相关论文: Modeling Trust and Liquidity Under Payment System …
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…
Problem definition: Accurately modeling consumer behavior in energy operations is challenging due to uncertainty, behavioral heterogeneity, and limited empirical data-particularly in low-frequency, high-impact events. While generative AI…
We model a network economy with three sectors: downstream firms, upstream firms, and banks. Agents are linked by productive and credit relationships so that the behavior of one agent influences the behavior of the others through network…
Price-mediated contagion occurs when a positive feedback loop develops following a drop in asset prices which forces banks and other financial institutions to sell their holdings. Prior studies of such events fix the level of market…
We propose a new model of the liquidity driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system modeling and systemic risk analysis. We…
Trust management provides an alternative solution for securing open, dynamic, and distributed multi-agent systems, where conventional cryptographic methods prove to be impractical. However, existing trust models face challenges related to…
We present a strategic analysis of a trust model that has recently been proposed for promoting cooperative behaviour in user-centric networks. The mechanism for cooperation is based on a combination of reputation and virtual currency…
We present a novel agent-based approach to simulating an over-the-counter (OTC) financial market in which trades are intermediated solely by market makers and agent visibility is constrained to a network topology. Dynamics, such as changes…
Financial crises often occur without warning, yet markets leading up to these events display increasing volatility and complex interdependencies across multiple sectors. This study proposes a novel approach to predicting market crises by…
The 2023 U.S. banking crisis propagated not through direct financial linkages but through a high-frequency, information-based contagion channel. This paper moves beyond exploration analysis to test the "too-similar-to-fail" hypothesis,…
In this paper, we examine in an abstract framework, how a tradeoff between efficiency and robustness arises in different dynamic oligopolistic market architectures. We consider a market in which there is a monopolistic resource provider and…
Stablecoins promise par convertibility, yet issuers must balance immediate liquidity against yield on reserves to keep the peg credible. We study this treasury problem as a continuous-time control task with two instruments: reallocating…
As impressively shown by the financial crisis in 2007/08, contagion effects in financial networks harbor a great threat for the stability of the entire system. Without sufficient capital requirements for banks and other financial…
A Multi-Agent System is a distributed system where the agents or nodes perform complex functions that cannot be written down in analytic form. Multi-Agent Systems are highly connected, and the information they contain is mostly stored in…
The paper proposes a framework for modeling and analysis of the dynamics of supply, demand, and clearing prices in power system with real-time retail pricing and information asymmetry. Real-time retail pricing is characterized by passing on…
In this paper, the formation control of multi-agent systems in random switching communication topology is studied, and the problem of excessive bandwidth and low control efficiency among multi-agents is solved. For nonlinear multi-agent…
We study a game between liquidity provider and liquidity taker agents interacting in an over-the-counter market, for which the typical example is foreign exchange. We show how a suitable design of parameterized families of reward functions…
Assessing the stability of economic systems is a fundamental research focus in economics, that has become increasingly interdisciplinary in the currently troubled economic situation. In particular, much attention has been devoted to the…
The current global financial system forms a highly interconnected network where a default in one of its nodes can propagate to many other nodes, causing a catastrophic avalanche effect. In this paper we consider the problem of reducing the…
Urban systems, composed of households, businesses, and infrastructures, are continuously evolving and expanding. This has several implications because the impacts of disruptions, and the complexity and interdependence of systems, are…