Related papers: Dynamic Debt Swapping in Financial Networks
A projective network model is a model that enables predictions to be made based on a subsample of the network data, with the predictions remaining unchanged if a larger sample is taken into consideration. An exchangeable model is a model…
Betweenness is a well-known centrality measure that ranks the nodes of a network according to their participation in shortest paths. Since an exact computation is prohibitive in large networks, several approximation algorithms have been…
We settle the pseudo-polynomial complexity of the Demand Strip Packing (DSP) problem: Given a strip of fixed width and a set of items with widths and heights, the items must be placed inside the strip with the objective of minimizing the…
We analyse time series of CDS spreads for a set of major US and European institutions on a pe- riod overlapping the recent financial crisis. We extend the existing methodology of {\epsilon}-drawdowns to the one of joint {\epsilon}-drawups,…
In this paper, we assess how the stability of financial networks is affected by interconnectedness considering its tiniest variation: the edge. We compute the impact of edges as the percentage difference in the systemic risk (SR) of the…
A key problem in network theory is how to reconfigure a graph in order to optimize a quantifiable objective. Given the ubiquity of networked systems, such work has broad practical applications in a variety of situations, ranging from drug…
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…
The pattern matching problem with swaps is to find all occurrences of a pattern in a text while allowing the pattern to swap adjacent symbols. The goal is to design fast matching algorithm that takes advantage of the bit parallelism of…
We study network connection games where the nodes of a network perform edge swaps in order to improve their communication costs. For the model proposed by Alon et al. (2010), in which the selfish cost of a node is the sum of all shortest…
Empirical measures of financial connectedness based on Forecast Error Variance Decompositions (FEVDs) often yield dense network structures that obscure true transmission channels and complicate the identification of systemic risk. This…
The integration of intermittent and stochastic renewable energy resources requires increased flexibility in the operation of the electric grid. Storage, broadly speaking, provides the flexibility of shifting energy over time; network, on…
Betweenness centrality ranks the importance of nodes by their participation in all shortest paths of the network. Therefore computing exact betweenness values is impractical in large networks. For static networks, approximation based on…
The field of Financial Networks is a paramount example of the novel applications of Statistical Physics that have made possible by the present data revolution. As the total value of the global financial market has vastly outgrown the value…
The Fixed-Charge Network Flow problem is a well-studied NP-hard problem that has the goal of finding a flow in a network where fixed edge costs are incurred, regardless of the amount of flow hosted by the edge. In this paper, we consider…
Perpetual swaps are derivative contracts that allow traders to speculate on, or hedge, the price movements of cryptocurrencies. Unlike futures contracts, perpetual swaps have no settlement or expiration in the traditional sense. The funding…
Given a dynamic network, where edges appear and disappear over time, we are interested in finding sets of edges that have similar temporal behavior and form a dense subgraph. Formally, we define the problem as the enumeration of the maximal…
Betweenness is a well-known centrality measure that ranks the nodes of a network according to their participation in shortest paths. Since an exact computation is prohibitive in large networks, several approximation algorithms have been…
We consider a large random network, in which the performance of a node depends upon that of its neighbours and some external random influence factors. This results in random vector valued fixed-point (FP) equations in large dimensional…
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…
Receivable financing is the process whereby cash is advanced to firms against receivables their customers have yet to pay: a receivable can be sold to a funder, which immediately gives the firm cash in return for a small percentage of the…