相关论文: Investigating Competition in Financial Markets: A …

Over the last few years there has been a growing interest in using financial trading networks to understand the microstructure of financial markets. Most of the methodologies developed so far for this purpose have been based on the study of…

The objective of this paper is to initiate a qualitative analysis of dynamic flow in traffic networks by using the competitive equilibrium model of multiple market systems. A network is modeled as a dynamic graph where routes (edges) are…

Financial markets for Liquified Natural Gas (LNG) are an important and rapidly-growing segment of commodities markets. Like other commodities markets, there is an inherent spatial structure to LNG markets, with different price dynamics for…

Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…

Estimating network formation models with degree heterogeneity raises two problems in empirical networks. First, agents that send no links, receive no links, or link to all remaining agents can make the fixed-effects MLE fail to exist.…

We propose a multinomial logistic regression model for link prediction in a time series of directed binary networks. To account for the dynamic nature of the data we employ a dynamic model for the model parameters that is strongly connected…

We study a class of dynamical networks modeled by linear and time-invariant systems which are described by state-space realizations. For these networks, we investigate the relations between various types of factorizations which preserve the…

We consider high-dimensional distribution estimation through autoregressive networks. By combining the concepts of sparsity, mixtures and parameter sharing we obtain a simple model which is fast to train and which achieves state-of-the-art…

Modeling how network-level traffic flow changes in the urban environment is useful for decision-making in transportation, public safety and urban planning. The traffic flow system can be viewed as a dynamic process that transits between…

Interaction strategies for reward in competitive environments are significantly influenced by the nature and extent of available information. In financial markets, particularly foreign exchange (forex), traders operate independently with…

We consider performance deterioration of interconnected linear dynamical networks subject to exogenous stochastic disturbances. The focus of this paper is on first-order and second-order linear consensus networks. We employ the expected…

We propose a dynamic network model where two mechanisms control the probability of a link between two nodes: (i) the existence or absence of this link in the past, and (ii) node-specific latent variables (dynamic fitnesses) describing the…

Bayesian networks, with structure given by a directed acyclic graph (DAG), are a popular class of graphical models. However, learning Bayesian networks from discrete or categorical data is particularly challenging, due to the large…

This paper proposes a simplified version of classical models for urban transportation networks, and studies the problem of controlling intersections with the goal of optimizing network-wide congestion. Differently from traditional…

In this paper, we investigate the dynamic emergence of traffic order in a distributed multi-agent system, aiming to minimize inefficiencies that stem from unnecessary structural impositions. We introduce a methodology for developing a…

Dynamic gene-regulatory networks are complex since the number of potential components involved in the system is very large. Estimating dynamic networks is an important task because they compromise valuable information about interactions…

We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders,…

We demonstrate the application of an algorithmic trading strategy based upon the recently developed dynamic mode decomposition (DMD) on portfolios of financial data. The method is capable of characterizing complex dynamical systems, in this…

We introduce a formalism to deal with the microscopic modeling of vehicular traffic on a road network. Traffic on each road is uni-directional, and the dynamics of each vehicle is described by a Follow-the-Leader model. From a mathematical…

Jointly modeling and forecasting economic and financial variables across a large set of countries has long been a significant challenge. Two primary approaches have been utilized to address this issue: the vector autoregressive model with…