SYSTEMIC RISK: THE EFFECT OF MARKET CONFIDENCE

2020 ◽  
Vol 23 (07) ◽  
pp. 2050043
Author(s):  
MAXIM BICHUCH ◽  
KE CHEN
Keyword(s):  
Nash Equilibrium ◽  
Simple Model ◽  
Empirical Study ◽  
Systemic Risk ◽  
Existence And Uniqueness ◽  
Maximum Amount ◽  
The Other ◽  
Nash Equilibrium Point ◽  
Optimal Mix ◽  
Uniqueness Of Nash Equilibrium

In a crisis, when faced with insolvency, banks can sell stock in a dilutive offering in the stock market and borrow money in order to raise funds. We propose a simple model to find the maximum amount of new funds the banks can raise in these ways. To do this, we incorporate market confidence of the bank together with market confidence of all the other banks in the system into the overnight borrowing rate. Additionally, for a given cash shortfall, we find the optimal mix of borrowing and stock selling strategy. We show the existence and uniqueness of Nash equilibrium point for all these problems. Finally, using this model we investigate if banks have become safer since the crisis. We calibrate this model with market data and conduct an empirical study to assess safety of the financial system before, during after the last financial crisis.

VARIATIONAL INEQUALITIES IN COURNOT OLIGOPOLY

2007 ◽  
Vol 09 (04) ◽  
pp. 583-598
Author(s):  
C. A. PENSAVALLE ◽  
G. PIERI
Keyword(s):  
Variational Inequality ◽  
Nash Equilibrium ◽  
Equilibrium Point ◽  
Production Function ◽  
Existence And Uniqueness ◽  
Market Price ◽  
Cournot Oligopoly ◽  
Related Variable ◽  
Nash Equilibrium Point ◽  
The Cost

Consider G = (X1,…,XM,g1,…,gM) an M-player game in strategic form, where the set Xi is an interval of real numbers and the payoff functions gi are differentiable with respect to the related variable xi ∈ Xi. If they are also concave, with respect to the related variable, then it is possible to associate to the game G a variational inequality which characterizes its Nash equilibrium points. In this paper it is considered the variational inequality for two sets of Cournot oligopoly games. In the first case, for any i = 1,…,M, we have Xi = [0,+∞); the market price function is in C1 and convex; the cost production function of the player i is linear and the function xi → gi(…,xi,…) is strictly concave. We prove the existence and uniqueness of the Nash equilibrium point and illustrate, with an example, an algorithm which calculates its components. In the second case, for any i = 1,…,M, we have Xi = [0,+∞); the market price function is in C2 and concave and the cost production function of the i-player is in C2 and convex. In these circumstances, as a consequence of well known facts, the existence and uniqueness of the Nash equilibrium point are guaranteed and also the Tykhonov and Hadamard well-posedness of the game. We prove that the game G is well posed with respect to its variational inequality.

scholarly journals New Approach of Game Theory for Seller’s Price Selecting Strategies in Bi-Level Programming

2016 ◽  
Vol 10 (4) ◽  
pp. 76
Author(s):  
Kamran Shahanaghi ◽  
Maryam Keyvani Rad
Keyword(s):  
Game Theory ◽  
Supply Chain ◽  
Nash Equilibrium ◽  
Equilibrium Point ◽  
The Other ◽  
Main Question ◽  
Nash Equilibrium Point ◽  
New Approach ◽  
General Algebraic Modeling System ◽  
Optimum Decision

<p>The relationships between the members of supply chain were modeled in many researches, such as cooperative and non-cooperative situation. In our paper, the main question is how much and for which price should each seller offer her product to maximize the profit. In the proposed methodology, Bi-level programming is used for modeling and then GAMS (general algebraic modeling system) language for solving the problem. In the presented model, the first level, called upper sub-problem and supposed as leader is trying to maximize each seller profits by obtaining the optimal offered quantity of individual seller. The objective of follower (buyer) is at second level. The lower sub-problem uses the results of the seller’s model and then maximizes its profit. These optimizations are obtained with regard to the some other constraints. Similar the other game theories problems, the Nash equilibrium point(s) is (are) the optimum decision of this seller-buyer supply chain. A numerical example is employed to illustrate the application of the proposed method.</p>

The Influence of the Established Links between University Courses on the Quality of Teaching

2018 ◽  
Vol 8 (2) ◽  
pp. 35-48
Author(s):  
Jiří Rybička ◽  
Petra Čačková
Keyword(s):  
Higher Education ◽  
Empirical Study ◽  
The Other ◽  
Coherent System ◽  
University Courses ◽  
Quality Of Teaching ◽  
Education Courses ◽  
Initial Knowledge

One of the tools to determine the recommended order of the courses to be taught is to set the prerequisites, that is, the conditions that have to be fulfilled before commencing the study of the course. The recommended sequence of courses is to follow logical links between their logical units, as the basic aim is to provide students with a coherent system according to the Comenius' principle of continuity. Declared continuity may, on the other hand, create organizational complications when passing through the study, as failure to complete one course may result in a whole sequence of forced deviations from the recommended curriculum and ultimately in the extension of the study period. This empirical study deals with the quantitative evaluation of the influence of the level of initial knowledge given by the previous study on the overall results in a certain follow-up course. In this evaluation, data were obtained that may slightly change the approach to determining prerequisites for higher education courses.

scholarly journals Evangelical and Catholic Timespace in Work: An Argument against a Homeless Eschatology

Religions ◽  
2021 ◽  
Vol 12 (3) ◽  
pp. 199
Author(s):  
Maria Ledstam
Keyword(s):  
Empirical Study ◽  
Common Good ◽  
Ethnographic Study ◽  
The Other ◽  
Faith Based ◽  
Business As Mission ◽  
Achievable Goal ◽  
The Common ◽  
The One ◽  
The Relationship

This article engages with how religion and economy relate to each other in faith-based businesses. It also elaborates on a recurrent idea in theological literature that reflections on different visions of time can advance theological analyses of the relationship between Christianity and capitalism. More specifically, this article brings results from an ethnographic study of two faith-based businesses into conversation with the ethicist Luke Bretherton’s presentation of different understandings of the relationship between Christianity and capitalism. Using Theodore Schatzki’s theory of timespace, the article examines how time and space are constituted in two small faith-based businesses that are part of the two networks Business as Mission (evangelical) and Economy of Communion (catholic) and how the different timespaces affect the religious-economic configurations in the two cases and with what moral implications. The overall findings suggest that the timespace in the Catholic business was characterized by struggling caused by a tension between certain ideals on how religion and economy should relate to each other on the one hand and how the practice evolved on the other hand. Furthermore, the timespace in the evangelical business was characterized by confidence, caused by the business having a rather distinct and achievable goal when it came to how they wanted to be different and how religion should relate to economy. There are, however, nuances and important resemblances between the cases that cannot be explained by the businesses’ confessional and theological affiliations. Rather, there seems to be something about the phenomenon of tension-filled and confident faith-based businesses that causes a drive in the practices towards the common good. After mapping the results of the empirical study, I discuss some contributions that I argue this study brings to Bretherton’s presentation of the relationship between Christianity and capitalism.

scholarly journals A Type of Time-Symmetric Stochastic System and Related Games

Symmetry ◽  
2021 ◽  
Vol 13 (1) ◽  
pp. 118
Author(s):  
Qingfeng Zhu ◽  
Yufeng Shi ◽  
Jiaqiang Wen ◽  
Hui Zhang
Keyword(s):  
Nash Equilibrium ◽  
Time Delay ◽  
Differential Equations ◽  
Equilibrium Point ◽  
Stochastic Differential Equations ◽  
Stochastic System ◽  
Stochastic Systems ◽  
Necessary Condition ◽  
Nash Equilibrium Point ◽  
Doubly Stochastic

This paper is concerned with a type of time-symmetric stochastic system, namely the so-called forward–backward doubly stochastic differential equations (FBDSDEs), in which the forward equations are delayed doubly stochastic differential equations (SDEs) and the backward equations are anticipated backward doubly SDEs. Under some monotonicity assumptions, the existence and uniqueness of measurable solutions to FBDSDEs are obtained. The future development of many processes depends on both their current state and historical state, and these processes can usually be represented by stochastic differential systems with time delay. Therefore, a class of nonzero sum differential game for doubly stochastic systems with time delay is studied in this paper. A necessary condition for the open-loop Nash equilibrium point of the Pontriagin-type maximum principle are established, and a sufficient condition for the Nash equilibrium point is obtained. Furthermore, the above results are applied to the study of nonzero sum differential games for linear quadratic backward doubly stochastic systems with delay. Based on the solution of FBDSDEs, an explicit expression of Nash equilibrium points for such game problems is established.

scholarly journals A Fractional SAIDR Model in the Frame of Atangana–Baleanu Derivative

2021 ◽  
Vol 5 (2) ◽  
pp. 32
Author(s):  
Esmehan Uçar ◽  
Sümeyra Uçar ◽  
Fırat Evirgen ◽  
Necati Özdemir
Keyword(s):  
Existence And Uniqueness ◽  
Laplace Transformation ◽  
Cell Phones ◽  
Mobile Network ◽  
The Other ◽  
Banach Fixed Point Theorem ◽  
Propagation Models ◽  
Computer Worms ◽  
Computer Viruses ◽  
The Stability

It is possible to produce mobile phone worms, which are computer viruses with the ability to command the running of cell phones by taking advantage of their flaws, to be transmitted from one device to the other with increasing numbers. In our day, one of the services to gain currency for circulating these malignant worms is SMS. The distinctions of computers from mobile devices render the existing propagation models of computer worms unable to start operating instantaneously in the mobile network, and this is particularly valid for the SMS framework. The susceptible–affected–infectious–suspended–recovered model with a classical derivative (abbreviated as SAIDR) was coined by Xiao et al., (2017) in order to correctly estimate the spread of worms by means of SMS. This study is the first to implement an Atangana–Baleanu (AB) derivative in association with the fractional SAIDR model, depending upon the SAIDR model. The existence and uniqueness of the drinking model solutions together with the stability analysis are shown through the Banach fixed point theorem. The special solution of the model is investigated using the Laplace transformation and then we present a set of numeric graphics by varying the fractional-order θ with the intention of showing the effectiveness of the fractional derivative.

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