arXiv research

The asymmetric price impact between the institutional purchases and sales of 32 liquid stocks in Chinese stock markets in year 2003 is carefully studied. We analyze the price impact in both drawup and drawdown trends with consecutive positive and negative daily price changes, and test the dependence of the price impact…

Study shows foreign institutional investment increases liquidity commonality in large Australian stocks.

Paper discusses how financial institutions' model risk management can benefit academic research.

The standard theory of coherent risk measures fails to consider individual institutions as part of a system which might itself experience instability and spread new sources of risk to the market participants. In compliance with an approach adopted by Shapley and Shubik (1969), this paper proposes a cooperative market g…

Genome-wide association studies (GWAS) offer new opportunities to identify genetic risk factors for Alzheimer's disease (AD). Recently, collaborative efforts across different institutions emerged that enhance the power of many existing techniques on individual institution data. However, a major barrier to collaborative…

Codebook for Institutional Grammar 2.0 simplifies policy encoding.

Financial crime is a large and growing problem, in some way touching almost every financial institution. Financial institutions are the front line in the war against financial crime and accordingly, must devote substantial human and technology resources to this effort. Current processes to detect financial misconduct h…

Modern financial networks exhibit a high degree of interconnectedness and determining the causes of instability and contagion in financial networks is necessary to inform policy and avoid future financial collapse. In the American Economic Review, Elliott, Golub and Jackson proposed a simple model for capturing the dyn…

Activists align with large fund preferences for success.

HyFi cryptocurrencies backed by institutions show lower price risk than fully decentralized ones.

This paper uses MIS to identify key financial institutions with minimal risk contagion.

This paper analyzes correlations in patterns of trading of different members of the London Stock Exchange. The collection of strategies associated with a member institution is defined by the sequence of signs of net volume traded by that institution in hour intervals. Using several methods we show that there are signif…

Reflective of income and wealth distributions, philanthropic gifting appears to follow an approximate power-law size distribution as measured by the size of gifts received by individual institutions. We explore the ecology of gifting by analysing data sets of individual gifts for a diverse group of institutions dedicat…

Investor-driven information diffusion affects excess comovement in China and the U.S. markets.

Study examines how institutional differences and crises affect volatility in ASEAN stock markets.

The average portfolio structure of institutional investors is shown to have properties which account for transaction costs in an optimal way. This implies that financial institutions unknowingly display collective rationality, or Wisdom of the Crowd. Individual deviations from the rational benchmark are ample, which il…

An article based on a four-lecture introductory minicourse on minimal surface theory given at the 2013 summer program of the Institute for Advanced Study and the Park City Mathematics Institute.

Proof-of-Stake networks with EIP-1559 exhibit stable token prices and secure network security.

Financial institutions use LSTM models to predict customer goals.

Counterparty risk denotes the risk that a party defaults in a bilateral contract. This risk not only depends on the two parties involved, but also on the risk from various other contracts each of these parties holds. In rather informal markets, such as the OTC (over-the-counter) derivative market, institutions only rep…

Study shows institutional investments significantly impact cryptocurrency market evolution.

The paper introduces GAER to assess market feasibility under geopolitical and institutional constraints.

A counterparty credit limit (CCL) is a limit that is imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. CCLs help institutions to mitigate counterparty credit risk via selective diversification of their exposures. In this paper, we analyze how CCLs impact the prices tha…

Recent financial disasters emphasised the need to investigate the consequence associated with the tail co-movements among institutions; episodes of contagion are frequently observed and increase the probability of large losses affecting market participants' risk capital. Commonly used risk management tools fail to acco…

In those lecture notes, we review some applications of heat semigroups methods in Riemannian and sub-Riemannian geometry. The notes contain parts of courses taught at Purdue University, Institut Henri Poincaré, Levico Summer School and Tata Institute.

Deep learning models for semantic segmentation of images require large amounts of data. In the medical imaging domain, acquiring sufficient data is a significant challenge. Labeling medical image data requires expert knowledge. Collaboration between institutions could address this challenge, but sharing medical data to…

A Nash game theory approach allocates capital requirements among financial institutions.

In the aftermath of the financial crisis, the growing literature on financial networks has widely documented the predictive power of topological characteristics (e.g. degree centrality measures) to explain the systemic impact or systemic vulnerability of financial institutions. In this work, we show that considering al…

The credit crisis of 2007 and 2008 has thrown much focus on the models used to price mortgage backed securities. Many institutions have relied heavily on the credit ratings provided by credit agency. The relationships between management of credit agencies and debt issuers may have resulted in conflict of interest when …

Bitcoin's integration with major financial indices intensifies, suggesting a shift from alternative to integrated asset.

Today, many public or private institutions provide professional food service for personnels working in their own organizations. Regarding the planning of the said service, there are some obstacles due to the fact that the number of the personnel working in the institutions is generally high and the personnel are out of…

Paper classifies institutions based on credit, debit, and funding adjustment paradigms.

Smart Close-out Netting aims to automate close-out netting processes.

This paper examines how institutional liquidity affects prediction markets.

In this research, we introduce a robust metric to identify Systemically Important Financial Institution (SIFI) in a financial network by taking into account both common idiosyncratic shocks and contagion through counterparty exposures. We develop an efficient algorithm to rank financial institutions by formulating a fi…

The goal of this article is to describe the concepts of system dynamics and its applications to the simulation modeling of financial institutions daily activity. The hybrid method of the re-engineering of banking business processes based upon combination of system dynamics, queuing theory and tools of ordinary differen…

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 monetary exposures between them. Our model captures the strong degree of heterog…

These are lecture notes from the Clay Mathematics Institute summer school ``Floer Homology, Gauge Theory, and Low Dimensional Topology'' Alfred Renyi Institute; www.claymath.org/programs/summer_school/2004/. The main goal of these notes is to sketch a proof of Giroux correspondence between open book decompositions of t…

In November, 2011, the Financial Stability Board, in collaboration with the International Monetary Fund, published a list of 29 "systemically important financial institutions" (SIFIs). This designation reflects a concern that the failure of any one of them could have dramatic negative consequences for the global econom…

Financial institutions face new model risks with AI, requiring enhanced model risk management.

Socio-economic inequality is measured using various indices. The Gini ($g$) index, giving the overall inequality is the most commonly used, while the recently introduced Kolkata ($k$) index gives a measure of $1-k$ fraction of population who possess top $k$ fraction of wealth in the society. This article reviews the ch…

Financial markets are exposed to systemic risk, the risk that a substantial fraction of the system ceases to function and collapses. Systemic risk can propagate through different mechanisms and channels of contagion. One important form of financial contagion arises from indirect interconnections between financial insti…

This paper deals with a stochastic order-driven market model with waiting costs, for order books with heterogenous traders. Offer and demand of liquidity drives price formation and traders anticipate future evolutions of the order book. The natural framework we use is mean field game theory, a class of stochastic diffe…

Paper presents a risk management framework for blockchain protocols.

We analyse time series of CDS spreads for a set of major US and European institutions on a pe- riod overlapping the recent financial crisis. We extend the existing methodology of ε-drawdowns to the one of joint ε-drawups, in order to estimate the conditional probabilities of abrupt co-movements among spreads. We correc…

The paper addresses biased preferences in candidate selection, proposing a fair and utility-maximizing algorithm.

GAICF proposes a framework for governing generative AI in banking.

The paper extends utility maximization by integrating partial information and robust VaR constraints.