相关论文: Clearing Payments in Dynamic Financial Networks

Transaction graphs, which represent financial and trade transactions between entities such as bank accounts and companies, can reveal patterns indicative of financial crimes like money laundering and fraud. However, effective detection of…

We introduce a model of infinite horizon linear dynamic optimization and obtain results concerning existence of solution and satisfaction of the competitive condition and transversality condition being unconditionally sufficient for…

We consider a distribution logistics scenario where a shipping operator, managing a limited amount of resources, receives a stream of collection requests, issued by a set of customers along a booking time-horizon, that are referred to a…

In this paper we demonstrate both theoretically as well as numerically that neural networks can detect model-free static arbitrage opportunities whenever the market admits some. Due to the use of neural networks, our method can be applied…

In this paper, we develop a new method for finding an optimal biddingstrategy in sequential auctions, using a dynamic programming technique. Theexisting method assumes that the utility of a user is represented in anadditive form. Thus, the…

Bargaining networks model the behavior of a set of players that need to reach pairwise agreements for making profits. Nash bargaining solutions are special outcomes of such games that are both stable and balanced. Kleinberg and Tardos…

A problem of optimal debt management is modeled as a noncooperative game between a borrower and a pool of lenders, in infinite time horizon with exponential discount. The yearly income of the borrower is governed by a stochastic process.…

One of the most defining features of the global financial network is its inherent complex and intertwined structure. From the perspective of systemic risk it is important to understand the influence of this network structure on default…

This paper provides an algorithmic framework for obtaining fast distributed algorithms for a highly-dynamic setting, in which *arbitrarily many* edge changes may occur in each round. Our algorithm significantly improves upon prior work in…

The proposed model is aimed to reveal important patterns in the behavior of a simplified financial system. The patterns could be detected as regular cycles consisting of debt bubbles and crises. Financial cycles have a well defined…

The amount of data moved over dedicated and non-dedicated network links increases much faster than the increase in the network capacity, but the current solutions fail to guarantee even the promised achievable transfer throughputs. In this…

How to compute (super) hedging costs in rather general fi- nancial market models with transaction costs in discrete-time ? Despite the huge literature on this topic, most of results are characterizations of the super-hedging prices while it…

Predicting the economy's short-term dynamics -- a vital input to economic agents' decision-making process -- often uses lagged indicators in linear models. This is typically sufficient during normal times but could prove inadequate during…

Contemporary deep learning based solution methods used to compute approximate equilibria of high-dimensional dynamic stochastic economic models are often faced with two pain points. The first problem is that the loss function typically…

We give a simple characterization of the functions that can be computed deterministically by anonymous processes in dynamic networks, depending on the number of leaders in the network. In addition, we provide efficient distributed…

Rapid and massive adoption of mobile/ online payment services has brought new challenges to the service providers as well as regulators in safeguarding the proper uses such services/ systems. In this paper, we leverage recent advances in…

Interbank contagion can theoretically exacerbate losses in a financial system and lead to additional cascade defaults during downturn. In this paper we produce default analysis using both regression and neural network models to verify…

We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…

The global financial crisis in 2007-2009 demonstrated that systemic risk can spread all over the world through a complex web of financial linkages, yet we still lack fundamental knowledge about the evolution of the financial web. In…

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…