arXiv research

Study minimax regret in bilateral trade with heavy-tailed valuations.

Paper predicts international trade flows using machine learning and factorization models.

TradeMech nets trades without changing counterparty relationships.

Study models opaque financial markets using multi-agent simulation.

TraderTalk uses LLMs to simulate human trading interactions in financial markets.

Although initially originated as a totally empirical relationship to explain the volume of trade between two partners, gravity equation has been the focus of several theoretic models that try to explain it. Specialization models are of great importance in providing a solid theoretic ground for gravity equation in bilat…

The paper analyzes regret in bilateral trade mechanisms without prior valuations.

Unified model for network risks, including bilateral and central clearing, with practical applications.

Analyzing real data on international trade covering the time interval 1950-2000, we show that in each year over the analyzed period the network is a typical representative of the ensemble of maximally random weighted networks, whose directed connections (bilateral trade volumes) are only characterized by the product of…

In this note we study the bilateral merchandise trade flows between 186 countries over the 1948-2005 period using data from the International Monetary Fund. We use Pajek to identify network structure and behavior across thresholds and over time. In particular, we focus on the evolution of trade "islands" in the a world…

Globalization processes interweave economic structures at a worldwide scale, trade playing a central role as one of the elemental channels of interaction among countries. Despite the significance of such phenomena, measuring economic globalization still remains an open problem. More quantitative treatments could improv…

Bilateral trade relationships in the international level between pairs of countries in the world give rise to the notion of the International Trade Network (ITN). This network has attracted the attention of network researchers as it serves as an excellent example of the weighted networks, the link weight being defined …

Brokerage algorithm learns from context to minimize trading regret.

TRIBE model uses LLMs to simulate human trading behavior in bond markets.

Contextual bandit framework improves revenue optimization in securities lending market.

We present a class of Lévy processes for modelling financial market fluctuations: Bilateral Gamma processes. Our starting point is to explore the properties of bilateral Gamma distributions, and then we turn to their associated Lévy processes. We treat exponential Lévy stock models with an underlying bilateral Gamma pr…

We propose a unified modelling framework that theoretically justifies the main empirical regularities characterizing the international trade network. Each country is associated to a Polya urn whose composition controls the propensity of the country to trade with other countries. The urn composition is updated through t…

This paper begins to explore the determinants of the topological properties of the international - trade network (ITN). We fit bilateral-trade flows using a standard gravity equation to build a "residual" ITN where trade-link weights are depurated from geographical distance, size, border effects, trade agreements, and …

Proposes a Coulomb-like model for international trade flows, fitting real-world data.

The paper tackles adaptive policy selection to maximize social welfare, achieving optimal regret bounds.

It is common wisdom that no nation is an isolated economic island. All nations participate in the global economy and are linked together through trade and finance. Here we analyze international trade network (ITN), being the network of import-export relationships between countries. We show that in each year over the an…

The large-scale organization of the world economies is exhibiting increasingly levels of local heterogeneity and global interdependency. Understanding the relation between local and global features calls for analytical tools able to uncover the global emerging organization of the international trade network. Here we an…

A new DRL model for intraday trading incorporating positional context.

Study analyzes broker's gain from trade in repeated context-based trading.

We describe MELEE, a meta-learning algorithm for learning a good exploration policy in the interactive contextual bandit setting. Here, an algorithm must take actions based on contexts, and learn based only on a reward signal from the action taken, thereby generating an exploration/exploitation trade-off. MELEE address…

A minimal model of a market of myopic non-cooperative agents who trade bilaterally with random bids reproduces qualitative features of short-term electric power markets, such as those in California and New England. Each agent knows its own budget and preferences but not those of any other agent. The near-equilibrium pr…

In the framework of bilateral Gamma stock models we seek for adequate option pricing measures, which have an economic interpretation and allow numerical calculations of option prices. Our investigations encompass Esscher transforms, minimal entropy martingale measures, $p$-optimal martingale measures, bilateral Esscher…

New bandit algorithm works without realizability assumption.

Method solves optimisation problems on non-Riemannian surfaces with bilateral curvature bounds.

Estimates boundaries for acceptable bilateral gamma risk in financial markets.

A quasi-centralized limit order book (QCLOB) is a limit order book (LOB) in which financial institutions can only access the trading opportunities offered by counterparties with whom they possess sufficient bilateral credit. We perform an empirical analysis of a recent, high-quality data set from a large electronic tra…

A framework for auto-tuning hyper-parameters in contextual bandit algorithms.

Understanding international trade is a fundamental problem in economics -- one standard approach is via what is commonly called the "gravity equation", which predicts the total amount of trade $F_ij$ between two countries $i$ and $j$ as $F_{ij} = G \frac{M_i M_j}{D_{ij}},$ where $G$ is a constant, $M_i, M_j$ denote …

New algorithm learns optimal exploration parameters for contextual bandits.

We show how the cost of funding the collateral in a particular set up can be equal to the Bilateral Valuation Adjustment with the "funded" probability of default, leading to the definition of a Funded Bilateral Valuation Adjustment (FBVA). That set up can also be viewed by an investor as an effective way to restructure…

Method estimates treatment effects in dyadic data with unknown confounders.

A new algorithm avoids worst-case outcomes in risky contexts.

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 …

Predict stock movement with news headlines using BERT embeddings.

In this short note we show that the existence of bilaterally symmetric extremal Kähler metrics on $\mathbb{CP}^2\sharp 2\bar{\mathbb{CP}^2}$.

Achieving international food security requires improved understanding of how international trade networks connect countries around the world through the import-export flows of food commodities. The properties of food trade networks are still poorly documented, especially from a multi-network perspective. In particular,…

SADCBO optimizes contextual variables by balancing relevance and cost.

New algorithm offers costless model selection in contextual bandits.

NeuralRBMLE tackles explore-exploit trade-offs in contextual bandits with neural networks.

The paper models reciprocity in interbank markets using a statistical null model.

We consider the framework proposed by Burgard and Kjaer (2011) that derives the PDE which governs the price of an option including bilateral counterparty risk and funding. We extend this work by relaxing the assumption of absence of transaction costs in the hedging portfolio by proposing a cost proportional to the amou…

Study reveals trade dynamics in dry bulk shipping networks, highlighting their randomness and periodic changes.

Study on gamma-related OU processes with simulation methods.