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Data flow analysis and optimization is considered for homogeneous rectangular mesh networks. We propose a flow matrix equation which allows a closed-form characterization of the nature of the minimal time solution, speedup and a simple…

Distributed, Parallel, and Cluster Computing · Computer Science 2021-12-30 Junwei Zhang , Yang Liu , Li Shi , Thomas G. Robertazzi

The Black-Scholes model, defined under the assumption of a perfect financial market, theoretically creates a flawless hedging strategy allowing the trader to evade risks in a portfolio of options. However, the concept of a "perfect…

Computational Finance · Quantitative Finance 2021-12-21 Guijin Son , Joocheol Kim

This paper provides a framework for modeling the financial system with multiple illiquid assets when liquidation of illiquid assets is caused by failure to meet a leverage requirement. This extends the network model of Cifuentes, Shin &…

Risk Management · Quantitative Finance 2016-10-17 Zachary Feinstein , Fatena El-Masri

To capture the systemic complexity of international financial systems, network data is an important prerequisite. However, dyadic data is often not available, raising the need for methods that allow for reconstructing networks based on…

Applications · Statistics 2019-09-05 Michael Lebacher , Samantha Cook , Nadja Klein , Göran Kauermann

The use of neural networks has been very successful in a wide variety of applications. However, it has recently been observed that it is difficult to generalize the performance of neural networks under the condition of distributional shift.…

Computational Finance · Quantitative Finance 2022-09-20 Dangxing Chen

Predicting invoice payment is valuable in multiple industries and supports decision-making processes in most financial workflows. However, the challenge in this realm involves dealing with complex data and the lack of data related to…

Making a payment in a privacy-aware payment channel network is achieved by trying several payment paths until one succeeds. With a large network, such as the Lightning Network, a completion of a single payment can take up to several…

Social and Information Networks · Computer Science 2019-12-23 Rene Pickhardt , Mariusz Nowostawski

Reconstructing a network of dynamic systems from observational data is an active area of research. Many approaches guarantee a consistent reconstruction under the relatively strong assumption that the network dynamics is governed by…

Systems and Control · Electrical Eng. & Systems 2020-11-12 Mihaela Dimovska , Donatello Materassi

Financial networks help firms manage risk but also enable financial shocks to spread. Despite their importance, existing models of financial networks have several limitations. Prior works often consider a static network with a simple…

Optimization and Control · Mathematics 2024-02-06 Akhil Jalan , Deepayan Chakrabarti , Purnamrita Sarkar

Within the framework of maximum entropy principle we show that the finite-size long-range Ising model is the adequate model for the description of homogeneous credit portfolios and the computation of credit risk when default correlations…

Other Condensed Matter · Physics 2016-08-31 Jordi Molins , Eduard Vives

Payment channel is a protocol which allows cryptocurrency users to route multiple transactions through network without committing them to the main blockchain network (mainnet). This ability makes them the most prominent solution to…

Computer Science and Game Theory · Computer Science 2021-07-08 MohammadAmin Fazli , Seyed Moeen Nehzati , MohammadAmin Salarkia

A simple banking network model is proposed which features multiple waves of bank defaults and is analytically solvable in the limiting case of an infinitely large homogeneous network. The model is a collection of nodes representing…

Risk Management · Quantitative Finance 2012-04-02 Igor Tsatskis

In order to scale transaction rates for deployment across the global web, many cryptocurrencies have deployed so-called "Layer-2" networks of private payment channels. An idealized payment network behaves like a Credit Network, a model for…

Computer Science and Game Theory · Computer Science 2020-03-19 Geoffrey Ramseyer , Ashish Goel , David Mazieres

This paper develops algorithms for high-dimensional stochastic control problems based on deep learning and dynamic programming. Unlike classical approximate dynamic programming approaches, we first approximate the optimal policy by means of…

Probability · Mathematics 2021-09-21 Côme Huré , Huyên Pham , Achref Bachouch , Nicolas Langrené

The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure…

Methodology · Statistics 2013-06-04 Yue Wu , José Miguel Hernández-Lobato , Zoubin Ghahramani

Many learning algorithms are formulated in terms of finding model parameters which minimize a data-fitting loss function plus a regularizer. When the regularizer involves the l0 pseudo-norm, the resulting regularization path consists of a…

Machine Learning · Computer Science 2020-03-06 Toby Hocking , Joseph Vargovich

We study the problem of asset liquidation in financial systems. During financial crises, asset liquidation is often inevitable but can lead to substantial losses if a significant amount of illiquid assets are sold simultaneously at…

Risk Management · Quantitative Finance 2026-03-18 Dohyun Ahn , Hongyi Jiang

Collaboration may be understood as the execution of coordinated tasks (in the most general sense) by groups of users, who cooperate for achieving a common goal. Collaboration is a fundamental assumption and requirement for the correct…

Computer Science and Game Theory · Computer Science 2012-07-26 Agustín Santos Méndez , Antonio Fernández Anta , Luis López Fernández

Deciding the best future execution time is a critical task in many business activities while evolving time series forecasting, and optimal timing strategy provides such a solution, which is driven by observed data. This solution has plenty…

Artificial Intelligence · Computer Science 2023-10-10 Chen Pan , Fan Zhou , Xuanwei Hu , Xinxin Zhu , Wenxin Ning , Zi Zhuang , Siqiao Xue , James Zhang , Yunhua Hu

We propose a new methodology for pricing options on flow forwards by applying infinite-dimensional neural networks. We recast the pricing problem as an optimization problem in a Hilbert space of real-valued function on the positive real…

Pricing of Securities · Quantitative Finance 2022-02-24 Fred Espen Benth , Nils Detering , Luca Galimberti
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