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Bargaining networks model the behavior of a set of players that need to reach pairwise agreements for making profits. Nash bargaining solutions are special outcomes of such games that are both stable and balanced. Kleinberg and Tardos…
A problem of optimal debt management is modeled as a noncooperative game between a borrower and a pool of lenders, in infinite time horizon with exponential discount. The yearly income of the borrower is governed by a stochastic process.…
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The proposed model is aimed to reveal important patterns in the behavior of a simplified financial system. The patterns could be detected as regular cycles consisting of debt bubbles and crises. Financial cycles have a well defined…
The amount of data moved over dedicated and non-dedicated network links increases much faster than the increase in the network capacity, but the current solutions fail to guarantee even the promised achievable transfer throughputs. In this…
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Predicting the economy's short-term dynamics -- a vital input to economic agents' decision-making process -- often uses lagged indicators in linear models. This is typically sufficient during normal times but could prove inadequate during…
Contemporary deep learning based solution methods used to compute approximate equilibria of high-dimensional dynamic stochastic economic models are often faced with two pain points. The first problem is that the loss function typically…
We give a simple characterization of the functions that can be computed deterministically by anonymous processes in dynamic networks, depending on the number of leaders in the network. In addition, we provide efficient distributed…
Rapid and massive adoption of mobile/ online payment services has brought new challenges to the service providers as well as regulators in safeguarding the proper uses such services/ systems. In this paper, we leverage recent advances in…
Interbank contagion can theoretically exacerbate losses in a financial system and lead to additional cascade defaults during downturn. In this paper we produce default analysis using both regression and neural network models to verify…
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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…
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