Dynamic Network Risk
Spatio-temporal network dynamics is an emergent property of many complex systems which remains poorly understood. We suggest a new approach to its study based on the analysis of dynamical motifs -- small subnetworks with periodic and…
Dynamic hedging is the practice of periodically transacting financial instruments to offset the risk caused by an investment or a liability. Dynamic hedging optimization can be framed as a sequential decision problem; thus, Reinforcement…
Accurately predicting stock repurchases is crucial for quantitative investment and risk management, yet traditional static models fail to capture the complex temporal dependencies of corporate financial conditions. This paper proposes a…
The global financial crisis in 2007-2009 demonstrated that systemic risk can spread all over the world through a complex web of financial linkages, yet we still lack fundamental knowledge about the evolution of the financial web. In…
For both investors and policymakers, forecasting the stock market is essential as it serves as an indicator of economic well-being. To this end, we harness the power of social media data, a rich source of public sentiment, to enhance the…
eCommerce transaction frauds keep changing rapidly. This is the major issue that prevents eCommerce merchants having a robust machine learning model for fraudulent transactions detection. The root cause of this problem is that rapid…
We study the profit maximization problem of a cognitive virtual network operator in a dynamic network environment. We consider a downlink OFDM communication system with various network dynamics, including dynamic user demands, uncertain…
This paper proposes a novel tariff scheme and a new optimization framework in order to address the recovery of fixed investment costs in transmission network planning, particularly against rising demand elasticity. At the moment, ex-post…
We argue that uncertainty network structures extracted from option prices contain valuable information for business cycles. Classifying U.S. industries according to their contribution to system-related uncertainty across business cycles, we…
Dynamic networks, also called network streams, are an important data representation that applies to many real-world domains. Many sets of network data such as e-mail networks, social networks, or internet traffic networks are best…
Flexible demand response (DR) resources can be leveraged to accommodate the stochasticity of some distributed energy resources. This paper develops an online learning approach that continuously estimates price sensitivities of residential…
We present a statistical framework for generating predicted dynamic networks based on the observed evolution of social relationships in a population. The framework includes a novel and flexible procedure to sample dynamic networks given a…
Novel method of reconstructing dynamical networks from empirically measured time series is proposed. By examining the variable--derivative correlation of network node pairs, we derive a simple equation that directly yields the adjacency…
We present a scheme for sequential decision making with a risk-sensitive objective and constraints in a dynamic environment. A neural network is trained as an approximator of the mapping from parameter space to space of risk and policy with…
We study the optimal pricing strategy of a monopolist selling homogeneous goods to customers over multiple periods. The customers choose their time of purchase to maximize their payoff that depends on their valuation of the product, the…
Dynamic networks models describe a growing number of important scientific processes, from cell biology and epidemiology to sociology and finance. There are many aspects of dynamical networks that require statistical considerations. In this…
We study the vulnerability of dominating sets against random and targeted node removals in complex networks. While small, cost-efficient dominating sets play a significant role in controllability and observability of these networks, a fixed…
The relation between network structure and dynamics is determinant for the behavior of complex systems in numerous domains. An important long-standing problem concerns the properties of the networks that optimize the dynamics with respect…
We study the effect of stochastic wireless channel models on the connectivity of ad hoc networks. Unlike in the deterministic geometric disk model where nodes connect if they are within a certain distance from each other, stochastic models…
A simple quantitative example of a reflexive feedback process and the resulting price dynamics after an exogenous price shock to a financial network is presented. Furthermore, an outline of a theory that connects financial reflexivity,…