Related papers: Algorithms for Claims Trading
Cycles in graphs often signify interesting processes. For example, cyclic trading patterns can indicate inefficiencies or economic dependencies in trade networks, cycles in food webs can identify fragile dependencies in ecosystems, and…
In the classic online graph balancing problem, edges arrive sequentially and must be oriented immediately upon arrival, to minimize the maximum in-degree. For adversarial arrivals, the natural greedy algorithm is $O(\log n)$-competitive,…
Two general algorithms based on opportunity costs are given for approximating a revenue-maximizing set of bids an auctioneer should accept, in a combinatorial auction in which each bidder offers a price for some subset of the available…
Network reliability measures the probability that a target node is reachable from a source node in an uncertain graph, i.e., a graph where every edge is associated with a probability of existence. In this paper, we investigate the novel and…
The design of good heuristics or approximation algorithms for NP-hard combinatorial optimization problems often requires significant specialized knowledge and trial-and-error. Can we automate this challenging, tedious process, and learn the…
We study the $b$-matching problem in bipartite graphs $G=(S,R,E)$. Each vertex $s\in S$ is a server with individual capacity $b_s$. The vertices $r\in R$ are requests that arrive online and must be assigned instantly to an eligible server.…
This paper presents several models addressing optimal portfolio choice, optimal portfolio liquidation, and optimal portfolio transition issues, in which the expected returns of risky assets are unknown. Our approach is based on a coupling…
We study an economic model where agents trade a variety of products by using one of three competing rules: "need", "greed" and "noise". We find that the optimal strategy for any agent depends on both product composition in the overall…
The replacement closeout convention has drawn more and more attention since the 2008 financial crisis. Compared with the conventional risk-free closeout, the replacement closeout convention incorporates the creditworthiness of the…
Payment channel networks (PCNs) are a promising technology to improve the scalability of cryptocurrencies. PCNs, however, face the challenge that the frequent usage of certain routes may deplete channels in one direction, and hence prevent…
Machine learning and data mining algorithms have been increasingly used recently to support decision-making systems in many areas of high societal importance such as healthcare, education, or security. While being very efficient in their…
In the \emph{tollbooth problem}, we are given a tree $\bT=(V,E)$ with $n$ edges, and a set of $m$ customers, each of whom is interested in purchasing a path on the tree. Each customer has a fixed budget, and the objective is to price the…
As impressively shown by the financial crisis in 2007/08, contagion effects in financial networks harbor a great threat for the stability of the entire system. Without sufficient capital requirements for banks and other financial…
Payment channel networks (PCNs) are a promising approach to making cryptocurrency transactions faster and more scalable. At their core, PCNs bypass the blockchain by routing transactions through intermediary channels. However, a channel can…
We consider the fair allocation of indivisible items to several agents and add a graph theoretical perspective to this classical problem. Namely, we introduce an incompatibility relation between pairs of items described in terms of a…
In the knapsack problem under explorable uncertainty, we are given a knapsack instance with uncertain item profits. Instead of having access to the precise profits, we are only given uncertainty intervals that are guaranteed to contain the…
We consider an agent who needs to buy (or sell) a relatively small amount of asset over some fixed short time interval. We work at the highest frequency meaning that we wish to find the optimal tactic to execute our quantity using limit…
Margin system for margin loans using cash and stock as collateral is considered in this paper, which is the line of defence for brokers against risk associated with margin trading. The conditional probability of negative return is used as…
We study a dynamic portfolio optimization problem related to convergence trading, which is an investment strategy that exploits temporary mispricing by simultaneously buying relatively underpriced assets and selling short relatively…
The recent financial crisis has sharply revealed that current understanding of the global financial system is more than limited. In the recovery plan the confidence in the underlying theory is crucial. To address the problem we propose the…