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Signed networks, characterized by edges labeled as either positive or negative, offer nuanced insights into interaction dynamics beyond the capabilities of unsigned graphs. Central to this is the task of identifying the maximum balanced…
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…
We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…
Online Resource Allocation addresses the problem of efficiently allocating limited resources to buyers with incomplete knowledge of future requests. In our setting, buyers arrive sequentially requesting a set of items, each with a value…
Cryptocurrencies such as Bitcoin and Ethereum have recently gained a lot of popularity, not only as a digital form of currency but also as an investment vehicle. Online marketplaces and exchanges allow users across the world to convert…
A trading system is said to be {robust} if it generates a robust return regardless of market direction. To this end, a consistently positive expected trading gain is often used as a robustness metric for a trading system. In this paper, we…
A market-maker-based prediction market lets forecasters aggregate information by editing a consensus probability distribution either directly or by trading securities that pay off contingent on an event of interest. Combinatorial prediction…
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…
To facilitate load balancing, distributed systems store data redundantly. We evaluate the load balancing performance of storage schemes in which each object is stored at $d$ different nodes, and each node stores the same number of objects.…
We propose a new family of combinatorial inference problems for graphical models. Unlike classical statistical inference where the main interest is point estimation or parameter testing, combinatorial inference aims at testing the global…
Distributed ledger technologies (DLTs) rely on distributed consensus mechanisms to reach agreement over the order of transactions and to provide immutability and availability of transaction data. Distributed consensus suffers from…
Many-to-many matching with contracts is studied in the framework of revealed preferences. All preferences are described by choice functions that satisfy natural conditions. Under a no-externality assumption individual preferences can be…
A repairable threshold scheme (which we abbreviate to RTS) is a $(\tau,n)$-threshold scheme in which a subset of players can "repair" another player's share in the event that their share has been lost or corrupted. This will take place…
Collective classification models attempt to improve classification performance by taking into account the class labels of related instances. However, they tend not to learn patterns of interactions between classes and/or make the assumption…
We consider robust combinatorial optimization problems with cost uncertainty where the decision maker can prepare K solutions beforehand and chooses the best of them once the true cost is revealed. Also known as min-max-min robustness (a…
In this work, we study a dynamic portfolio optimization problem related to pairs trading, which is an investment strategy that matches a long position in one security with a short position in another security with similar characteristics.…
We present a model describing the competition between information transmission and decision making in financial markets. The solution of this simple model is recalled, and possible variations discussed. It is shown numerically that despite…
Finite mixtures are a flexible modeling tool for irregularly shaped densities and samples from heterogeneous populations. When modeling with mixtures using an exchangeable prior on the component features, the component labels are arbitrary…
The theory of combinatorial designs has recently been used in order to build switch-centric data centre networks incorporating a large number of servers, in comparison with the popular Fat-Tree data centre network. The construction…
We use inverse methods of statistical mechanics to explore trade-offs associated with designing interactions to stabilize self-assembled structures against changes in density or temperature. Specifically, we find isotropic,convex-repulsive…