Related papers: Algorithms for Claims Trading
We consider the Stochastic Matching problem, which is motivated by applications in kidney exchange and online dating. In this problem, we are given an undirected graph. Each edge is assigned a known, independent probability of existence and…
The chosen tool of this thesis is an extremal type approach. The lesson drawn by the theorems proved in the thesis is that surprisingly small compromise is necessary on the efficacy of the solutions to make the approach work. The problems…
Widespread default involves substantial deadweight costs which could be countered by injecting capital into failing firms. Injections have positive spillovers that can trigger a repayment cascade. But which firms should a regulator bailout…
In this paper, we investigate the influence of claims in analyst reports and earnings calls on financial market returns, considering them as significant quarterly events for publicly traded companies. To facilitate a comprehensive analysis,…
This paper studies online optimization under inventory (budget) constraints. While online optimization is a well-studied topic, versions with inventory constraints have proven difficult. We consider a formulation of inventory-constrained…
We study the problem of edge partitioning, where the goal is to partition the edge set of a graph into several parts. The replication factor of a vertex $v$ is the number of parts that contain edges incident to $v$. The goal is to minimize…
Financial contagion has been widely recognized as a fundamental risk to the financial system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms depress asset prices and propagate financial stress,…
This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…
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…
The topics treated in this thesis are inherently two-fold. The first part considers the problem of a market maker optimally setting bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders…
In this thesis, we design algorithms for several NP-hard problems in both worst and beyond worst case settings. In the first part of the thesis, we apply the traditional worst case methodology and design approximation algorithms for the Hub…
In the context of understanding the nature of the risk transformation process of the financial system we propose an iterative risk-trading game between several agents who build their trading strategies based on a general utility setting.…
As economics scales, a key bottleneck is representing what papers claim in a comparable, aggregable form. We introduce evidence-annotated claim graphs that map each paper into a directed network of standardized economic concepts (nodes) and…
Suppose you are given a graph $G=(V,E)$ with a weight assignment $w:V\rightarrow\mathbb{Z}$ and that your objective is to modify $w$ using legal steps such that all vertices will have the same weight, where in each legal step you are…
In [1] Zawadoski introduces a banking network model in which the asset and counter-party risks are treated separately and the banks hedge their assets risks by appropriate OTC contracts. In his model, each bank has only two counter-party…
In signed networks, each edge is labeled as either positive or negative. The edge sign captures the polarity of a relationship. Balance of signed networks is a well-studied property in graph theory. In a balanced (sub)graph, the vertices…
In this paper we estimate the propagation of liquidity shocks through interbank markets when the information about the underlying credit network is incomplete. We show that techniques such as Maximum Entropy currently used to reconstruct…
We employ the mathematical programming approach in conjunction with the graph theory to study the structure of correspondent banking networks. Optimizing the network requires decisions to be made to onboard, terminate or restrict the bank…
Given a vertex-weighted graph, the maximum weight independent set problem asks for a pair-wise non-adjacent set of vertices such that the sum of their weights is maximum. The branch-and-reduce paradigm is the de facto standard approach to…
In the classic Dial-a-Ride Problem, a server travels in some metric space to serve requests for rides. Each request has a source, destination, and release time. We study a variation of this problem where each request also has a revenue that…