Paper models financial contagion with fire sales and borrowing.
problem Financial contagion and systemic risk in interconnected financial networks.
method Modeling financial contagion in a network with fire sales and borrowing, considering both uncollateralized and collateralized loans.
result Existence and uniqueness of clearing solutions (payments, liquidations, and borrowing) are provided under certain conditions, and these solutions are Nash equilibria.
Study proposes ATS algorithm to solve market clearing problem in Turkish day-ahead market.
problem Market clearing problem in Turkish day-ahead electricity market.
method Proposes an adaptive tabu search (ATS) algorithm to solve the problem, discretizing continuous search space and using adaptive radius.
result ATS algorithm performs better than heuristic decomposition method in most synthetic data sets.
We analyze how errors in interbank liabilities affect the clearing vector in financial systems.
problem Estimation errors in interbank liabilities can lead to inaccuracies in the clearing vector, impacting risk assessments.
method We quantify the sensitivity of the clearing vector to estimation errors in the interbank liabilities matrix using a basis for permissible perturbations.
result We derive analytical solutions for the maximal deviations of the clearing vector and compute upper bounds for worst-case perturbations.
Improved hardness results for clearing payments in financial networks with CDSs.
problem Determining clearing payments in financial networks with CDSs after financial shocks.
method Analyzing computational complexity of clearing problems, showing PPAD-hardness and FIXP-completeness improvements.
result PPAD-hardness of clearing problem significantly improved to ε ≈ 0.101.
Paper analyzes fire sales in a network of banks using VWAP and LOB pricing.
problem Optimal asset liquidation and borrowing strategies in a network of banks.
method Nash equilibrium model with two market clearing mechanisms.
result Existence and uniqueness of clearing solutions for liquidations, borrowing, prices, and haircuts.
I show that the solution of a standard clearing model commonly used in contagion analyses for financial systems can be expressed as a specific form of a generalized Katz centrality measure under conditions that correspond to a system-wide shock. This result provides a formal explanation for earlier empirical results wh…
The call auction is a widely used trading mechanism, especially during the opening and closing periods of financial markets. In this paper, we study a standard call auction problem where orders are submitted according to Poisson processes, with random prices distributed according to a general distribution, and may be c…
This study analyzes costs of CCP default resolution using Radner equilibrium approach.
problem Analyzing costs of CCP default resolution for investment banks' derivatives.
method Radner equilibrium approach for portfolio allocation and price discovery.
result Radner equilibria uniquely exist and provide solutions for market equilibria.
A new presentation of the n-string braid group Bn is studied. Using it, a new solution to the word problem in Bn is obtained which retains most of the desirable features of the Garside-Thurston solution, and at the same time makes possible certain computational improvements. We also give a related solution to t…
Study on price formation among investors with exponential utility and liabilities.
problem Equilibrium price formation among investors with heterogeneous risk-averseness and liabilities.
method Mean-field game theory and mean-field backward stochastic differential equations (BSDE).
result Existence of equilibrium risk-premium process and market clearing in the large population limit.
New approach solves complex electricity market clearing with UPP and block orders.
problem Complex market clearing with UPP and block orders.
method Equivalent UPP formulation leads to mixed-integer linear program.
result Exact solution without approximation, using real market data.
Study uses MFG approach to model equilibrium pricing with market clearing condition.
problem Continuous asset pricing with market clearing condition.
method Mean field game approach to solve forward-backward SDEs of McKean-Vlasov type.
result Net order flow converges to zero in large N-limit with specified conditions.
We propose a model for the credit and liquidity risks faced by clearing members of Central Counterparty Clearing houses (CCPs). This model aims to capture the features of: gap risk; feedback between clearing member default, market volatility and margining requirements; the different risks faced by various types of mark…
Unified model for network risks, including bilateral and central clearing, with practical applications.
problem Managing risks in financial networks with multiple trading types.
method Developed a one-period XVA model with explicit formulas for various quantities.
result Illustrated practical uses for stress testing and portfolio optimization.
Simplicial, piecewise-flat discretizations of manifolds provide a clear path towards curvature analysis on discrete geometries and for solutions of PDE's on manifolds of complex topologies. In this manuscript we review and expand on discrete exterior calculus methods using hybrid domains. We then analyze the geometric …
Study compares two market clearing methods for European power markets.
problem Optimizing market clearing for European power markets considering cost and social welfare.
method Introduces Cost Minimization and Social Welfare Maximization models, and four algorithms to solve the CM model.
result Cost Minimization reduces market power and decreases total procurement cost.
Complex financial networks with CDSs make clearing after shocks NP-complete.
problem Computing solutions for financial networks with CDSs after shocks.
method Computational complexity theory applied to financial network clearing.
result Clearing financial networks with CDSs is NP-complete.
Optimal control solves multi-period liability clearing problems.
problem Clearing liabilities among entities over multiple periods.
method Formulated as a convex optimal control problem, solved using convex costs and constraints.
result Solves the problem of clearing liabilities among entities over multiple periods.
Paper introduces Cycles Protocol to integrate trade credit into market clearing.
problem Liquidity embedded in trade credit outside formal settlement infrastructures.
method Distributed, multilateral clearing mechanism based on double-entry accounting.
result Cycles Protocol maximizes balance sheet compression without redistributing counterparty risk.
A two-step market clearing method for local energy trading among prosumers and consumers.
problem Integrating distributed energy resources into local energy markets.
method Feeder-based market with Two-StepMarket Clearing (2SMC) mechanism.
result Maximizes market surplus and correct incentives for prosumers and consumers.
A new method for clearing liability networks using sheaves on directed hypergraphs.
problem Clearing in liability networks using a novel mathematical approach.
method Associate a liability sheaf on a directed hypergraph to a liability network, identifying clearing configurations as global sections of this sheaf.
result Clearing configurations are precisely the global sections of the sheaf, and the sheaf construction is functorial under change of coefficient category.
The paper learns optimal auction prices by matching supply and demand.
problem Predicting optimal prices for market clearing.
method Learning framework using auction data to optimize revenue.
result Learned prices outperform other models in auctions and markets.
This paper models financial contagion with endogenously determined market liquidity.
problem Financial contagion and its impact on market liquidity during price drops.
method Developed a joint clearing system for interbank payments, asset prices, and market liquidity, with endogenous market capacity.
result Endogenous market liquidity significantly affects system risk during financial contagion.
The paper examines clearing payments in financial networks to prevent cascaded defaults.
problem Cascaded defaults in financial networks under the proportionality rule.
method Analysis of clearing model under pro-rated payments, derivation of necessary and sufficient conditions for clearing payments, convex optimization problems for computation.
result Clearing payments can be computed by solving convex optimization problems, reducing overall system loss by lifting the proportionality rule.
We introduce a Bayesian solution for the problem in forensic speaker recognition, where there may be very little background material for estimating score calibration parameters. We work within the Bayesian paradigm of evidence reporting and develop a principled probabilistic treatment of the problem, which results in a…
Paper proposes a decentralized payment clearing system using blockchain and optimal bidding strategies.
problem Default contagion in a network of smart contracts cleared through blockchain.
method Constructs a decentralized clearing mechanism using blockchain and optimal bidding strategies.
result Proves existence and uniqueness of equilibrium clearing condition for terminal net worths.
A new model calculates optimal clearing payments in dynamic financial networks.
problem Determining fair clearing payments in networks with potential defaults.
method Extends Eisenberg-Noe model to multiple time periods, solving linear programs for optimal payments.
result Proves the model satisfies the priority of debt claims requirement and finds unique optimal payments.
CLEAR calibrates both aleatoric and epistemic uncertainties for better predictive intervals.
problem Balanced uncertainty quantification for reliable predictive modeling.
method CLEAR uses two parameters, γ1 and γ2, to combine aleatoric and epistemic uncertainties.
result Clear achieves significant improvements in interval width and coverage.
This paper develops an XVA (costs) analysis of centrally cleared trading, parallel to the one that has been developed in the last years for bilateral transactions. We introduce a dynamic framework that incorporates the sequence of cash-flows involved in the waterfall of resources of a clearing house. The total cost of …
Proposes a model for clearing prices in financial markets due to margin calls.
problem Determining prices in financial markets following margin calls and short squeezes.
method Developed an explicit formulation for clearing prices after margin calls and short squeezes.
result Identified a threshold short interest ratio leading to discontinuity in clearing prices.
Study optimizes SREC generation and trading in solar energy markets.
problem Optimizing solar energy generation and trading in SREC markets.
method Mean-field game approach to solve stochastic game with heterogeneous agents.
result Characterized firms' optimal controls and equilibrium SREC price.
Simplified method for multi-set correlated component analysis.
problem Performing multi-set correlated component analysis efficiently.
method Single-step solution using eigenvectors of ${f D}^{-1} {f R}$, where ${f R}$ is concatenated data covariance and ${f D}$ is block-diagonal.
result The solution maximizes inter-set correlation without additional constraints.
Exact solution for missing data in factor analysis using autoencoders.
problem Handling missing data in factor analysis models.
method Developed an exact solution for factor analysis with missing data using autoencoders.
result An exact latent posterior distribution for factor analysis with missing data.
CLEAR learns causal graphs from attention in recommender systems to explain user behavior.
problem Understanding why specific recommendations are made in recommender systems.
method CLEAR learns session-specific causal graphs from attention in pre-trained neural recommenders, addressing latent confounders.
result CLEAR provides counterfactual explanations that are shorter and more effective than naive methods.
Fuelled by increasing computer power and algorithmic advances, machine learning techniques have become powerful tools for finding patterns in data. Since quantum systems produce counter-intuitive patterns believed not to be efficiently produced by classical systems, it is reasonable to postulate that quantum computers …
Unified framework for complex financial networks using lattice theory.
problem Complex financial networks with multiple currencies and dependencies.
method Recast classical financial clearing model into lattice liability networks.
result Lattice-valued clearing sections form a complete lattice, enabling tractable analysis.
New neural network design improves speech enhancement metrics.
problem Improving speech enhancement metrics in noisy conditions.
method Combination of convolutional and recurrent layers in U-net architecture.
result Proposed solution outperforms current state-of-the-art in SDR, SIR, and STOI metrics.
We empirically evaluate a stochastic annealing strategy for Bayesian posterior optimization with variational inference. Variational inference is a deterministic approach to approximate posterior inference in Bayesian models in which a typically non-convex objective function is locally optimized over the parameters of t…
We extend Garsia's conjecture about surface embeddings.
problem Realizing conformal classes of genus-1 surfaces via embeddings.
method Formulated within the framework of connections on principal bundles, solutions provided in several cases.
result Novel parameterizations of the moduli space of conformal classes of compact surfaces of genus 1.
This is an expository paper which gives a proof of the Atiyah-Singer index theorem for Dirac operators, presenting the theorem as a computation of the K-homology of a point. This paper and its follow up ("K-homology and index theory II: Elliptic Operators") was written to clear up basic points about index theory that a…
Blockchain markets with paid-priority trading can lead to biased prices and reduced liquidity.
problem Discrete clearing and paid-priority in blockchain markets lead to biased prices and reduced liquidity.
method Developed a model to evaluate the viability of blockchain markets under discrete clearing and paid-priority.
result Paid-priority ordering induces endogenous selection, leading to biased prices and reduced liquidity.
We consider a dynamic market model where buyers and sellers submit limit orders. If at a given moment in time, the buyer is unable to complete his entire order due to the shortage of sell orders at the required limit price, the unmatched part of the order is recorded in the order book. Subsequently these buy unmatched …
This is an expository paper which gives a proof of the Atiyah-Singer index theorem for elliptic operators. Specifcally, we compute the geometric K-cycle that corresponds to the analytic K-cycle determined by the operator. This paper and its companion ("K-homology and index theory II: Dirac Operators") was written to cl…
Sequential processing biases asset allocation in artificial stock markets.
problem Systematic bias in asset allocation due to sequential processing of order books.
method Examined the impact of sequential versus parallel clearing mechanisms on multi-asset price dynamics.
result Sequential processing introduces a significant bias affecting the allocation of traders' capital.
This paper optimizes portfolio compression by reducing excess notional in market contracts.
problem Reduction of excess notional in market contracts to decrease systemic risk.
method Examines and solves portfolio compression problems using graph theory and algorithms.
result Developed a clearing algorithm and method to compute maximum volume conservative compression.
In this paper we consider a class of weighted-volume preserving curvature flows acting on hypersurfaces that are trapped within two parallel hyperplanes and satisfy an orthogonal boundary condition. In the author's thesis the stability of cylinders under the flows was considered; it was found that they are stable provi…
We discuss a simple model based on the Minority Game which reproduces the main stylized facts of anomalous fluctuations in finance. We present the analytic solution of the model in the thermodynamic limit and show that stylized facts arise only close to a line of critical points with non-trivial properties. By a simple…
A clearing member of a Central Counterparty (CCP) is exposed to losses on their default fund and initial margin contributions. Such losses can be incurred whenever the CCP has insufficient funds to unwind the portfolio of a defaulting clearing member. This does not necessarily require the default of the CCP itself. In …