相关论文: Financial Dynamics and Interconnected Risk of Liqu…
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…
Distributed ledgers, including blockchain and other decentralized databases, are designed to store information online where all trusted network members can update the data with transparency. The dynamics of ledger's development can be…
Economic models with input-output networks assume that firm or sector (unit) growth is driven by a weighted sum of trade partners' growth and an independently-drawn idiosyncratic shock. I show that the idiosyncratic risk assumption in a…
The aim of this paper is to quantify and manage systemic risk caused by default contagion in the interbank market. We model the market as a random directed network, where the vertices represent financial institutions and the weighted edges…
This paper analyzes realized return behavior across a broad set of crypto assets by estimating heterogeneous exposures to idiosyncratic and systematic risk. A key challenge arises from the latent nature of broader economy-wide risk sources:…
Performance of distributed optimization and learning systems is bottlenecked by "straggler" nodes and slow communication links, which significantly delay computation. We propose a distributed optimization framework where the dataset is…
Over the past decade alternatives to traditional insurance and banking have grown in popularity. The desire to encourage local participation has lead products such as peer-to-peer insurance, reciprocal contracts, and decentralized finance…
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…
Stablecoins face an unresolved trilemma of balancing decentralization, stability, and regulatory compliance. We present a hybrid stabilization protocol that combines crypto-collateralized reserves, algorithmic futures contracts, and…
Federated Learning (FL) has emerged as a key paradigm for building Trustworthy AI systems by enabling privacy-preserving, decentralized model training. However, FL is highly susceptible to adversarial attacks that compromise model integrity…
We propose a dynamic network model where two mechanisms control the probability of a link between two nodes: (i) the existence or absence of this link in the past, and (ii) node-specific latent variables (dynamic fitnesses) describing the…
Payment channel networks (PCNs) are a layer-2 blockchain scalability solution, with its main entity, the payment channel, enabling transactions between pairs of nodes "off-chain," thus reducing the burden on the layer-1 network. Nodes with…
Cross-chain interoperability is a core component of modern blockchain infrastructure, enabling seamless asset transfers and composable applications across multiple blockchain ecosystems. However, the transparency of cross-chain messages can…
Dynamically distributed inflation is a common mechanism used to guide a blockchain's staking rate towards a desired equilibrium between network security and token liquidity. However, the high sensitivity of the annual percentage yield to…
Stablecoins are a class of cryptocurrencies which aim at providing consistency and predictability, typically by pegging the token's value to that of a real world asset. Designing resilient decentralized stablecoins is a challenge, and…
Financial networks are typically estimated by applying standard time series analyses to price-based economic variables collected at low-frequency (e.g., daily or monthly stock returns or realized volatility). These networks are used for…
Credit networks represent a way of modeling trust between entities in a network. Nodes in the network print their own currency and trust each other for a certain amount of each other's currency. This allows the network to serve as a…
Foundation models - already transformative in domains such as natural language processing - are now starting to emerge for time-series tasks in finance. While these pretrained architectures promise versatile predictive signals, little is…
Decentralized Finance (DeFi) is emerging as a peer-to-peer financial ecosystem, enabling participants to trade products on a permissionless blockchain. Built on blockchain and smart contracts, the DeFi ecosystem has experienced explosive…
Permissionless Proof-of-Stake (PoS) economic security is predicated on the high cost of violating consensus safety or liveness. We show that liquid staking introduces additional risks that are not captured by standard PoS economic security…