相关论文: Clearing Payments in Dynamic Financial Networks

The Fixed-Charge Network Flow problem is a well-studied NP-hard problem that has the goal of finding a flow in a network where fixed edge costs are incurred, regardless of the amount of flow hosted by the edge. In this paper, we consider…

We introduce a novel Dynamic Graph Neural Network (DGNN) architecture for solving conditional $m$-steps ahead forecasting problems in temporal financial networks. The proposed DGNN is validated on simulated data from a temporal financial…

Exploring measures to improve financial networks and mitigate systemic risks is an ongoing challenge. We study claims trading, a notion defined in Chapter 11 of the U.S. Bankruptcy Code. For a bank $v$ in distress and a trading partner $w$,…

The problem of market clearing is to set a price for an item such that quantity demanded equals quantity supplied. In this work, we cast the problem of predicting clearing prices into a learning framework and use the resulting models to…

In the load balancing problem, each node in a network is assigned a load, and the goal is to equally distribute the loads among the nodes, by preforming local load exchanges. While load balancing was extensively studied in static networks,…

We develop a methodology that utilizes deep learning to simultaneously solve and estimate canonical continuous-time general equilibrium models in financial economics. We illustrate our method in two examples: (1) industrial dynamics of…

The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical…

In this paper we study dynamic averaging load balancing on general graphs. We consider infinite time and dynamic processes, where in every step new load items are assigned to randomly chosen nodes. A matching is chosen, and the load is…

This paper proposes online algorithms for dynamic matching markets in power distribution systems, which at any real-time operation instance decides about matching -- or delaying the supply of -- flexible loads with available renewable…

We develop a dynamic multi-agent model of an interbank payment system where banks choose their level of available funds on the basis of private payoff maximisation. The model consists of the repetition of a simultaneous move stage game with…

Money laundering is a global problem that concerns legitimizing proceeds from serious felonies (1.7-4 trillion euros annually) such as drug dealing, human trafficking, or corruption. The anti-money laundering systems deployed by financial…

This paper studies efficient algorithms for dynamic curing policies and the corresponding network design problems to guarantee the fast extinction of epidemic spread in a susceptible-infected-susceptible (SIS) model. We consider a Markov…

Bitcoin is currently subject to a significant pay-for-speed trade-off. This is caused by lengthy and highly variable transaction confirmation times, especially during times of congestion. Users can reduce their transaction confirmation…

We present a method for optimal control with respect to a linear cost function for positive linear systems with coupled input constraints. We show that the optimal cost function and resulting sparse state feedback for these systems can be…

A novel procedure is presented for the objective comparison and evaluation of a bank's decision rules in optimising the timing of loan recovery. This procedure is based on finding a delinquency threshold at which the financial loss of a…

Whereas traditional credit scoring tends to employ only individual borrower- or loan-level predictors, it has been acknowledged for some time that connections between borrowers may result in default risk propagating over a network. In this…

Novel method of reconstructing dynamical networks from empirically measured time series is proposed. By examining the variable--derivative correlation of network node pairs, we derive a simple equation that directly yields the adjacency…

The scope of financial systemic risk research encompasses a wide range of interbank channels and effects, including asset correlation shocks, default contagion, illiquidity contagion, and asset fire sales. This paper introduces a financial…

A modern version of Monetary Circuit Theory with a particular emphasis on stochastic underpinning mechanisms is developed. It is explained how money is created by the banking system as a whole and by individual banks. The role of central…

A class of queueing networks which may have an arbitrary topology, and consist of single-server fork-join nodes with both infinite and finite buffers is examined to derive a representation of the network dynamics in terms of max-plus…