Message and time efficient multi-broadcast schemes

We consider message and time efficient broadcasting and multi-broadcasting in wireless ad-hoc networks, where a subset of nodes, each with a unique rumor, wish to broadcast their rumors to all destinations while minimizing the total number of transmissions and total time until all rumors arrive to their destination. Under centralized settings, we introduce a novel approximation algorithm that provides almost optimal results with respect to the number of transmissions and total time, separately. Later on, we show how to efficiently implement this algorithm under distributed settings, where the nodes have only local information about their surroundings. In addition, we show multiple approximation techniques based on the network collision detection capabilities and explain how to calibrate the algorithms' parameters to produce optimal results for time and messages.Comment: In Proceedings FOMC 2013, arXiv:1310.459

Robust Leader Election in a Fast-Changing World

We consider the problem of electing a leader among nodes in a highly dynamic network where the adversary has unbounded capacity to insert and remove nodes (including the leader) from the network and change connectivity at will. We present a randomized Las Vegas algorithm that (re)elects a leader in O(D\log n) rounds with high probability, where D is a bound on the dynamic diameter of the network and n is the maximum number of nodes in the network at any point in time. We assume a model of broadcast-based communication where a node can send only 1 message of O(\log n) bits per round and is not aware of the receivers in advance. Thus, our results also apply to mobile wireless ad-hoc networks, improving over the optimal (for deterministic algorithms) O(Dn) solution presented at FOMC 2011. We show that our algorithm is optimal by proving that any randomized Las Vegas algorithm takes at least omega(D\log n) rounds to elect a leader with high probability, which shows that our algorithm yields the best possible (up to constants) termination time.Comment: In Proceedings FOMC 2013, arXiv:1310.459

Distributed Queuing in Dynamic Networks

We consider the problem of forming a distributed queue in the adversarial dynamic network model of Kuhn, Lynch, and Oshman (STOC 2010) in which the network topology changes from round to round but the network stays connected. This is a synchronous model in which network nodes are assumed to be fixed, the communication links for each round are chosen by an adversary, and nodes do not know who their neighbors are for the current round before they broadcast their messages. Queue requests may arrive over rounds at arbitrary nodes and the goal is to eventually enqueue them in a distributed queue. We present two algorithms that give a total distributed ordering of queue requests in this model. We measure the performance of our algorithms through round complexity, which is the total number of rounds needed to solve the distributed queuing problem. We show that in 1-interval connected graphs, where the communication links change arbitrarily between every round, it is possible to solve the distributed queueing problem in O(nk) rounds using O(log n) size messages, where n is the number of nodes in the network and k <= n is the number of queue requests. Further, we show that for more stable graphs, e.g. T-interval connected graphs where the communication links change in every T rounds, the distributed queuing problem can be solved in O(n+ (nk/min(alpha,T))) rounds using the same O(log n) size messages, where alpha > 0 is the concurrency level parameter that captures the minimum number of active queue requests in the system in any round. These results hold in any arbitrary (sequential, one-shot concurrent, or dynamic) arrival of k queue requests in the system. Moreover, our algorithms ensure correctness in the sense that each queue request is eventually enqueued in the distributed queue after it is issued and each queue request is enqueued exactly once. We also provide an impossibility result for this distributed queuing problem in this model. To the best of our knowledge, these are the first solutions to the distributed queuing problem in adversarial dynamic networks.Comment: In Proceedings FOMC 2013, arXiv:1310.459

Impact of Reserve Option Mechanism on Exchange Rate Volatility During the FED’s Tapering Period

This study investigates the effectiveness of ROM. We conducted the GARCH (1,1) Model to determine whether ROM contributed to decreasing the volatility of USD/TL exchange rate for the period 2013- 2014. We construct four Models where four different variables are separately used that represent the ROM tool, i.e. the amount of FX reserves of CBRT via ROM, and the share of the FX reserves via ROM in Gross FX Reserves of CBRT. Our findings are convincing to say FX facility and the ratio of utilization for the FX facility to ensure the results are statistically meaningful during this period

FinLab komplex vállalati esettanulmányok

A feladatgyűjtemény összeállítása során számos, egymással összefüggő cél lebegett a szemünk előtt. Elsősorban arra törekedtünk, hogy kedvet csináljunk a FinLab-ben elérhető Bloomberg adatbázis és elemző eszközök mélyebb megismeréséhez és mindennapi használatához; illetve, hogy a pénzügyi feladatok szempontjából közelítve hasznos útmutatót adjunk, és ez által minél inkább integráljuk az új infrastruktúrát az oktatásba. Másrészről az új feladatgyűjteményben szereplő vállalati partnereink által készített komplex esettanulmányok egyfajta módszertani újítást is jelentenek. Arra szeretnénk bátorítani a hallgatóinkat, hogy a tanult elméleti módszereket azonnal ütköztessék a gyakorlattal és minden alkalommal gondolkodjanak el a modellek valós döntési helyzetben való alkalmazhatóságán és relevanciáján. Ezek az esettanulmányok megmutatják, hogy tipikusan milyen jellegű problémákkal foglalkoznak az adott cégnél, illetve, hogy milyen jellegű tudást/készségeket várnak el az ott dolgozóktól

Epätavanomainen rahapolitiikka finanssikriisin aikana - Vertailu Euroopan ja Yhdysvaltain keskuspankkien välillä 2008-2012

Tutkielman tavoitteet: Tämän tutkielman tarkoituksena on ollut selvittää millaisilla epätavanomaisilla rahapoliittisilla välineillä ja keinoilla Euroopan ja Yhdysvaltain keskuspankit ovat reagoineet ajanjaksolla 15.9.2008-1.1.2012. Lisäksi tarkoituksena on ollut vertailla keskuspankkien toimien eroavaisuuksia sekä pohtia syitä miksi kyseiset keskuspankit ovat omalta osaltaan käyttäneet niille ominaisia epätavanomaisia keinoja. Aineisto ja tutkimusmenetelmät: Tutkimusmenetelmänä toimii kirjallisuuskatsaus. Lisäksi aineistona käytetään keskuspankkien rahapoliittisia päätöksiä sekä julkaisuja. Tutkielman kannalta tärkeä informaatio esitetään kuvien, taulukoiden ja liitteiden avulla. Tulokset: Kriisien syntytapa ja vaikutuskanava sekä talous- ja rahoitusjärjestelmän erilaiset rakenteet edellyttävät keskuspankeilta erilaisia epätavanomaisia toimia. Keskuspankit käyttivät hyvin samantyylisiä keinoja finanssikriisin alkuvaiheessa, mutta euroalueen valtionvelkakriisi muutti tätä. Euroopan keskuspankki on epätavanomaisena toimena tukenut vahvasti sille tärkeitä pankkien välisiä markkinoita. Yhdysvaltain keskuspankki on puolestaan ostanut mittavasti arvopapereita, ja näin elvyttänyt talouden tilaa. Yhdysvaltain keskuspankki on tutkielman ajanjaksolla pystynyt paremmin saavuttamaan rahapoliittiset tavoitteensa toteuttamalla voimakkaampaa ja aggressiivisempaa rahapolitiikkaa kuin Euroopan keskuspankki. Epätavanomaisesta rahapolitiikasta irtautuminen tulee kuitenkin olemaan Yhdysvaltain keskuspankille vaikeampaa verrattuna Euroopan keskuspankkiin

Monetary policy responses to the recent crisis: Federal Reserve vs. European Central Bank

In responding to the recent crisis, the American and European central banks implemented unlike approaches to monetary policy with different results. In order to understand their decisions and their actual outcomes, as well as prepare further situations like this one, it matters to analyze the monetary policy measures undertaken by both central banks and compare them. The present work particularly focus on unconventional monetary policy measures and examines credit easing implemented by the European Central Bank, in comparison to the Federal Reserve Bank’s quantitative easing. The results, emphasizing the decrease in bond yields due the increase in the banks’ balance sheets, the capacity to control inflation and unemployment and the ability to enhance production, reveal that the Fed was more effective and prompt in taking action against the crisis. In addition, the Fed was also more successful in its communications, with a better management of expectations, capacity to adapt to the markets’ response to quantitative easing and faster implementation of forward looking guidance, a feature determinant to the success of monetary policy. Moreover, the differences between the two banks that may limit the implementation of unconventional monetary policy measures and comprise additional challenges for the ECB are also discussed.Em resposta à presente crise, os bancos centrais norte-americano e europeu implementaram abordagens diferentes à política monetária, com resultados também eles distintos. Por forma a compreender as decisões tomadas e os seus resultados efetivos, bem como preparar futuras situações similares a esta, importa analisar as medidas de política monetária implementadas pelos dois bancos centrais e compará-las. A presente tese foca-se particularmente em medidas não-convencionais de política monetária e estuda a aplicação de credit easing pelo Banco Central Europeu, em comparação ao quantitative easing da Reserva Federal Norte-Americana. Os resultados, salientando a descida no valor de títulos em consequência do aumento das folhas de balanço dos dois bancos, a capacidade de controlar a inflação e o desemprego, e a aptidão para impulsionar a produção, demonstram que o Fed teve mais sucesso e foi mais rápido em agir em resposta à crise. Adicionalmente, o Fed foi também mais bem-sucedido no que diz respeito à comunicação, com melhor capacidade de gerir expectativas, de se adaptar às respostas dos mercados ao quantitative easing e uma mais rápida adoção de forward looking guidance, uma questão determinante para o sucesso da política monetária. São ainda discutidas as diferenças entre os dois bancos centrais que podem limitar a implementação de políticas monetárias não-convencionais, bem como constituir obstáculos adicionais para o sucesso do BCE

Efetividade do Forward Guidance no mercado de juros dos EUA no período 2009-2016

Esse trabalho tem como objetivo principal investigar se a ferramenta de política monetária não convencional, conhecida como forward guidance, teve o poder de afetar o mercado de juros de títulos públicos dos EUA no período entre 2009 e 2016. Para tal, será feita a comparação entre a variação de preços do mercado de títulos públicos emitidos pelo Tesouro dos EUA após o uso dessa ferramenta contra o restante dos pontos observados. Esse trabalho procura também explicar o funcionamento de ferramentas de política monetária utilizadas por bancos centrais, assim como detalhar cada categoria de forward guidance existente. Concluiu-se que a ferramenta forward guidance afetou o nível de preços do mercado de juros dos EUA, em intensidades diferentes dependendo da categoria utilizada.The main goal of this paper is to investigate if the unconventional monetary policy tool, known as forward guidance, had the power to affect the US treasury securities’ market prices in the years between 2009 and 2016. With that objective in mind, the comparison between fluctuations of the daily treasury yield curve rates after usages of such tool and the remainder of the observed data points will be made. This paper also seeks to explain how conventional monetary policy tools work, as well as to detail each category of forward guidance in existence. It concludes that the forward guidance tool did affect the rates of the treasury yield curve, with varying intensities depending on the category utilized