Game theory applied to financial networks, focusing on debt repayment strategies.
problem Understanding financial stability in interconnected systems.
method Modeling financial systems as networks, analyzing utility-maximizing strategies under priority-proportional payments.
result Existence and uniqueness of payment profiles are not guaranteed, even under fixed strategies.
Stablecoins offer efficient settlement but externalize costs and risks.
problem Comparing stablecoins to card networks in retail payments.
method Unified analytical framework (CLEAR) across five dimensions.
result Stablecoins are advantageous in closed-loop and high-friction contexts but structurally disadvantaged as open-loop instruments.
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.
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.
Mobile payment incentives optimized using merchant transaction networks.
problem Optimizing marketing campaigns with limited budgets.
method Graph representation learning on transaction networks.
result Effective modeling of merchant sensitivity to incentives.
A new method streamlines digital payment programming using smart contracts.
problem High costs and security challenges in programming smart contracts for digital payments.
method Transforming digital currencies into token streams and using configurable templates to generate specialized smart contracts.
result Reduces payment programming costs and enhances security, self-enforcement, adaptability, and controllability.
The study reveals fundamental limits of fraud detection in card payment networks.
problem Fraud detection in card payment networks is challenging due to structural information impairments.
method Formalized card authorization as a sequential decision problem with delayed feedback, derived minimax regret lower bound.
result Improving issuer reporting quality or reducing censorship can yield larger reductions in the regret floor than increasing model complexity.
In order to scale transaction rates for deployment across the global web, many cryptocurrencies have deployed so-called "Layer-2" networks of private payment channels. An idealized payment network behaves like a Credit Network, a model for transactions across a network of bilateral trust relationships. Credit Networks …
Analyzes how financial network dependencies can lead to multiple equilibrium outcomes and optimal bailout strategies.
problem Multiple equilibrium outcomes in financial networks due to dependency cycles.
method Characterized necessary and sufficient conditions for bank solvency, and provided upper bounds on optimal bailout payments.
result Minimum bailout payments needed to ensure systemic solvency and prevent cascading defaults.
Optimizes cash management in ATM networks to reduce costs and increase revenue.
problem Minimizing cash costs while ensuring adequate funds in a network of ATMs.
method Developed a discrete optimal control model using forecasting techniques and control theory.
result The proposed model outperforms classical inventory management models, earning 30% more revenue.
DyFEn simulates blockchain for fee setting in payment channels.
problem Dynamic fee setting in off-chain payment channels.
method Agent-based reinforcement learning in a blockchain simulation.
result Empirical results of reinforcement learning methods on dynamic fee setting.
Neural networks improve loss reserving with case estimates and transaction data.
problem Improving loss reserving accuracy using neural networks.
method Comparison of feed-forward and recurrent neural networks trained on case estimates and transaction data.
result Case estimates significantly improve predictions, but memory-equipped neural networks offer minimal additional benefit.
Paper introduces balanced payment systems to improve liquidity and risk management.
problem Managing liquidity in payment systems and economy is a persistent challenge.
method Introduces interbank balancing method to private payment systems and others.
result Demonstrates effects of balancing on a small example and constructs a balanced subsystem.
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.
This paper presents the first topological analysis of the economic structure of an entire country based on payments data obtained from Swedbank. This data set is exclusive in its kind because around 80% of Estonia's bank transactions are done through Swedbank, hence, the economic structure of the country can be reconst…
In this paper we study the implications of contingent payments on the clearing wealth in a network model of financial contagion. We consider an extension of the Eisenberg-Noe financial contagion model in which the nominal interbank obligations depend on the wealth of the firms in the network. We first consider the prob…
This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study in this general framework of both restricted and unrestricted payment schemes, wh…
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.
Research examines motivations and factors influencing retailers' payment method choices.
problem Understanding motivations and factors affecting retailers' payment method choices.
method Qualitative and quantitative analysis of various factors including regulatory constraints, merchant service providers, and demographic variables.
result Lower interchange fees and regulatory constraints make card payment adoption financially feasible for merchants.
Study claims trading to rescue banks in distress.
problem Rescue a bank in distress using claims trading.
method Formalize claims trading in financial networks, study decision and optimization problems, provide efficient algorithms for creditor-positive trades.
result No trade can strictly improve both banks' assets; provide efficient algorithms for creditor-positive trades.
The paper addresses bias in fraud detection models by improving label recovery in payment networks.
problem Systematic bias in chargeback labels in payment networks.
method Formalizes the observation pipeline as a sequential missing-data problem with three stages and a corruption layer. Constructs the Sequential Triply Robust (STR) estimator to correct for all four impairments simultaneously.
result Achieves the semiparametric efficiency bound and provably dominates naive chargeback-based training in mean squared error.
Interleaved RNNs detect fraud without costly features.
problem Real-time fraud detection in payment cards.
method Use interleaved sequence RNNs for fraud detection.
result Interleaved RNNs outperform state-of-the-art models in fraud detection.
Paper introduces PHI to identify structurally distinct payment patterns in UK municipal procurement.
problem Vulnerability of public procurement to error, fraud, and corruption in high-volume transactions.
method Introduces Payment Heterogeneity Index (PHI) using Gaussian Mixture Model (GMM) and non-parametric statistics.
result Identifies a significant cohort with structurally distinct payment patterns, improving procurement oversight.
Payments data and machine learning improve nowcasting accuracy for macroeconomic indicators.
problem Lagged indicators in linear models are insufficient during crisis periods.
method Non-traditional payments data, nonlinear machine learning, and tailored cross-validation.
result Improved macroeconomic nowcasting accuracy up to 40% during crises.
AI framework predicts invoice dilution in supply chain finance.
problem Invoice dilution risk in supply chain finance.
method AI, machine learning, dynamic credit limits, real-time projections.
result Supplemental AI model improves prediction accuracy.
GEM detects malicious accounts using adaptive embeddings from heterogeneous graphs.
problem Detecting malicious accounts on a leading mobile payment platform.
method Adaptive learning of discriminative embeddings from heterogeneous account-device graphs with attention mechanism for node importance.
result GEM consistently outperforms competitive methods in detecting malicious accounts.
Blockchain helps secure payments between AI agents.
problem Ensuring secure payments between untrusted AI agents.
method Systematized four-stage lifecycle for A2A payments on blockchain.
result Challenges remain in weak intent binding, misuse, and limited accountability.
Optimal student loan repayment strategies vary based on loan size.
problem Finding the most cost-effective repayment strategy for federal student loans.
method Analyzing the impact of different repayment strategies on total cost for varying loan sizes.
result Optimal repayment strategies depend on the loan balance, with different approaches for small, large, and intermediate balances.
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.
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 decentralized payment infrastructure---arbitrary payments can be routed through the net…
This paper provides a framework for modeling the financial system with multiple illiquid assets when liquidation of illiquid assets is caused by failure to meet a leverage requirement. This extends the network model of Cifuentes, Shin & Ferrucci (2005) which incorporates a single asset with fire sales and capital adequ…
Agent-to-agent finance aims to manage payments and trust for AI agents.
problem Managing financial interactions between autonomous AI agents.
method Develops agent-to-agent finance concept and explores blockchain solutions.
result Agent-to-agent finance can address coordination frictions in financial markets.
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are given by discrete time processes. Moreover, between two dividend payments, the st…
Aggregate and systemic risk in complex systems are emergent phenomena depending on two properties: the idiosyncratic risks of the elements and the topology of the network of interactions among them. While a significant attention has been given to aggregate risk assessment and risk propagation once the above two propert…
The paper analyzes multivariate payments in multi-state life insurance using Markovian state processes.
problem Analyzing joint effects of life annuities and death benefits in a multi-state framework.
method Introduces multivariate present value of future payments, derives differential equations and moment generating functions, and focuses on pair-wise covariances.
result Derives Hattendorff type results for pair-wise covariances in a disability model.
AI task delegation faces incentive collapse with unbounded payments as AI accuracy rises.
problem Incentive collapse in AI-assisted task delegation schemes.
method General impossibility result and sentinel-auditing payment mechanism.
result Sentinel-auditing mechanism enforces positive human effort at finite cost, independent of AI accuracy.
We study the problem of determining risk-minimizing investment strategies for insurance payment processes in the presence of taxes and expenses. We consider the situation where taxes and expenses are paid continuously and symmetrically and introduce the concept of tax- and expense-modified risk-minimization. Risk-minim…
This paper concerns an optimal dividend distribution problem for an insurance company with surplus-dependent premium. In the absence of dividend payments, such a risk process is a particular case of so-called piecewise deterministic Markov processes. The control mechanism chooses the size of dividend payments. The obje…
We develop an axiomatic theory of balance functions (future value functions) in the theory of interest that is derived from financial considerations and which applies to general regulated payment streams, including continuous payment streams. Balance functions exist and are unique up to an initial choice of deposit and…
New taxonomy reveals different detection limits for various types of fraud.
problem Existing fraud detection treats all fraud as the same, ignoring its diverse forms.
method Introduced an observation-mechanism taxonomy with five fraud classes.
result Separate estimation by fraud class outperforms pooled estimation.
Study on incentivizing truthfulness in federated learning with heterogeneous data.
problem Manipulated updates in federated learning due to data heterogeneity.
method Formulated a game-theoretic approach to prevent clients from misreporting their gradient updates.
result Developed a payment rule that provably disincentivizes sending modified updates in federated learning.
New option type preserves fungibility by amortizing payments over time.
problem Traditional installment options destroy fungibility and lapse when payments stop.
method Introduces amortizing perpetual options (AmPOs) with an implicit payment scheme.
result Valuation of AmPOs reduces to vanilla perpetual American options.
Ethereum block builders can earn up to $14M/month by reordering transactions, harming users.
problem Block builders can exploit transaction reordering to earn significant profits, harming users.
method Estimation of MEV payments and analysis of reordering effects.
result Block builders can earn up to $14M/month by reordering transactions, skewing the distribution.
This paper concerns an optimal dividend distribution problem for an insurance company whose risk process evolves as a spectrally negative Lévy process (in the absence of dividend payments). The management of the company is assumed to control timing and size of dividend payments. The objective is to maximize the sum of …
We analyze the classical model of compound interest with a constant per-period payment and interest rate. We examine the outstanding balance function as well as the periodic payment function and show that the outstanding balance function is not generally concave in the interest rate, but instead may be initially convex…
Study evaluates AD methods for fraud detection in online credit card payments.
problem Fraud detection in online credit card payments using anomaly detection methods.
method Assessed several recent anomaly detection methods and compared them with standard supervised learning methods.
result LightGBM outperforms other methods but is more sensitive to distribution shifts.
Optimal dividend strategy for insurance company in foreign currency.
problem Maximizing dividends paid in a foreign currency until ruin.
method Spectrally negative Lévy process, exponentially Lévy exchange rate, Hamilton--Jacobi--Bellman equation.
result Single dividend barrier strategy is optimal.
We consider the problem of maximizing the discounted utility of dividend payments of an insurance company whose reserves are modeled as a classical Cramér-Lundberg risk process. We investigate this optimization problem under the constraint that dividend rate is bounded. We prove that the value function fulfills the Ham…