Related papers: Optimal Bailouts in Diversified Financial Networks
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We investigate a multi-agent model of firms in an R\&D network. Each firm is characterized by its knowledge stock $x_{i}(t)$, which follows a non-linear dynamics. It can grow with the input from other firms, i.e., by knowledge transfer, and…
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…
Recent theoretical work has demonstrated that deep neural networks have superior performance over shallow networks, but their training is more difficult, e.g., they suffer from the vanishing gradient problem. This problem can be typically…
Complex socioeconomic networks such as information, finance and even terrorist networks need resilience to cascades - to prevent the failure of a single node from causing a far-reaching domino effect. We show that terrorist and guerrilla…
We address the liquidation problem arising from the credit risk management in decentralised finance (DeFi) by formulating it as an ergodic optimal control problem. In decentralised derivatives exchanges, liquidation is triggered whenever…
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Robust optimization is concerned with constructing solutions that remain feasible also when a limited number of resources is removed from the solution. Most studies of robust combinatorial optimization to date made the assumption that every…
Social science studies dealing with control in networks typically resort to heuristics or describing the static control distribution. Optimal policies, however, require interventions that optimize control over a socioeconomic network…
I characterize optimal government policy in a sticky-price economy with different types of consumers and endogenous financial constraints in the banking and entrepreneurial sectors. The competitive equilibrium allocation is constrained…
Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of the most important and difficult challenges in bank management. Due to unexpected and abrupt decline of asset values, a bank must closely…
Large but rare cascades triggered by small initial shocks are present in most of the infrastructure networks. Here we present a simple model for cascading failures based on the dynamical redistribution of the flow on the network. We show…
This paper studies the dividend and capital injection problem under a diffusion risk model with general discount functions. A proportional cost is imposed when injecting capitals. For exponential discounting as time-consistent benchmark, we…
We propose a new model of the liquidity driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system modeling and systemic risk analysis. We…
We consider an optimal investment-consumption problem for a utility-maximizing investor who has access to assets with different liquidity and whose consumption rate as well as terminal wealth are subject to lower-bound constraints. Assuming…
We propose a generic system model for a special category of interdependent networks, demand-supply networks, in which the demand and the supply nodes are associated with heterogeneous loads and resources, respectively. Our model sheds a…
Peer to peer systems are the networks consisting of a group of nodes possible to be as wide as the Internet. These networks are required of evaluation mechanisms and distributed control and configurations, so each peer will be able to…
This paper studies the ubiquitous problem of liquidating large quantities of highly correlated stocks, a task frequently encountered by institutional investors and proprietary trading firms. Traditional methods in this setting suffer from…
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. By…
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