Related papers: Clearing Payments in Dynamic Financial Networks

Lately, the problem of designing multi-stage dynamic mechanisms has been shown to be both theoretically challenging and practically important. In this paper, we consider the problem of designing revenue optimal dynamic mechanism for a…

We consider discrete-time dynamics, for cascading failure in DC networks, whose map is composition of failure rule with control actions. Supply-demand at the nodes is monotonically non-increasing under admissible control. Under the failure…

Consumer Debt has risen to be an important problem of modern societies, generating a lot of research in order to understand the nature of consumer indebtness, which so far its modelling has been carried out by statistical models. In this…

Financial institutions obtain enormous amounts of data about user transactions and money transfers, which can be considered as a large graph dynamically changing in time. In this work, we focus on the task of predicting new interactions in…

Payment channel networks (PCNs) have emerged as a scalability solution for blockchains built on the concept of a payment channel: a setting that allows two nodes to safely transact between themselves in high frequencies based on…

We revisit the online dynamic acknowledgment problem. In the problem, a sequence of requests arrive over time to be acknowledged, and all outstanding requests can be satisfied simultaneously by one acknowledgement. The goal of the problem…

Recent work [Ran22] formulated a class of optimal control problems involving positive linear systems, linear stage costs, and elementwise constraints on control. It was shown that the problem admits linear optimal cost and the associated…

This study presents incremental correction methods for refining neural network parameters or control functions entering into a continuous-time dynamic system to achieve improved solution accuracy in satisfying the interim point constraints…

The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent…

We consider a financial network represented at any time instance by a random liability graph which evolves over time. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the…

Cascading failures, such as bankruptcies and defaults, pose a serious threat for the resilience of the global financial system. Indeed, because of the complex investment and cross-holding relations within the system, failures can occur as a…

We propose a novel model-selection method for dynamic networks. Our approach involves training a classifier on a large body of synthetic network data. The data is generated by simulating nine state-of-the-art random graph models for dynamic…

In most real scenarios the construction of a risk-neutral portfolio must be performed in discrete time and with transaction costs. Two human imposed constraints are the risk-aversion and the profit maximization, which together define a…

We consider discrete, iterative load balancing via matchings on arbitrary graphs. Initially each node holds a certain number of tokens, defining the load of the node, and the objective is to redistribute the tokens such that eventually each…

Offchain networks emerge as a promising solution to address the scalability challenge of blockchain. Participants directly make payments through a network of payment channels without the overhead of committing onchain transactions. Routing…

Modeling the dynamics of non-stationary stochastic systems requires balancing the representational power of deep learning with the mathematical transparency of classical models. While classical Markov transition operators provide explicit,…

This paper studies the problem of output agreement in networks of nonlinear dynamical systems under time-varying disturbances, using dynamic diffusive couplings. Necessary conditions are derived for general networks of nonlinear systems,…

The large variety of digital payment choices available to consumers today has been a key driver of e-commerce transactions in the past decade. Unfortunately, this has also given rise to cybercriminals and fraudsters who are constantly…

Modelling long-range dependencies is critical for scene understanding tasks in computer vision. Although CNNs have excelled in many vision tasks, they are still limited in capturing long-range structured relationships as they typically…

We consider an intermediary's problem of dynamically matching demand and supply of heterogeneous types in a periodic-review fashion. More specifically, there are two disjoint sets of demand and supply types, and a reward associated with…