相关论文: Optimal Collaterals in Multi-Enterprise Investment…

While interdependent systems have usually been associated with increased fragility, we show that strengthening the interdependence between dynamical processes on different networks can make them more robust. By coupling the dynamics of…

The global balance index is used in the network literature to quantify how balanced a signed network is. In this paper we show that the global balance index of financial correlation networks can be used as a systemic risk measure. We define…

We consider a model of a reinsurance market consisting of multiple insurers on the demand side and multiple reinsurers on the supply side, thereby providing a unifying framework and extension of the recent literature on optimality and…

We consider a cyber-physical system consisting of two interacting networks, i.e., a cyber-network overlaying a physical-network. It is envisioned that these systems are more vulnerable to attacks since node failures in one network may…

The theory of multilayer networks is in its early stages, and its development provides vital methods for understanding complex systems. Multilayer networks, in their multiplex form, have been introduced within the last three years to…

This paper presents a multi-agent reinforcement learning algorithm to represent strategic bidding behavior in freight transport markets. Using this algorithm, we investigate whether feasible market equilibriums arise without any central…

We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the…

When a loan is approved for a person or company, the bank is subject to \emph{credit risk}; the risk that the lender defaults. To mitigate this risk, a bank will require some form of \emph{security}, which will be collected if the lender…

The dynamic network of relationships among corporations underlies cascading economic failures including the current economic crisis, and can be inferred from correlations in market value fluctuations. We analyze the time dependence of the…

I analyze long-term contracting in insurance markets with asymmetric information. The buyer privately observes her risk type, which evolves stochastically over time. A long-term contract specifies a menu of insurance policies, contingent on…

This paper investigates the efficiency loss in social cost caused by strategic bidding behavior of individual participants in a supply-demand balancing market, and proposes a mechanism to fully recover equilibrium social optimum via…

In this paper, we propose a dynamical model to capture cascading failures among interconnected organizations in the global financial system. Failures can take the form of bankruptcies, defaults, and other insolvencies. The network that…

We consider a novel adversarial shock/protection problem for a class of network equilibria models emerging from a variety of different fields as continuous network games, production networks, opinion dynamic models. The problem is casted…

This paper considers an insurer with two collaborating business lines that must make three critical decisions: (1) dividend payout, (2) a combination of proportional and excess-of-loss reinsurance coverage, and (3) capital injection between…

Demand response has been a promising solution for accommodating renewable energy in power systems. In this study, we consider a demand response scheme within a distribution network facing an energy supply deficit. The utility company…

In this paper, we study a strategic model of marketing and product consumption in social networks. We consider two competing firms in a market providing two substitutable products with preset qualities. Agents choose their consumptions…

The seniority of debt, which determines the order in which a bankrupt institution repays its debts, is an important and sometimes contentious feature of financial crises, yet its impact on system-wide stability is not well understood. We…

One of the natural objectives of the field of the social networks is to predict agents' behaviour. To better understand the spread of various products through a social network arXiv:1105.2434 introduced a threshold model, in which the nodes…

Many real-world systems are composed of interdependent networks that rely on one another. Such networks are typically designed and operated by different entities, who aim at maximizing their own payoffs. There exists a game among these…

We analyze the phenomenon of collusion for the purpose of boosting the pagerank of a node in an interlinked environment. We investigate the optimal attack pattern for a group of nodes (attackers) attempting to improve the ranking of a…