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  1. Fake News in Social Networks
    Autor*in: Aymanns, Christoph; Foerster, Jakob; Georg, Co-Pierre; Weber, Matthias
    Erschienen: [2022]
    Verlag:  SSRN, [S.l.]

    We propose multi-agent reinforcement learning as a new method for modeling fake news in social networks. This method allows us to model human behavior in social networks both in unaccustomed populations and in populations that have adapted to the... mehr

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We propose multi-agent reinforcement learning as a new method for modeling fake news in social networks. This method allows us to model human behavior in social networks both in unaccustomed populations and in populations that have adapted to the presence of fake news. In particular the latter is challenging for existing methods. We find that a fake-news attack is more effective if it targets highly connected people and people with weaker private information. Attacks are more effective when the disinformation is spread across several agents than when the disinformation is concentrated with more intensity on fewer agents. Furthermore, fake news spread less well in balanced networks than in clustered networks. We test a part of these findings in a human-subject experiment. The experimental evidence provides support for the predictions from the model. This suggests that our model is suitable to analyze the spread of fake news in social networks

     
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    Schriftenreihe: Swiss Finance Institute Research Paper ; No. 22-58
    Umfang: 1 Online-Ressource (39 p)
    Bemerkung(en):

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 22, 2022 erstellt
  2. Bank solvency and funding cost
    Autor*in: Aymanns, Christoph; Caceres, Carlos; Daniel, Christina; Schumacher, Liliana
    Erschienen: March 2016
    Verlag:  International Monetary Fund, [Washington, D.C.]

    Understanding the interaction between bank solvency and funding cost is a crucial pre-requisite for stress-testing. In this paper we study the sensitivity of bank funding cost to solvency measures while controlling for various other measures of bank... mehr

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    Understanding the interaction between bank solvency and funding cost is a crucial pre-requisite for stress-testing. In this paper we study the sensitivity of bank funding cost to solvency measures while controlling for various other measures of bank fundamentals. The analysis includes two measures of bank funding cost: (a) average funding cost and (b) interbank funding cost as a proxy of wholesale funding cost. The main findings are: (1) Solvency is negatively and significantly related to measures of funding cost, but the effect is small in magnitude. (2) On average, the relationship is stronger for interbank funding cost than for average funding cost. (3) During periods of stress interbank funding cost is more sensitive to solvency than in normal times. Finally, (4) the relationship between funding cost and solvency appears to be non-linear, with higher sensitivity of funding cost at lower levels of solvency

     
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    Quelle: Staatsbibliothek zu Berlin
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9781513591131
    Weitere Identifier:
    Schriftenreihe: IMF working paper ; WP/16, 64
    Schlagworte: Bankenliquidität; Refinanzierung; Stresstest
    Umfang: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  3. Shedding light on dark markets
    first insights from the new EU-wide OTC derivatives dataset
    Autor*in: Abad, Jorge; Aldasoro, Iñaki; Aymanns, Christoph; D'Errico, Marco; Rousová, Linda; Hoffmann, Peter; Langfield, Sam; Neychev, Martin; Roukny, Tarik
    Erschienen: [2016]
    Verlag:  ESRB, European Systemic Risk Board, European System of Financial Supervision, Frankfurt am Main, Germany

    Policy is only as good as the information at the disposal of policymakers. Few moments illustrate this better than the uncertainty before and after the default of Lehman Brothers and the subsequent decision to stand behind AIG. Authorities were... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 612
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    Policy is only as good as the information at the disposal of policymakers. Few moments illustrate this better than the uncertainty before and after the default of Lehman Brothers and the subsequent decision to stand behind AIG. Authorities were forced to make critical policy decisions, despite being uncertain about counterparties' exposures and the protection sold against their default. Opacity has been a defining characteristic of over-the-counter derivatives markets - to the extent that they have been labelled "dark markets" (Duffie, 2012). Motivated by the concern that opacity exercerbates crises, the G20 leaders made a decisive push in 2009 for greater transparency in derivatives markets. In Europe, this initiative was formalised in 2012 in the European Markets Infrastructure Regulation (EMIR), which requires EU entities engaging in derivatives transactions to report them to trade repositories authorised by the European Securities Markets Authority (ESMA). Derivatives markets are thus in the process of becoming one of the most transparent markets for regulators. This paper represents a first analysis of the EU-wide data collected under EMIR. We start by describing the structure of the dataset, drawing comparisons with existing survey-based evidence on derivatives markets. The rest of the paper is divided into three sections, focusing on the three largest derivatives markets (interest rates, foreign exchange and credit).

     
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    ISBN: 9789295081628
    Weitere Identifier:
    hdl: 10419/193606
    Schriftenreihe: Occasional paper series / European Systemic Risk Board ; no 11 (September 2016)
    Umfang: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  4. Fake news in social networks
    Autor*in: Aymanns, Christoph; Foerster, Jakob; Georg, Co-Pierre
    Erschienen: August 2017
    Verlag:  School of Finance, University of St. Gallen, St. Gallen

    We model the spread of news as a social learning game on a network. Agents can either endorse or oppose a claim made in a piece of news, which itself may be either true or false. Agents base their decision on a private signal and their neighbors'... mehr

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    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We model the spread of news as a social learning game on a network. Agents can either endorse or oppose a claim made in a piece of news, which itself may be either true or false. Agents base their decision on a private signal and their neighbors' past actions. Given these inputs, agents follow strategies derived via multi-agent deep reinforcement learning and receive utility from acting in accordance with the veracity of claims. Our framework yields strategies with agent utility close to a theoretical, Bayes optimal benchmark, while remaining flexible to model re-specification. Optimized strategies allow agents to correctly identify most false claims, when all agents receive unbiased private signals. However, an adversary's attempt to spread fake news by targeting a subset of agents with a biased private signal can be successful. Even more so when the adversary has information about agents' network position or private signal. When agents are aware of the presence of an adversary they re-optimize their strategies in the training stage and the adversary's attack is less effective. Hence, exposing agents to the possibility of fake news can be an effective way to curtail the spread of fake news in social networks. Our results also highlight that information about the users' private beliefs and their social network structure can be extremely valuable to adversaries and should be well protected

     
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    Auflage/Ausgabe: This draft: August 21, 2017
    Schriftenreihe: Working papers on finance ; no. 2018, 4
    University of St.Gallen, School of Finance Research Paper ; No. 2018/4
    Schlagworte: social learning; networks; multi-agent deep reinforcement learning
    Umfang: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  5. Models of financial stability and their application in stress tests
    Autor*in: Aymanns, Christoph; Farmer, J. Doyne; Kleinnijenhuis, Alissa M.; Wetzer, Thomas
    Erschienen: August 20, 2017
    Verlag:  School of Finance, University of St. Gallen, St. Gallen

    We review heterogeneous agent-based models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is... mehr

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 314 (2018,5)
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    We review heterogeneous agent-based models of financial stability and their application in stress tests. In contrast to the mainstream approach, which relies heavily on the rational expectations assumption and focuses on situations where it is possible to compute an equilibrium, this approach typically uses stylized behavioral assumptions and relies more on simulation. This makes it possible to include more actors and more realistic institutional constraints, and to explain phenomena that are driven by out of equilibrium behavior, such as clustered volatility and fat tails. We argue that traditional equilibrium models and heterogeneous agent-based models are complements rather than substitutes, and review how the interaction between these two approaches has enriched our understanding of systemic financial risk. After presenting a brief summary of key terminology, we review models for leverage and endogenous risk dynamics. We then review the network aspects of systemic risk, including models for the three main channels of contagion: counterparty loss, overlapping portfolios and funding liquidity. We give an overview of applications to stress testing, including both microprudential and macroprudential stress tests. Finally, we discuss future directions. These include a better understanding of dynamics on networks and interacting channels of contagion, models with learning and limited deductive reasoning that can survive the Lucas critique, and practical applications to risk monitoring using models estimated with the massive data bases currently being assembled by the leading central banks

     
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    Sprache: Englisch
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    Format: Online
    Schriftenreihe: Working papers on finance ; no. 2018, 5
    Schlagworte: stress testing; systemic risk; contagion; leverage cycles; multi-layered networks; heterogeneous agent models; financial systems; financial stability; computational economics; complex systems; banks; non-banks; microprudential stress tests; macroprudential stress tests
    Umfang: 1 Online-Ressource (circa 64 Seiten), Illustrationen
    Bemerkung(en):

    Review Chapter for: Handbook of Computational Economics (Blake LeBaron and Cars Hommes)
  6. Illiquidity spirals in coupled over-the-counter markets
    Autor*in: Aymanns, Christoph; Georg, Co-Pierre; Golub, Benjamin
    Erschienen: December 2017
    Verlag:  School of Finance, University of St. Gallen, St. Gallen

    We model intermediaries trading economically coupled assets, each asset in its own over-the-counter market--e.g., secured debt and the underlying collateral. Incentives to provide liquidity in one market are increasing in counterparties' activity in... mehr

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    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 314 (2018,10)
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    We model intermediaries trading economically coupled assets, each asset in its own over-the-counter market--e.g., secured debt and the underlying collateral. Incentives to provide liquidity in one market are increasing in counterparties' activity in both markets. The intermediaries' activity is thus the outcome of a game of strategic complements on two coupled trading networks. We model a crisis as an exogenous change to network structure, as well as the exogenous exit of some intermediaries. This causes an illiquidity spiral across the two networks. We find that in coupled networks, in contrast to uncoupled ones, illiquidity spirals can be so severe that liquidity vanishes discontinuously as we vary the shock. Liquidity can be improved if one of the two OTC markets is replaced by an exchange, or if the two OTC markets have more links in common

     
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    Sprache: Englisch
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    Schriftenreihe: Working papers on finance ; no. 2018, 10
    University of St.Gallen, School of Finance Research Paper ; No. 2018/10
    Schlagworte: market liquidity; funding liquidity; over-the-counter markets
    Weitere Schlagworte: Array
    Umfang: 1 Online-Ressource (circa 71 Seiten), Illustrationen
  7. Bank solvency and funding cost
    Autor*in: Aymanns, Christoph; Caceres, Carlos; Daniel, Christina; Schumacher, Liliana
    Erschienen: March 2016
    Verlag:  International Monetary Fund, [Washington, D.C.]

    Understanding the interaction between bank solvency and funding cost is a crucial pre-requisite for stress-testing. In this paper we study the sensitivity of bank funding cost to solvency measures while controlling for various other measures of bank... mehr

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    Understanding the interaction between bank solvency and funding cost is a crucial pre-requisite for stress-testing. In this paper we study the sensitivity of bank funding cost to solvency measures while controlling for various other measures of bank fundamentals. The analysis includes two measures of bank funding cost: (a) average funding cost and (b) interbank funding cost as a proxy of wholesale funding cost. The main findings are: (1) Solvency is negatively and significantly related to measures of funding cost, but the effect is small in magnitude. (2) On average, the relationship is stronger for interbank funding cost than for average funding cost. (3) During periods of stress interbank funding cost is more sensitive to solvency than in normal times. Finally, (4) the relationship between funding cost and solvency appears to be non-linear, with higher sensitivity of funding cost at lower levels of solvency

     
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    Quelle: Staatsbibliothek zu Berlin
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9781513591131
    Weitere Identifier:
    Schriftenreihe: IMF working paper ; WP/16, 64
    Schlagworte: Bankenliquidität; Refinanzierung; Stresstest
    Umfang: 1 Online-Ressource (circa 31 Seiten), Illustrationen