Related papers: Graph theoretical models and algorithms of portfol…
A debt swap is an elementary edge swap in a directed, weighted graph, where two edges with the same weight swap their targets. Debt swaps are a natural and appealing operation in financial networks, in which nodes are banks and edges…
Financial institutions face escalating challenges in identifying high-risk customer behaviors within massive transaction networks, where fraudulent activities exploit market fragmentation and institutional boundaries. We address three…
Congestion game is a widely used model for modern networked applications. A central issue in such applications is that the selfish behavior of the participants may result in resource overloading and negative externalities for the system…
We consider a trader who wants to direct his portfolio towards a set of acceptable wealths given by a convex risk measure. We propose a black-box algorithm, whose inputs are the joint law of stock prices and the convex risk measure, and…
Today's networks are controlled assuming pre-compressed and packetized data. For video, this assumption of data packets abstracts out one of the key aspects - the lossy compression problem. Therefore, first, this paper develops a framework…
This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints. It appears that the mathematical problem is more complex than the traditional risk budgeting problem. The formulation of the…
To improve transaction rates, many cryptocurrencies have implemented so-called ''Layer-2'' transaction protocols, where payments are routed across networks of private payment channels. However, for a given transaction, not every network…
We study the parameterized complexity of interdiction problems in graphs. For an optimization problem on graphs, one can formulate an interdiction problem as a game consisting of two players, namely, an interdictor and an evader, who…
Sharing forecasts of network timeseries data, such as cellular or electricity load patterns, can improve independent control applications ranging from traffic scheduling to power generation. Typically, forecasts are designed without…
Evaluation of systemic risk in networks of financial institutions in general requires information of inter-institution financial exposures. In the framework of Debt Rank algorithm, we introduce an approximate method of systemic risk…
We study a Markov matching market involving a planner and a set of strategic agents on the two sides of the market. At each step, the agents are presented with a dynamical context, where the contexts determine the utilities. The planner…
We study truthful mechanisms for matching and related problems in a partial information setting, where the agents' true utilities are hidden, and the algorithm only has access to ordinal preference information. Our model is motivated by the…
In this paper, we study a model reduction technique for leader-follower networked multi-agent systems defined on weighted, undirected graphs with arbitrary linear multivariable agent dynamics. In the network graph of this network, nodes…
The paper addresses large-scale, convex optimization problems that need to be solved in a distributed way by agents communicating according to a random time-varying graph. Specifically, the goal of the network is to minimize the sum of…
The article studies edge coverage for control flow graphs extended with explicit constraints. Achieving a given level of white-box coverage for a given code is a classic problem in software testing. We focus on designing test sets that…
Optimal execution of a portfolio have been a challenging problem for institutional investors. Traders face the trade-off between average trading price and uncertainty, and traditional methods suffer from the curse of dimensionality. Here,…
In this paper, we study a matching market model on a bipartite network where agents on each side arrive and depart stochastically by a Poisson process. For such a dynamic model, we design a mechanism that decides not only which agents to…
A dynamic bipartite matching model is given by a bipartite matching graph which determines the possible matchings between the various types of supply and demand items. Both supply and demand items arrive to the system according to a…
As financial institutions increasingly rely on machine learning models to automate lending decisions, concerns about algorithmic fairness have risen. This paper explores the tradeoff between enforcing fairness constraints (such as…
Aggregators are playing an increasingly crucial role in the integration of renewable generation in power systems. However, the intermittent nature of renewable generation makes market interactions of aggregators difficult to monitor and…