19 citations
- Advanced Research Projects Agency - EnergyUS1 paper
- Hebrew University of JerusalemIL1 paper
- Imperial College LondonGB1 paper
- Korea Advanced Institute of Science and TechnologyKR1 paper
- Queens College, CUNYUS1 paper
- Sapienza University of RomeIT1 paper
- University of BolognaIT1 paper
- University of ManchesterGB1 paper
4 papers
A Survey on Centrality and Importance Measures in Hypergraphs: Categorization and Empirical Insights
Jaewan Chun, Fanchen Bu, Yeongho Kim +3
Identifying central entities and interactions is a fundamental problem in network science. While well-studied for graphs (pairwise relations), many biological and social systems ex…
Risk-aware Trading Portfolio Optimization
Marco Bianchetti, Gabriele D'Acunto, Gianmarco De Francisci Morales +3
We investigate portfolio optimization in financial markets from a trading and risk management perspective. We term this task Risk-Aware Trading Portfolio Optimization (RATPO), form…
Too dynamic to fail. Empirical support for an autocatalytic model of Minsky's financial instability hypothesis
Natasa Golo, David S. Bree, Guy Kelman +3
Solomon and Golo [1] have recently proposed an autocatalytic (self-reinforcing) feedback model which couples a macroscopic system parameter (the interest rate), a microscopic param…
Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes
Damiano Brigo, Qing Liu, Andrea Pallavicini +1
We develop an arbitrage-free framework for consistent valuation of derivative trades with collateralization, counterparty credit gap risk, and funding costs, following the approach…