Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction

Assessing systemic risk in financial markets is of great importance but it often requires data that are unavailable or available at a very low frequency. For this reason, systemic risk assessment with partial information is potentially very useful for regulators and other stakeholders. In this paper we consider systemic risk due to fire sales spillover and portfolio rebalancing by using the risk metrics defined by Greenwood et al. (2015). By using the Maximum Entropy principle we propose a method to assess aggregated and single bank's systemicness and vulnerability and to statistically test for a change in these variables when only the information on the size of each bank and the capitalization of the investment assets are available. We prove the effectiveness of our method on 2001-2013 quarterly data of US banks for which portfolio composition is available.Comment: 36 pages, 6 figures, Accepted on Journal of Economic Dynamics and Contro

Handling robot constraints within a Set-Based Multi-Task Priority Inverse Kinematics Framework

Set-Based Multi-Task Priority is a recent framework to handle inverse kinematics for redundant structures. Both equality tasks, i.e., control objectives to be driven to a desired value, and set-bases tasks, i.e., control objectives to be satisfied with a set/range of values can be addressed in a rigorous manner within a priority framework. In addition, optimization tasks, driven by the gradient of a proper function, may be considered as well, usually as lower priority tasks. In this paper the proper design of the tasks, their priority and the use of a Set-Based Multi-Task Priority framework is proposed in order to handle several constraints simultaneously in real-time. It is shown that safety related tasks such as, e.g., joint limits or kinematic singularity, may be properly handled by consider them both at an higher priority as set-based task and at a lower within a proper optimization functional. Experimental results on a 7DOF Jaco$^2

Safety-related Tasks within the Set-Based Task-Priority Inverse Kinematics Framework

In this paper we present a framework that allows the motion control of a robotic arm automatically handling different kinds of safety-related tasks. The developed controller is based on a Task-Priority Inverse Kinematics algorithm that allows the manipulator's motion while respecting constraints defined either in the joint or in the operational space in the form of equality-based or set-based tasks. This gives the possibility to define, among the others, tasks as joint-limits, obstacle avoidance or limiting the workspace in the operational space. Additionally, an algorithm for the real-time computation of the minimum distance between the manipulator and other objects in the environment using depth measurements has been implemented, effectively allowing obstacle avoidance tasks. Experiments with a Jaco$^2$ manipulator, operating in an environment where an RGB-D sensor is used for the obstacles detection, show the effectiveness of the developed system

The multiplex structure of interbank networks

The interbank market has a natural multiplex network representation. We employ a unique database of supervisory reports of Italian banks to the Banca d'Italia that includes all bilateral exposures broken down by maturity and by the secured and unsecured nature of the contract. We find that layers have different topological properties and persistence over time. The presence of a link in a layer is not a good predictor of the presence of the same link in other layers. Maximum entropy models reveal different unexpected substructures, such as network motifs, in different layers. Using the total interbank network or focusing on a specific layer as representative of the other layers provides a poor representation of interlinkages in the interbank market and could lead to biased estimation of systemic risk.Comment: 41 pages, 8 figures, 10 table

Interbank markets and multiplex networks: centrality measures and statistical null models

The interbank market is considered one of the most important channels of contagion. Its network representation, where banks and claims/obligations are represented by nodes and links (respectively), has received a lot of attention in the recent theoretical and empirical literature, for assessing systemic risk and identifying systematically important financial institutions. Different types of links, for example in terms of maturity and collateralization of the claim/obligation, can be established between financial institutions. Therefore a natural representation of the interbank structure which takes into account more features of the market, is a multiplex, where each layer is associated with a type of link. In this paper we review the empirical structure of the multiplex and the theoretical consequences of this representation. We also investigate the betweenness and eigenvector centrality of a bank in the network, comparing its centrality properties across different layers and with Maximum Entropy null models.Comment: To appear in the book "Interconnected Networks", A. Garas e F. Schweitzer (eds.), Springer Complexity Serie

Ptolomaeus: the Web Cartographer

The hugeness of the Web and its continuous growth have made navigation in the Internet extremely difficult. The new advanced features provided by HTML extensions and scripting languages allow a common browser to manage powerful hypermedial representation in each single page but leave unsolved some structural problems of the Web. In fact, the process of finding information by surfing the Web is mainly hindered by the lack of a reasonable schema in the hyperspace; broken and redundant links make the problem even worse. This leads the user to become ”lost in the hyperspace” (LH-Syndrome)

Effects of Dynamic Model Errors in Task-Priority Operational Space Control

Control algorithms of many Degrees Of Freedom (DOFs) systems based on Inverse Kinematics or Inverse Dynamics approaches are two well-known topics of research in robotics. The large number of DOFs allows the design of many concurrent tasks arranged in priorities, that can be solved either at kinematic or dynamic level. This paper investigates the effects of modeling errors in operational space control algorithms with respect to uncertainties affecting knowledge of the dynamic parameters. The effects on the null-space projections and the sources of steady-state errors are investigated. Numerical simulations with on-purpose injected errors are used to validate the thoughts