Zobrazeno 1 - 10
of 198
pro vyhledávání: '"Feinstein, Zachary"'
Autor:
Bichuch, Maxim, Feinstein, Zachary
Empirically, the prevailing market prices for liquidity tokens of the constant product market maker (CPMM) -- as offered in practice by companies such as Uniswap -- readily permit arbitrage opportunities by delta hedging the risk of the position. Her
Externí odkaz:
http://arxiv.org/abs/2409.11339
Autor:
Ararat, Çağın, Feinstein, Zachary
Risk measures for random vectors have been considered in multi-asset markets with transaction costs and financial networks in the literature. While the theory of set-valued risk measures provide an axiomatic framework for assigning to a random vector
Externí odkaz:
http://arxiv.org/abs/2407.16878
We build a balance sheet-based model to capture run risk, i.e., a reduced potential to raise capital from liquidity buffers under stress, driven by depositor scrutiny and further fueled by fire sales in response to withdrawals. The setup is inspired
Externí odkaz:
http://arxiv.org/abs/2407.03285
Autor:
Cao, Zhiyu, Feinstein, Zachary
This study explores the innovative use of Large Language Models (LLMs) as analytical tools for interpreting complex financial regulations. The primary objective is to design effective prompts that guide LLMs in distilling verbose and intricate regula
Externí odkaz:
http://arxiv.org/abs/2405.06808
Autor:
Sadeghi, Agathe, Feinstein, Zachary
In this paper, we introduce a novel centrality measure to evaluate shock propagation on financial networks capturing a notion of contagion and systemic risk contributions. In comparison to many popular centrality metrics (e.g., eigenvector centrality
Externí odkaz:
http://arxiv.org/abs/2404.14337
Autor:
Cao, Zhiyu, Feinstein, Zachary
Price-mediated contagion occurs when a positive feedback loop develops following a drop in asset prices which forces banks and other financial institutions to sell their holdings. Prior studies of such events fix the level of market liquidity without
Externí odkaz:
http://arxiv.org/abs/2311.05977
In Feinstein and Rudloff (2023), it was shown that the set of Nash equilibria for any non-cooperative $N$ player game coincides with the set of Pareto optimal points of a certain vector optimization problem with non-convex ordering cone. To avoid dea
Externí odkaz:
http://arxiv.org/abs/2310.04176
Financial contagion has been widely recognized as a fundamental risk to the financial system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms depress asset prices and propagate financial stress, enabling crises t
Externí odkaz:
http://arxiv.org/abs/2307.14322
Prediction markets allow traders to bet on potential future outcomes. These markets exist for weather, political, sports, and economic forecasting. Within this work we consider a decentralized framework for prediction markets using automated market m
Externí odkaz:
http://arxiv.org/abs/2307.08768
We introduce a rigorous framework for stochastic cell transmission models for general traffic networks. The performance of traffic systems is evaluated based on preference functionals and acceptable designs. The numerical implementation combines simu
Externí odkaz:
http://arxiv.org/abs/2304.11654