Related papers: Algorithms for Claims Trading
Financial market forecasting remains a formidable challenge despite the surge in computational capabilities and machine learning advancements. While numerous studies have underscored the precision of computer-generated market predictions,…
We study the problem of computing maximin share guarantees, a recently introduced fairness notion. Given a set of $n$ agents and a set of goods, the maximin share of a single agent is the best that she can guarantee to herself, if she would…
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 concept of clearing or netting, as defined in the glossaries of European Central Bank, has a great impact on the economy of a country influencing the exchanges and the interactions between companies. On short, netting refers to an…
We consider a network of banks that optimally choose a strategy of asset liquidations and borrowing in order to cover short term obligations. The borrowing is done in the form of collateralized repurchase agreements, the haircut level of…
We develop a new framework for generalizing approximation algorithms from the structural graph algorithm literature so that they apply to graphs somewhat close to that class (a scenario we expect is common when working with real-world…
We model the role of an online platform disrupting a market with unit-demand buyers and unit-supply sellers. Each seller can transact with a subset of the buyers whom she already knows, as well as with any additional buyers to whom she is…
An optimal delivery of arguments is key to persuasion in any debate, both for humans and for AI systems. This requires the use of clear and fluent claims relevant to the given debate. Prior work has studied the automatic assessment of…
In a one-sided limit order book, satisfying some realistic assumptions, where the unaffected price process follows a Levy process, we consider a market agent that wants to liquidate a large position of shares. We assume that the agent has…
Partitioning an input graph over a set of workers is a complex operation. Objectives are twofold: split the work evenly, so that every worker gets an equal share, and minimize edge cut to achieve a good work locality (i.e. workers can work…
We develop a class of non-life reserving models using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an essentially arbitrary choice of a priori distribution for the ultimate loss. Taking an…
This paper considers the problem faced by a bank which trades in the funds market so as to maintain the reserve requirements and minimize the costs of doing that. We work in a stochastic paradigm and the reserve requirements are determined…
We analyze how interdependencies between organizations in financial networks can lead to multiple possible equilibrium outcomes. A multiplicity arises if and only if there exists a certain type of dependency cycle in the network that allows…
We develop a dynamic multi-agent model of an interbank payment system where banks choose their level of available funds on the basis of private payoff maximisation. The model consists of the repetition of a simultaneous move stage game with…
This paper extends the optimal-trading framework developed in arXiv:2409.03586v1 to compute optimal strategies with real-world constraints. The aim of the current paper, as with the previous, is to study trading in the context of…
Reinforcement learning has been explored for many problems, from video games with deterministic environments to portfolio and operations management in which scenarios are stochastic; however, there have been few attempts to test these…
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…
This paper provides a framework for modeling financial contagion in a network subject to fire sales and price impacts, but allowing for firms to borrow to cover their shortfall as well. We consider both uncollateralized and collateralized…
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…
The debts' clearing problem is about clearing all the debts in a group of $n$ entities (e.g. persons, companies) using a minimal number of money transaction operations. In our previous works we studied the problem, gave a dynamic…