相关论文: Seniorities and Minimal Clearing in Financial Netw…

We study financial systems from a game-theoretic standpoint. A financial system is represented by a network, where nodes correspond to firms, and directed labeled edges correspond to debt contracts between them. The existence of cycles in…

We study network games in which players choose both the partners with whom they associate and an action level (e.g., effort) that creates spillovers for those partners. We introduce a framework and two solution concepts, extending standard…

A financial system is represented by a network, where nodes correspond to banks, and directed labeled edges correspond to debt contracts between banks. Once a payment schedule has been defined, where we assume that a bank cannot refuse a…

This paper proposes a novel dynamical model for determining clearing payments in financial networks. We extend the classical Eisenberg-Noe model of financial contagion to multiple time periods, allowing financial operations to continue…

We study a game-theoretic variant of the maximum circulation problem. In a flow allocation game, we are given a directed flow network. Each node is a rational agent and can strategically allocate any incoming flow to the outgoing edges.…

Financial networks are characterized by complex structures of mutual obligations. These obligations are fulfilled entirely or in part (when defaults occur) via a mechanism called clearing, which determines a set of payments that settle the…

We study the incentives of banks in a financial network, where the network consists of debt contracts and credit default swaps (CDSs) between banks. One of the most important questions in such a system is the problem of deciding which of…

We analyze how interdependencies between organizations in financial networks can lead to multiple possible equilibrium outcomes. A multiplicity arises if and only if there exists a certain type of dependency cycle in the network that allows…

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…

We study selfish routing games where users can choose between regular and priority service for each network edge on their chosen path. Priority users pay an additional fee, but in turn they may travel the edge prior to non-priority users,…

We test the hypothesis that interconnections across financial institutions can be explained by a diversification motive. This idea stems from the empirical evidence of the existence of long-term exposures that cannot be explained by a…

A recent body of experimental literature has studied empirical game-theoretical analysis, in which we have partial knowledge of a game, consisting of observations of a subset of the pure-strategy profiles and their associated payoffs to…

In this paper we study the implications of contingent payments on the clearing wealth in a network model of financial contagion. We consider an extension of the Eisenberg-Noe financial contagion model in which the nominal interbank…

Strategic interactions between a group of individuals or organisations can be modelled as games played on networks, where a player's payoff depends not only on their actions but also on those of their neighbours. Inferring the network…

We study financial networks with debt contracts and credit default swaps between specific pairs of banks. Given such a financial system, we want to decide which of the banks are in default, and how much of their liabilities can these…

Payment channels were introduced to solve various eminent cryptocurrency scalability issues. Multiple payment channels build a network on top of a blockchain, the so-called layer 2. In this work, we analyze payment networks through the lens…

Imitation is widely observed in populations of decision-making agents. Using our recent convergence results for asynchronous imitation dynamics on networks, we consider how such networks can be efficiently driven to a desired equilibrium…

We examine optimal regulation of financial networks with debt interdependencies between financial firms. We first show that firms often have an incentive to choose excessively risky portfolios and overly correlate their portfolios with…

Financial networks raise a significant computational challenge in identifying insolvent firms and evaluating their exposure to systemic risk. This task, known as the clearing problem, is computationally tractable when dealing with simple…

We introduce the class of pay or play games, which captures scenarios in which each decision maker is faced with a choice between two actions: one with a fixed payoff and an- other with a payoff dependent on others' selected actions. This…