Related papers: Algorithms for Claims Trading
We study the formation of an optimal interbank network in a model where banks control both their supply of liquidity, through cash reserves, and their exposures to other banks' risky projects. The value of each bank's project may suddenly…
We focus on the average-case analysis: A function w : V -> Z+ is given which defines the likelihood for a node to be the one marked, and we want the strategy that minimizes the expected number of queries. Prior to this paper, very little…
Graphs are a natural representation of data from various contexts, such as social connections, the web, road networks, and many more. In the last decades, many of these networks have become enormous, requiring efficient algorithms to cut…
When using graphs and graph transformations to model systems, consistency is an important concern. While consistency has primarily been viewed as a binary property, i.e., a graph is consistent or inconsistent with respect to a set of…
The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical…
As computational agents are developed for increasingly complicated e-commerce applications, the complexity of the decisions they face demands advances in artificial intelligence techniques. For example, an agent representing a seller in an…
Evolutions of the trading landscape lead to the capability to exchange the same financial instrument on different venues. Because of liquidity issues, the trading firms split large orders across several trading destinations to optimize…
Trade credit insurance (TCI) is a specialized line of property and casualty insurance, protecting businesses against financial losses due to buyer's insolvency. Predictive modeling for TCI claims poses formidable challenges due to the…
The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent…
We have a set of processors (or agents) and a set of graph networks defined over some vertex set. Each processor can access a subset of the graph networks. Each processor has a demand specified as a pair of vertices $<u, v>$, along with a…
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…
We consider the problem of approximating a maximum weighted matching, when the edges of an underlying weighted graph $G(V,E)$ are revealed in a streaming fashion. We analyze a variant of the previously best-known…
We consider the problem of a revenue-maximizing seller with m items for sale to n additive bidders with hard budget constraints, assuming that the seller has some prior distribution over bidder values and budgets. The prior may be…
Financial portfolio optimization is a widely studied problem in mathematics, statistics, financial and computational literature. It adheres to determining an optimal combination of weights associated with financial assets held in a…
We consider the fair allocation of indivisible items to several agents with additional conflict constraints. These are represented by a conflict graph where each item corresponds to a vertex of the graph and edges in the graph represent…
We derive a closed form solution for an optimal control problem related to an interbank lending schemes subject to terminal probability constraints on the failure of banks which are interconnected through a financial network. The derived…
An active margin system for margin loans is proposed for Chinese margin lending market, which uses cash and randomly selected stock as collateral. The conditional probability of negative return(CPNR) after a forced sale of securities from…
Payment channel networks (PCNs) are a promising technology that alleviates blockchain scalability by shifting the transaction load from the blockchain to the PCN. Nevertheless, the network topology has to be carefully designed to maximise…
Two kinds of approximation algorithms exist for the k-BALANCED PARTITIONING problem: those that are fast but compute unsatisfying approximation ratios, and those that guarantee high quality ratios but are slow. In this paper we prove that…
The aim of this work is to create systematic trading strategies built upon several financial crisis indicators based on the spectral properties of market dynamics. Within the limitations of our framework and data, we will demonstrate that…