Related papers: A Computational Framework for Financial Structures
Different types of reasoning impose different structural demands on representational systems, yet no systematic account of these demands exists across psychology, AI, and philosophy of mind. I propose a framework identifying four structural…
This paper introduces a systematic methodological framework to design and analyze distributed algorithms for optimization and games over networks. Starting from a centralized method, we identify an aggregation function involving all the…
We present a computational model of mathematical reasoning according to which mathematics is a fundamentally stochastic process. That is, on our model, whether or not a given formula is deemed a theorem in some axiomatic system is not a…
Within the Solvency II framework the insurance industry requires a realistic modelling of the risk processes relevant for its business. Every insurance company should be capable of running a holistic risk management process to meet this…
Foundation Models (FMs) have become essential components in modern software systems, excelling in tasks such as pattern recognition and unstructured data processing. However, their capabilities are complemented by the precision,…
We develop a general framework for incorporating distributional preferences in market design. We identify the structural properties of these preferences that guarantee the path independence of choice rules. In decentralized settings, a…
Graphical models can represent a multivariate distribution in a convenient and accessible form as a graph. Causal models can be viewed as a special class of graphical models that not only represent the distribution of the observed system…
This paper formed part of a preliminary research report for a risk consultancy and academic research. Stochastic Programming models provide a powerful paradigm for decision making under uncertainty. In these models the uncertainties are…
A new chaotic financial system is proposed by considering ethics involvement in a four-dimensional financial system with market confidence. A five-dimensional conformable derivative financial system is presented by introducing conformable…
This paper is concerned with a simulation study for a stochastic production network model, where the capacities of machines may change randomly. We introduce performance measures motivated by risk measures from finance leading to a…
We introduce a novel framework for computing optimal randomized security policies in networked domains which extends previous approaches in several ways. First, we extend previous linear programming techniques for Stackelberg security games…
Stochastic agent-based models can account for millions of cells with spatiotemporal movement that can be a function of different factors. However, these simulations can be computationally expensive. In this work, we develop a novel…
Systemic risk is a rapidly developing area of research. Classical financial models often do not adequately reflect the phenomena of bubbles, crises, and transitions between them during credit cycles. To study very improbable events,…
Tanker water systems play critical role in providing adequate service to meet potable water demands in the face of acute water crisis in many cities globally. Managing tanker movements among the supply and demand sides requires an efficient…
We develop an assume-guarantee contract framework for the design of cyber-physical systems, modeled as closed-loop control systems, under probabilistic requirements. We use a variant of signal temporal logic, namely, Stochastic Signal…
Quantum computers are not yet up to the task of providing computational advantages for practical stochastic diffusion models commonly used by financial analysts. In this paper we introduce a class of stochastic processes that are both…
This work introduces a new framework for modeling financial markets through an interpretable probabilistic state machine. By clustering historical returns based on momentum and risk features across multiple time horizons, we identify…
The behavior of complex systems is determined not only by the topological organization of their interconnections but also by the dynamical processes taking place among their constituents. A faithful modeling of the dynamics is essential…
Microgrids are autonomous clusters of generators, storage units and loads. Special requirements arise in interconnected operation: control schemes that do not require individual microgrids to disclose information about their internal…
For massive and heterogeneous modern datasets, it is of fundamental interest to provide guarantees on the accuracy of estimation when computational resources are limited. In the application of learning to rank, we provide a hierarchy of…