Related papers: Algorithms for Claims Trading
Balanced and swap-robust minimal trades, introduced in [1], are important for studying the balance and stability of server access request protocols under data popularity changes. Constructions of such trades have so far relied on paired…
This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss, or only on the liquidity-consuming orders like Obizhaeva and Wang,…
Financial undertakings often have to deal with liabilities of the form 'non-hedgeable claim size times value of a tradeable asset', e.g. foreign property insurance claims times fx rates. Which strategy to invest in the tradeable asset is…
This paper develops learning-augmented algorithms for energy trading in volatile electricity markets. The basic problem is to sell (or buy) $k$ units of energy for the highest revenue (lowest cost) over uncertain time-varying prices, which…
Portfolio optimization has been a central problem in finance, often approached with two steps: calibrating the parameters and then solving an optimization problem. Yet, the two-step procedure sometimes encounter the "error maximization"…
A framework for asynchronous, signature free, fully local and probabilistically converging total order algorithms is developed, that may survive in high entropy, unstructured Peer-to-Peer networks with near optimal communication efficiency.…
We address a fundamental problem that is systematically encountered when modeling complex systems: the limitedness of the information available. In the case of economic and financial networks, privacy issues severely limit the information…
We address the problem of maximizing Gain from Trade (GFT) in repeated buyer-seller exchanges subject to global budget balance constraints. While this problem is well-understood in purely adversarial and stochastic settings, these…
We study linear Fisher markets with satiation. In these markets, sellers have earning limits and buyers have utility limits. Beyond natural applications in economics, these markets arise in the context of maximizing Nash social welfare when…
Expander graphs are known to be robust to edge deletions in the following sense: for any online sequence of edge deletions $e_1, e_2, \ldots, e_k$ to an $m$-edge graph $G$ that is initially a $\phi$-expander, the algorithm can grow a set $P…
The use of neural networks trained on individual claims data has become increasingly popular in the actuarial reserving literature. We consider how to best input historical payment data in neural network models. Additionally, case estimates…
A system for Operational Risk management based on the computational paradigm of Bayesian Networks is presented. The algorithm allows the construction of a Bayesian Network targeted for each bank using only internal loss data, and takes into…
The debts' clearing problem is about clearing all the debts in a group of n entities (persons, companies etc.) using a minimal number of money transaction operations. The problem is known to be NP-hard in the strong sense. As for many…
The VertexCover problem is proven to be computationally hard in different ways: It is NP-complete to find an optimal solution and even NP-hard to find an approximation with reasonable factors. In contrast, recent experiments suggest that on…
We present prior robust algorithms for a large class of resource allocation problems where requests arrive one-by-one (online), drawn independently from an unknown distribution at every step. We design a single algorithm that, for every…
Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural…
We study financial networks with debt contracts and credit default swaps between specific pairs of banks. Given such a financial system, we want to decide which of the banks are in default, and how much of their liabilities can these…
We consider financial networks, where banks are connected by contracts such as debts or credit default swaps. We study the clearing problem in these systems: we want to know which banks end up in a default, and what portion of their…
We study the approximability of the maximum size independent set (MIS) problem in bounded degree graphs. This is one of the most classic and widely studied NP-hard optimization problems. We focus on the well known minimum degree greedy…
We model equilibrium allocations in a distribution network as the solution of a linear program (LP) which minimizes the cost of unserved demands across nodes in the network. The constraints in the LP dictate that once a given node's supply…